Pilgrim America CBO I

The Pilgrim CBO is a $317 million collateralized bond obligation that originally closed in July 1998.  We were selected as the replacement manager of the Pilgrim CBO in July 2001, when the capital structure had delevered to $295 million and performing collateral totaled $223 million.  The Pilgrim portfolio is invested in high yield bonds.  Trading flexibility is limited to credit risk, defaulted and equity securities.

Closing Date   July 1, 1998
Manager Replacement Date   July 8, 2001
End of Reinvestment Period   September 19, 2002
Maturity Date   September 20, 2008
Type
Cash Flow CBO

Underwriter
Bank of America

Rating Agencies
S&P, Fitch

Trustee
US Bank




  Tranche   Initial Ratings   Ratings on Replacement Date   Current Ratings   Original Principal Amount ($)   Balance on Replacement Date ($)   Balance on Maturity Date ($)   Interest Rate  
  Class A Notes   AAA/AAA  A-/A  A/AA  207,000,000 184,411,194 0   6M LIBOR + 0.40%  
  Class B Notes   AAA/AAA  CCC+/B  CC/C  41,000,000 41,000,000 30,608,769   6.875%  
  Class C Notes   A-/A-  NR/CC  NR  41,000,000 41,000,000 41,000,000   10.25%  
  Class D Notes   NR/BBB-  NR  NR  28,250,000 28,250,000 28,250,000   Excess Interest  
Total         317,250,000   294,661,194   99,858,769    
  NR = not rated, N/A = not applicable






Prudential Investment Management is the primary asset management business of Prudential Financial, Inc. Prudential Fixed Income is Prudential Investment Management's largest public fixed income asset management unit and operates through Prudential Investment Management, Inc. (PIM), a registered investment advisor. Prudential Financial and the Rock logo are registered service marks of The Prudential Insurance Company of America and its affiliates.