Fitch Ratings Affirms SEQUILS-PILGRIM I & MINCS-PILGRIM I.

Business Editors

NEW YORK--(BUSINESS WIRE)--May 23, 2003

Fitch Ratings affirms the notes of SEQUILS-PILGRIM I, Ltd. (SEQUILS Pilgrim) and MINCS-PILGRIM I, Ltd. (MINCS Pilgrim). The transactions are cash flow and synthetic collateralized loan obligations (CLOs), respectively, that enable investors to gain exposure to a portfolio of high-yield, senior secured bank loans. The portfolio is managed by ING Investments, LLC.

The following securities have been affirmed:

-- $388,000,000 SEQUILS notes 'AA';

-- $66,000,000 MINCS notes 'CC'.

SEQUILS Pilgrim and MINCS Pilgrim were established to purchase $388 million of high-yield, senior secured bank loans. The transactions were closed in June 1999 and mature on July 15, 2011. As stated in the April 25, 2003, trustee report, SEQUILS Pilgrim had an aggregate principal balance of portfolio investments of $351.3 million and a total cash balance of $8.7 million. The SEQUILS credit swap balance was $26 million and the SEQUILS reserve account had a balance of $4.9 million. The net cumulative loss amount is $48.3 million.

As of the April 15, 2003 note valuation report, MINCS Pilgrim's deferred liabilities outstanding, including the MINCS credit swap spread, variable funding spread, deferred basic interest balances were $5 million, $11.2 million, and $3 million, respectively.

A review of the transaction, including analyses under Fitch's stressed loan interest spread, market value, and default scenarios, has led to the conclusion that the original ratings of the SEQUILS and MINCS Pilgrim notes are representative of the current credit risk to investors.

Fitch's rating of the SEQUILS Pilgrim notes addresses the timely payment of interest and ultimate payment of principal as defined in the indenture. The rating does not address the likelihood of receipt of any additional distributions. The ratings of the MINCS Pilgrim notes address the timely payment of Basic Interest and ultimate payment of principal as defined in the indenture. Furthermore, the ratings are dependent upon the credit enhancement provided by the SEQUILS Credit Swap and the financial strength of Morgan Guaranty Trust Co. of New York as the SEQUILS and MINCS Credit Swap Counterparty.

Fitch will continue to monitor this transaction. Deal information and historical data on SEQUILS and MINCS Pilgrim are available on the Fitch Ratings web site at 'www.fitchratings.com'.