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Cash Flow And Hybrid CDO Event Of Default Notices Received As Of Feb. 22, 2011

Publication date: 22-Feb-2011 16:30:23 EST

As of Feb. 22, 2011, Standard & Poor's Ratings Services had received notification from collateralized debt obligation (CDO) trustees of 435 events of default (EODs) on cash flow and hybrid mezzanine structured finance (SF) CDOs of asset-backed securities (ABS), high-grade SF CDOs of ABS, CDOs of commercial mortgage-backed securities (CMBS), and CDO of SF CDO transactions. We have received no new EOD notices since publishing our last update on Jan. 25, 2011, and only the information in the "current status" columns in tables 1 through 3 has changed since the last update. Our list includes global cash flow and hybrid CDO transactions originated since 2001 that have experienced an EOD as a result of credit deterioration of recent-vintage ABS, either by directly holding notes from the ABS transactions or by holding notes from other CDO transactions that are in turn collateralized by ABS.

The 435 transactions listed below for which we have received EOD notifications to date (see table 1) represent an aggregate issuance amount of $406.887 billion. These transactions include:

  • 263 mezzanine SF CDO of ABS transactions, which were collateralized at origination primarily by 'A' through 'BB' rated tranches of residential mortgage-backed securities (RMBS) and other SF transactions;
  • 122 high-grade SF CDO of ABS transactions, which were collateralized at origination primarily by 'AAA' through 'A' rated tranches of RMBS and other SF transactions;
  • 37 CDO of CDO transactions, which were collateralized primarily by notes from other CDOs, as well as tranches from RMBS and other SF transactions; and
  • 13 CDO of CMBS transactions collateralized primarily by tranches of CMBS and other SF transactions.

We also provide the following additional information:

  • A list of other recent cash flow and hybrid CDO EODs (see table 2); and
  • A list of cash flow and hybrid CDO transactions that have been liquidated by the noteholders without first triggering an EOD (see table 3).

CDO EOD Notices Received

Table 1

Mortgage-Related EOD Notices Received As Of Feb. 22, 2011
Transaction name (surveillance office) Rated liability balance at issuance ($) Structure Collateral Origination date Current status Reason for EOD (see bottom of table) Initial notice dated
Webster CDO I Ltd. (U.S.) 1,532,000,000.00 Hybrid Mezzanine SF 12/28/06 Acceleration notice received 1 10/18/07
ACA ABS 2007-2 Ltd. (U.S.) 748,600,000.00 Hybrid Mezzanine SF 7/3/07 Transaction liquidated 1 10/18/07
Adams Square Funding I Ltd. (U.S.) 487,250,000.00 Hybrid Mezzanine SF 12/25/06 Transaction liquidated 1 10/18/07
Sherwood III ABS CDO Ltd. (U.S.) 985,000,000.00 Cash Flow Mezzanine SF 1/18/07 Transaction liquidated 1 10/19/07
Vertical ABS CDO 2007-1 Ltd. (U.S.) 482,000,000.00 Hybrid Mezzanine SF 5/2/07 Transaction liquidated 1 10/19/07
Carina CDO Ltd. (U.S.) 1,490,680,000.00 Hybrid Mezzanine SF 11/20/06 Transaction liquidated 1 10/26/07
GSC ABS CDO 2006-4U Ltd. (U.S.) 720,000,000.00 Hybrid Mezzanine SF 10/26/06 Acceleration notice received 1 10/31/07
TABS 2006-5 Ltd. (U.S.) 1,477,000,000.00 Hybrid Mezzanine SF 10/13/06 Transaction liquidated 2 11/1/07
Jupiter High Grade CDO V Ltd. (U.S.) 1,490,500,000.00 Cash Flow High Grade SF 4/3/07 Acceleration notice received 1 11/2/07
ACA ABS 2006-2 Ltd. (U.S.) 708,000,000.00 Cash Flow Mezzanine SF 12/3/06 Transaction liquidated 1 11/5/07
Cetus ABS CDO 2006-4 Ltd. (U.S.) 1,470,000,000.00 Hybrid Mezzanine SF 11/29/06 Acceleration notice received 1 11/5/07
GSC ABS CDO 2007-1r Ltd. (U.S.) 723,000,000.00 Hybrid Mezzanine SF 5/2/07 Acceleration notice received 1 11/5/07
Orion 2006-2 Ltd. (U.S.) 1,485,000,000.00 Hybrid Mezzanine SF 12/21/06 Acceleration notice received 2 11/6/07
Ansley Park ABS Ltd. (U.S.) 603,650,000.00 Cash Flow Mezzanine SF 12/20/06 Transaction liquidated 1 11/6/07
Sagittarius CDO Ltd. (U.S.) 957,000,000.00 Hybrid Mezzanine SF 3/29/07 Transaction liquidated 1 11/6/07
Neptune V Ltd. (U.S.) 336,500,000.00 Cash Flow Mezzanine SF 6/20/07 EOD notice received 1 11/9/07
Hartshorne CDO I LLC (U.S.) 966,100,000.00 Hybrid Mezzanine SF 3/27/07 Transaction liquidated 1 11/9/07
Pampelonne CDO I Ltd. (U.S.) 1,241,500,000.00 Hybrid High Grade SF 11/2/06 Transaction liquidated 1 11/9/07
Pampelonne CDO II Ltd. (U.S.) 1,990,690,000.00 Hybrid High Grade SF 3/26/07 Transaction liquidated 1 11/9/07
Tabs 2007-7 Ltd. (U.S.) 2,314,550,000.00 Hybrid Mezzanine SF 3/26/07 Transaction liquidated 2 11/9/07
BFC Silverton (U.S.) 720,000,000.00 Hybrid Mezzanine SF 11/2/06 Transaction liquidated 1 11/13/07
BRODERICK CDO 3 Ltd. (U.S.) 1,494,000,000.00 Cash Flow High Grade SF 3/1/07 Acceleration notice received 1 11/14/07
Cherry Creek CDO II Ltd. (U.S.) 482,500,000.00 Hybrid Mezzanine SF 3/21/07 Transaction liquidated 1 11/14/07
MKP CBO VI Ltd. (U.S.) 300,500,000.00 Cash Flow Mezzanine SF 9/5/06 Acceleration notice received 2 11/15/07
ACA ABS 2007-1 Ltd. (U.S.) 1,482,000,000.00 Hybrid Mezzanine SF 3/27/07 EOD notice received 1 11/15/07
Lancer Funding II, Ltd. (U.S.) 1,021,000,000.00 Cash Flow CDO of SF CDO 6/5/07 Transaction liquidated 1 11/16/07
Markov CDO I Ltd. (U.S.) 2,127,000,000.00 Hybrid High Grade SF 5/11/07 Transaction liquidated 1 11/16/07
TABS 2006-6 Ltd. (U.S.) 1,472,000,000.00 Hybrid Mezzanine SF 11/22/06 Transaction liquidated 1 11/16/07
Class V Funding III Ltd. (U.S.) 1,024,200,000.00 Cash Flow CDO of SF CDO 4/2/07 EOD notice received 1 11/19/07
Tricadia CDO 2006-7 Ltd. (U.S.) 502,700,000.00 Hybrid CDO of SF CDO 2/1/07 Transaction liquidated 1 11/20/07
Tricadia CDO 2007-8 Ltd. (U.S.) 501,900,000.00 Hybrid CDO of SF CDO 5/2/07 Transaction liquidated 1 11/20/07
Highridge ABS CDO I Ltd. (U.S.) 1,492,000,000.00 Cash Flow High Grade SF 1/31/07 Acceleration notice received 1 11/27/07
Montrose Harbor Ltd. (U.S.) 479,500,000.00 Cash Flow Mezzanine SF 8/3/06 Transaction liquidated 1 11/29/07
Millstone IV CDO Ltd. (U.S.) 2,190,500,000.00 Cash Flow High Grade SF 6/28/07 Transaction liquidated 2 11/30/07
Jupiter High Grade CDO VII Ltd. (U.S.) 1,480,000,000.00 Cash Flow High Grade SF 8/8/07 Transaction liquidated 1 11/30/07
Bantry Bay CDO I PLC (U.K) 250,000,000.00 Cash Flow CDO of SF CDO 5/9/07 Transaction liquidated 1 12/3/07
Octans III CDO Ltd. (U.S.) 280,000,000.00 Hybrid Mezzanine SF 12/28/06 Acceleration notice received 1 12/4/07
Armitage ABS CDO Ltd. (U.S.) 2,974,000,000.00 Cash Flow High Grade SF 4/3/07 Transaction liquidated 1 12/4/07
Rockbound CDO I Ltd. (U.S.) 488,000,000.00 Hybrid CDO of SF CDO 8/3/07 Transaction liquidated 1 12/6/07
Cetus ABS CDO 2006-3 Ltd. (U.S.) 1,232,500,000.00 Hybrid Mezzanine SF 12/4/06 Acceleration notice received 1 12/7/07
McKinley Funding III Ltd. (U.S.) 1,495,000,000.00 Cash Flow High Grade SF 12/4/06 EOD notice received 1 12/11/07
Diogenes CDO III Ltd. (U.S.) 752,000,000.00 Hybrid Mezzanine SF 8/22/07 Transaction liquidated 1 12/11/07
Mystic Point CDO Ltd. (U.S.) 490,500,000.00 Hybrid Mezzanine SF 1/2/07 Transaction liquidated 1 12/11/07
Pinnacle Point Funding II Ltd. (U.S.) 4,583,500,000.00 Hybrid CDO of SF CDO 7/3/07 Transaction liquidated 1 12/13/07
888 Tactical Fund, Ltd. (U.S.) 1,019,200,000.00 Hybrid CDO of SF CDO 3/26/07 EOD notice received 1 12/13/07
Fort Denison Funding Ltd. (U.S.) 411,300,000.00 Cash Flow Mezzanine SF 3/5/07 Transaction liquidated 1 12/13/07
Kleros Preferred Funding IV Ltd. (U.S.) 1,986,850,000.00 Cash Flow High Grade SF 12/28/06 Acceleration notice received 1 12/14/07
Kleros Preferred Funding VI Ltd. (U.S.) 2,985,000,000.00 Cash Flow High Grade SF 4/3/07 Transaction liquidated 1 12/14/07
E*Trade ABS CDO VI Ltd. (U.S.) 402,000,000.00 Hybrid Mezzanine SF 4/25/07 Transaction liquidated 1 12/17/07
Stack 2007-1 Ltd. (U.S.) 1,500,000,000.00 Hybrid Mezzanine SF 4/11/07 Transaction liquidated 1 12/17/07
NeO CDO 2007-1 Ltd. (U.S.) 288,000,000.00 Cash Flow CDO of SF CDO 5/1/07 Transaction liquidated 1 12/18/07
Nordic Valley 2007-1 Ltd. (U.S.) 988,500,000.00 Hybrid Mezzanine SF 9/6/07 Transaction liquidated 1 12/18/07
Kleros Preferred Funding V Ltd. (U.S.) 1,191,500,000.00 Cash Flow High Grade SF 1/26/07 EOD notice received 1 12/19/07
Visage CDO II Ltd. (U.K.). 402,000,000.00 Hybrid Mezzanine SF 1/19/07 Transaction liquidated 1 12/24/07
Diversey Harbor ABS CDO Ltd. (U.S.) 2,479,000,000.00 Cash Flow High Grade SF 7/10/06 Transaction liquidated 1 12/27/07
Aardvark ABS CDO 2007-1 Ltd. (U.S.) 1,500,000,000.00 Cash Flow High Grade SF 4/3/07 EOD notice received 1 1/2/08
Delphinus CDO 2007-1 Ltd. (U.S.) 947,000,000.00 Cash Flow Mezzanine SF 8/2/07 Transaction liquidated 1 1/4/08
Kleros Preferred Funding III, Ltd. (U.S.) 198,560,000.00 Cash Flow High Grade SF 9/27/06 EOD notice received 1 1/4/08
Neptune CDO IV Ltd. (U.S.) 962,500,000.00 Hybrid Mezzanine SF 4/4/07 Transaction liquidated 1 1/4/08
Volans Funding 2007-1 Ltd. (U.S.). 1,062,000,000.00 Cash Flow Mezzanine SF 3/26/07 Acceleration notice received 1 1/8/08
Ridgeway Court Funding II Ltd. (U.S.) 2,974,000,000.00 Hybrid High Grade SF 7/2/07 EOD notice received 1 1/15/08
Pinnacle Peak CDO I Ltd. (U.S.) 1,480,000,000.00 Cash Flow High Grade SF 7/19/07 Transaction liquidated 2 1/17/08
Squared CDO 2007-1 Ltd. (U.S.) 1,087,996,000.00 Hybrid CDO of SF CDO 6/1/07 Acceleration notice received 2 1/18/08
Imac CDO 2007-2 Ltd. (U.S.) 488,000,000.00 Hybrid CDO of SF CDO 4/17/07 Transaction liquidated 1 1/18/08
Class V Funding II Ltd. (U.S.) 300,000,000.00 Cash Flow CDO of SF CDO 6/2/06 EOD notice received 2 1/22/08
Durant CDO 2007-1 Ltd. (U.S.) 369,000,000.00 Hybrid CDO of SF CDO 6/25/07 Transaction liquidated 1 1/23/08
Mars CDO I Ltd. (U.S.) 593,500,000.00 Cash Flow CDO of SF CDO 5/3/07 Transaction liquidated 1 1/23/08
Bonifacius Ltd. (U.S.) 2,484,000,000.00 Cash Flow High Grade SF 8/1/07 Transaction liquidated 2 1/24/08
Ridgeway Court Funding I Ltd. (U.S.) 1,992,000,000.00 Cash Flow High Grade SF 7/31/06 Transaction liquidated 1 1/25/08
Tigris CDO 2007-1 Ltd. (U.S.) 741,000,000.00 Cash Flow CDO of SF CDO 9/11/07 Transaction liquidated 3 1/25/08
Forge ABS High Grade CDO I Ltd. (U.S.) 1,495,500,000.00 Cash Flow High Grade SF 4/24/07 Acceleration notice received 2 1/30/08
ART CDO 2006-1 Ltd. (U.S.) 107,200,000.00 Cash Flow High Grade SF 8/23/06 Acceleration notice received 1 2/1/08
Summer Street 2007-1, Ltd. (U.S.) 549,000,000.00 Cash Flow Mezzanine SF 6/12/07 Transaction liquidated 1 2/1/08
PYXIS ABS CDO 2007-1 Ltd. (U.S.) 1,489,000,000.00 Hybrid Mezzanine SF 3/22/07 Liquidation notice received 1 2/1/08
Corona Borealis CDO Ltd. (U.S.) 1,455,500,000.00 Hybrid Mezzanine SF 5/2/07 Transaction liquidated 1 2/1/08
GSC ABS Funding 2006-3g, Ltd. (U.S.) 3,669,000,000.00 Cash Flow Mezzanine SF 1/23/07 Transaction liquidated 1 2/1/08
Ixis ABS CDO 2 Ltd. (U.S.) 486,500,000.00 Hybrid Mezzanine SF 6/30/06 Transaction liquidated 2 2/1/08
Cairn Mezz ABS CDO II Ltd. (U.S.) 729,625,000.00 Hybrid Mezzanine SF 11/20/06 Acceleration notice received 1 2/4/08
NovaStar ABS CDO I Ltd. (U.S.) 347,200,000.00 Cash Flow Mezzanine SF 2/9/07 Acceleration notice received 1 2/4/08
Pacific Pinnacle CDO Ltd. (U.S.) 1,865,600,000.00 Cash Flow High Grade SF 12/29/06 Transaction liquidated 1 2/4/08
Kleros Real Estate CDO III Ltd. (U.S.) 976,000,000.00 Cash Flow Mezzanine SF 12/29/06 Transaction liquidated 1 2/5/08
Aventine Hill CDO I Ltd. (U.S.) 788,600,000.00 Hybrid Mezzanine SF 9/5/07 Transaction liquidated 1 2/6/08
Mugello ABS CDO 2006-1 Ltd. (U.S.) 562,000,000.00 Hybrid Mezzanine SF 11/29/06 Transaction liquidated 1 2/6/08
Biltmore CDO 2007-1 Ltd. (U.S.) 1,000,000,000.00 Cash Flow High Grade SF 8/1/07 Acceleration notice received 1 2/7/08
Lacerta ABS CDO 2006-1 Ltd. (U.S.) 600,000,000.00 Hybrid Mezzanine SF 12/4/06 Acceleration notice received 1 2/7/08
Gulf Stream-Atlantic CDO 2007-1 Ltd. (U.S.) 500,000,000.00 Hybrid Mezzanine SF 3/5/07 Liquidation notice received* 1 2/7/08
Tenorite CDO I Ltd. (U.S.) 1,027,000,000.00 Hybrid Mezzanine SF 5/23/07 Transaction liquidated 1 2/7/08
Western Springs CDO Ltd. (U.S.) 495,600,000.00 Hybrid Mezzanine SF 5/21/07 Transaction liquidated 2 2/7/08
Longshore CDO 2007-3 Ltd. (U.S.) 1,300,000,000.00 Hybrid High Grade SF 5/2/07 EOD notice received 1 2/8/08
Kleros Preferred Funding VII, Ltd. (U.S.) 1,490,000,000.00 Cash Flow High Grade SF 5/2/07 EOD notice received* 1 2/8/08
Halyard CDO I, PLC (U.K.) 217,500,000.00 Hybrid Mezzanine SF 10/27/06 Transaction liquidated 1 2/8/08
Octonion I CDO Ltd. (U.S.) 990,250,000.00 Hybrid Mezzanine SF 3/28/07 Transaction liquidated* 1 2/8/08
Careel Bay CDO Ltd. (U.S.) 750,000,000.00 Hybrid Mezzanine SF 1/22/07 Transaction liquidated 1 2/11/08
Longport Funding III Ltd. (U.S.) 750,000,000.00 Hybrid Mezzanine SF 4/12/07 Transaction liquidated 1 2/11/08
Kefton CDO I Ltd. (U.S.) 670,000,000.00 Hybrid Mezzanine SF 12/22/06 Transaction liquidated 2 2/12/08
Preston CDO I, Ltd.(U.S.) 355,400,000.00 Hybrid Mezzanine SF 9/4/07 Transaction liquidated 1 2/12/08
Scorpius CDO Ltd. (U.S.) 1,484,500,000.00 Hybrid Mezzanine SF 11/1/06 Transaction liquidated 1 2/12/08
Auriga CDO Ltd. (U.S.) 1,510,450,000.00 Hybrid Mezzanine SF 1/2/07 Transaction liquidated 1 2/13/08
Draco 2007-1 Ltd. (U.S.) 2,000,000,000.00 Hybrid Mezzanine SF 5/2/07 Transaction liquidated 1 2/13/08
Longridge ABS CDO II, Ltd. (U.S.) 500,000,000.00 Hybrid Mezzanine SF 3/1/07 Transaction liquidated 1 2/13/08
Adams Square Funding II Ltd. (U.S.) 979,200,000.00 Hybrid Mezzanine SF 3/30/07 EOD notice received* 2 2/14/08
Vertical ABS CDO 2007-2 Ltd. (U.S.) 758,875,000.00 Hybrid Mezzanine SF 9/4/07 Transaction liquidated 1 2/14/08
Brookville CDO I, Ltd. (U.S.) 499,000,000.00 Cash Flow Mezzanine SF 5/2/07 Acceleration notice received 2 2/19/08
Arca Funding 2006- II, Ltd. (U.S.) 700,210,000.00 Hybrid Mezzanine SF 1/4/07 Transaction liquidated 2 2/21/08
Silver Marlin CDO I Ltd. (U.S.) 1,250,500,000.00 Cash Flow High Grade SF 4/2/07 Acceleration notice received 2 2/22/08
Stockton CDO Ltd. (U.S.) 900,000,000.00 Hybrid Mezzanine SF 8/1/07 Acceleration notice received 1 2/22/08
PASA Funding 2007 Ltd. (U.S.) 3,017,400,000.00 Cash Flow High Grade SF 4/3/07 Transaction liquidated 2 2/22/08
Tahoma CDO III, Ltd. (U.S.) 350,000,000.00 Hybrid CDO of SF CDO 5/2/07 EOD notice received 1 2/25/08
Brooklyn Structured Finance CDO Ltd. (U.S.) 993,500,000.00 Cash Flow High Grade SF 12/4/06 Transaction liquidated 1 2/25/08
Wadsworth CDO, Ltd. (U.S.) 132,987,500.00 Cash Flow High Grade SF 10/3/06 Acceleration notice received 1 2/26/08
BRODERICK CDO 2 Ltd. (U.S.) 167,200,000.00 Cash Flow High Grade SF 1/3/06 Acceleration notice received 1 2/27/08
Cairn Mezz ABS CDO IV Ltd. (U.S.) 500,000,000.00 Hybrid Mezzanine SF 6/5/07 Transaction liquidated 1 2/27/08
High Grade Structured Credit CDO 2007-1 Ltd. (U.S.) 4,027,000,000.00 Cash Flow High Grade SF 6/4/07 Transaction liquidated 1 2/27/08
Faxtor HG 2007-1 Ltd. (U.K.) 1,250,000,000.00 Cash Flow High Grade SF 5/31/07 Acceleration notice received 1 2/28/08
ESP Funding I Ltd. (U.S.) 90,200,000.00 Hybrid High Grade SF 12/14/06 Acceleration notice received 2 2/28/08
Cairn High Grade ABS CDO II Ltd. (U.S.) 1,007,250,000.00 Hybrid High Grade SF 10/3/06 Transaction liquidated 1 2/29/08
Independence V Ltd. (U.S.) 601,600,000.00 Cash Flow Mezzanine SF 2/25/04 Acceleration notice received 2 2/29/08
6th Avenue Funding 2006-1 Ltd. (U.S.) 160,900,000.00 Cash Flow CDO of SF CDO 10/16/06 Transaction liquidated 1 2/29/08
Camber 6 PLC (U.S.) 766,000,000.00 Hybrid Mezzanine SF 9/20/06 Transaction liquidated 1 3/3/08
Visage CDO I PLC (U.K.). 162,000,000.00 Hybrid Mezzanine SF 9/13/06 Transaction liquidated 1 3/3/08
Bernoulli High Grade CDO II Ltd. (U.S.) 1,500,000,000.00 Cash Flow High Grade SF 8/30/07 Acceleration notice received 1 3/4/08
ACA ABS CDO 2006-1 Ltd (U.S.) 750,000,000.00 Cash Flow Mezzanine SF 5/3/06 Acceleration notice received* 1 3/5/08
G Square Finance 2007-1 Ltd. (U.K.) 1,700,000,000.00 Cash Flow High Grade SF 5/2/07 EOD notice received 1 3/5/08
Hamilton Gardens CDO II Ltd. (U.S.) 400,000,000.00 Hybrid Mezzanine SF 9/5/07 Transaction liquidated 1 3/5/08
Palmer ABS CDO 2007-1 Ltd. (U.S.) 1,000,000,000.00 Hybrid Mezzanine SF 3/26/07 Acceleration notice received 1 3/6/08
Newbury Street CDO Ltd. (U.S.) 2,000,400,000.00 Cash Flow High Grade SF 4/3/07 EOD notice received 1 3/6/08
Plettenberg Bay CDO Ltd. (U.S.) 522,250,000.00 Hybrid Mezzanine SF 3/27/07 Transaction liquidated 2 3/6/08
Norma CDO I Ltd. (U.S.) 1,500,000,000.00 Hybrid Mezzanine SF 3/2/07 Transaction liquidated 2 3/10/08
Timberwolf I, Ltd. (U.S.) 1,017,300,000.00 Hybrid Mezzanine SF 4/3/07 Transaction liquidated 2 3/10/08
Singa Funding Ltd. (U.S.) 1,003,500,000.00 Cash Flow Mezzanine SF 12/4/06 Transaction liquidated 1 3/11/08
Camber 7 PLC (U.S.) 915,500,000.00 Hybrid Mezzanine SF 3/8/07 Acceleration notice received 1 3/12/08
Cetus ABS CDO 2006-2 Ltd. (U.S.) 300,000,000.00 Hybrid Mezzanine SF 11/16/06 Acceleration notice received 1 3/12/08
Fourth Street Funding Ltd. (U.S.) 500,500,000.00 Cash Flow Mezzanine SF 5/2/07 Acceleration notice received 1 3/12/08
Citation High Grade ABS CDO I Ltd. (U.S.) 1,104,500,000.00 Cash Flow High Grade SF 2/12/07 EOD notice received 1 3/13/08
Tasman CDO Ltd. (U.S.) 300,000,000.00 Cash Flow CDO of SF CDO 1/26/07 Transaction liquidated 2 3/17/08
Fiorente Funding Ltd. (U.K.) 850,000,000.00 Hybrid High Grade SF 12/4/06 EOD notice received 1 3/18/08
TABS 2005-4 Ltd. (U.S.) 402,000,000.00 Cash Flow Mezzanine SF 4/26/06 Acceleration notice received 1 3/19/08
Tahoma CDO I Ltd. (U.S.) 1,000,000,000.00 Hybrid CDO of SF CDO 12/29/06 EOD notice received 2 3/25/08
Ivy Lane CDO Ltd. (U.S.) 511,500,000.00 Cash Flow Mezzanine SF 4/30/06 Acceleration notice received 2 3/26/08
Arca Funding 2006- I, Ltd. (U.S.) 710,000,000.00 Hybrid Mezzanine SF 10/26/06 Transaction liquidated 2 3/27/08
Duke Funding XII Ltd. (U.S.) 2,250,000,000.00 Hybrid Mezzanine SF 2/21/07 Transaction liquidated 1 3/28/08
Tourmaline CDO III Ltd. (U.S.) 1,511,000,000.00 Hybrid Mezzanine SF 5/3/07 Transaction liquidated 1 3/31/08
Tourmaline CDO II Ltd. (U.S.) 1,000,000,000.00 Hybrid Mezzanine SF 7/11/06 Transaction liquidated 1 3/31/08
Stack 2005-2 Ltd. (U.S.) 500,000,000.00 Hybrid Mezzanine SF 12/23/05 Transaction liquidated 1 4/1/08
FAB US 2006-1 PLC (U.S.) 366,050,000.00 Cash Flow Mezzanine SF 12/1/06 Acceleration notice received* 2 4/2/08
Longridge CDO I Ltd. (U.S.) 500,000,000.00 Hybrid Mezzanine SF 3/1/07 Transaction liquidated 2 4/2/08
Highridge ABS CDO II Ltd. (U.S.) 1,000,000,000.00 Cash Flow High Grade SF 10/15/07 Transaction liquidated 1 4/3/08
Tourmaline CDO I Ltd. (U.S.) 750,000,000.00 Hybrid Mezzanine SF 9/30/05 Acceleration notice received 1 4/3/08
Octans I CDO Ltd. (U.S.) 1,504,000,000.00 Hybrid Mezzanine SF 12/25/06 Transaction liquidated 1 4/3/08
Raffles Place II Funding Ltd. (U.S.) 997,000,000.00 Cash Flow High Grade SF 12/26/06 Transaction liquidated 1 4/4/08
Tallships Funding Ltd. (U.S.) 1,526,500,000.00 Hybrid Mezzanine SF 3/14/07 Transaction liquidated 2 4/4/08
Kleros Real Estate CDO II, Ltd. (U.S.) 998,700,000.00 Cash Flow Mezzanine SF 8/25/06 EOD notice received 1 4/7/08
Laguna Seca Funding I Ltd. (U.S.) 500,000,000.00 Hybrid Mezzanine SF 5/27/07 EOD notice received 1 4/8/08
Independence VII, Ltd. (U.S.) 603,800,000.00 Cash Flow Mezzanine SF 6/30/06 Acceleration notice received 2 4/9/08
Cetus ABS CDO 2006-1 Ltd. (U.S.) 1,000,000,000.00 Hybrid Mezzanine SF 10/4/06 Acceleration notice received 1 4/10/08
Kleros Preferred Funding IX Ltd. (U.S.) 1,999,000,000.00 Cash Flow High Grade SF 11/8/07 EOD notice received 2 4/11/08
Belle Haven ABS CDO 2006-1 Ltd. (U.S.) 2,000,000,000.00 Cash Flow High Grade SF 7/24/06 Acceleration notice received 1 4/14/08
Maxim High Grade I CDO Ltd. (U.S) 2,000,000,000.00 Cash Flow High Grade SF 12/29/06 Acceleration notice received 3 4/14/08
Maxim High Grade II CDO Ltd. (U.S) 2,000,000,000.00 Cash Flow High Grade SF 6/28/07 Acceleration notice received 3 4/14/08
Stillwater ABS 2006-1 Ltd. (U.S.) 649,991,000.00 Cash Flow High Grade SF 7/31/06 Acceleration notice received 1 4/14/08
Brigantine High Grade Funding, Ltd. (U.S.) 2,000,000,000.00 Cash Flow High Grade SF 3/6/07 EOD notice received 2 4/14/08
Glacier Funding CDO IV, Ltd. (U.S.) 401,250,000.00 Hybrid Mezzanine SF 6/23/06 Acceleration notice received 1 4/15/08
Gemstone VII Ltd. (U.S.) 1,101,500,000.00 Hybrid Mezzanine SF 3/27/07 EOD notice received 1 4/15/08
Topanga CDO II Ltd. (U.S.) 1,015,000,000.00 Hybrid Mezzanine SF 12/29/06 Transaction liquidated 1 4/15/08
Cherry Creek CDO I Ltd. (U.S.) 300,000,000.00 Cash Flow Mezzanine SF 7/14/06 Transaction liquidated 1 4/15/08
Furlong Synthetic ABS CDO 2006-1, Ltd. (U.S.) 500,000,000.00 Hybrid Mezzanine SF 8/29/06 Transaction liquidated 1 4/15/08
Rockville CDO I Ltd. (U.S.) 1,196,600,000.00 Cash Flow High Grade SF 11/1/06 Acceleration notice received 2 4/17/08
Big Horn 2007-1 Ltd. (U.S.) 1,000,000,000.00 Hybrid CDO of SF CDO 9/4/07 Transaction liquidated 3 4/17/08
Static Residential CDO 2006-C Ltd. (U.S.) 750,000,000.00 Hybrid Mezzanine SF 12/29/06 Transaction liquidated 2 4/18/08
Longstreet CDO I Ltd. (U.S.) 500,000,000.00 Cash Flow Mezzanine SF 10/25/06 Acceleration notice received 2 4/22/08
Tazlina Funding CDO I, Ltd. (U.S.) 1,496,500,000.00 Cash Flow High Grade SF 8/28/06 Acceleration notice received 1 4/23/08
Costa Bella CDO Ltd. (U.S.) 501,050,000.00 Hybrid Mezzanine SF 3/9/07 Transaction liquidated 1 4/24/08
Cairn Mezz ABS CDO III Ltd. (U.S.) 1,000,000,000.00 Hybrid Mezzanine SF 4/3/07 Acceleration notice received 1 4/25/08
Mulberry Street CDO II, Ltd. (U.S.) 700,000,000.00 Cash Flow Mezzanine SF 6/26/03 Acceleration notice received 2 4/28/08
Kleros Real Estate CDO I Ltd. (U.S.) 1,123,700,000.00 Cash Flow Mezzanine SF 3/10/06 EOD notice received 2 4/29/08
Libra CDO Ltd. (U.S.) 1,565,400,000.00 Hybrid Mezzanine SF 1/3/07 Acceleration notice received 2 4/30/08
ALPHA MEZZ CDO 2007-1 Ltd. (U.S.) 500,000,000.00 Hybrid Mezzanine SF 3/21/07 Transaction liquidated 1 4/30/08
HSPI DIVERSIFIED CDO FUND II LTD. (U.S.) 733,000,000.00 Hybrid CDO of SF CDO 6/25/07 Acceleration notice received 2 5/1/08
MKP Vela CBO Ltd. (U.S.) 1,500,000,000.00 Hybrid Mezzanine SF 2/17/07 Transaction liquidated 2 5/1/08
Independence VI, Ltd. (U.S.) 956,000,000.00 Cash Flow Mezzanine SF 7/1/05 Acceleration notice received 2 5/5/08
Duke Funding XIII Ltd. (U.S.) 1,785,400,000.00 Hybrid Mezzanine SF 7/3/07 Transaction liquidated 2 5/5/08
Hudson High Grade Funding 2006-1 Ltd. (U.S.) 1,511,650,000.00 Cash Flow High Grade SF 12/1/06 Transaction liquidated 1 5/5/08
G Square Finance 2006-2 Ltd. (U.K.) 1,000,000,000.00 Cash Flow High Grade SF 12/1/06 Transaction liquidated 1 5/6/08
Straits Global ABS CDO I Ltd. (U.S.) 420,000,000.00 Cash Flow Mezzanine SF 10/28/04 Acceleration notice received 2 5/7/08
E*Trade ABS CDO IV Ltd. (U.S.) 299,900,000.00 Cash Flow Mezzanine SF 4/1/06 Acceleration notice received 1 5/7/08
Octans II CDO Ltd. (U.S.) 1,575,000,000.00 Hybrid Mezzanine SF 12/20/06 Transaction liquidated 2 5/8/08
Class V Funding Ltd. (U.S.) 205,000,000.00 Cash Flow CDO of SF CDO 4/20/05 Acceleration notice received 1 5/12/08
Sorin CDO VI Ltd. (U.S.) 550,000,000.00 Cash Flow Mezzanine SF 4/3/07 Acceleration notice received 1 5/12/08
HSPI DIVERSIFIED CDO FUND I, LTD. (U.S.) 622,900,000.00 Hybrid CDO of SF CDO 1/4/07 EOD notice received 2 5/12/08
Liberty Harbour CDO II Ltd. (U.S.) 3,349,700,000.00 Cash Flow High Grade SF 3/5/07 Transaction liquidated 3 5/12/08
ACA Aquarius CDO 2006-1 Ltd. (U.S.) 2,000,000,000.00 Hybrid Mezzanine SF 10/11/06 Transaction liquidated 2 5/13/08
Acacia Option Arm 1 CDO, Ltd. (U.S.) 500,000,000.00 Hybrid Mezzanine SF 6/3/07 Acceleration notice received 1 5/16/08
Libertas Preferred Funding II Ltd. (U.S.) 509,750,000.00 Hybrid Mezzanine SF 2/28/07 Acceleration notice received 1 5/16/08
Tazlina Funding CDO II, Ltd. (U.S.) 1,500,000,000.00 Cash Flow High Grade SF 6/5/07 Acceleration notice received 3 5/19/08
Lochsong Ltd. (U.S.) 1,207,500,000.00 Hybrid Mezzanine SF 10/4/06 Transaction liquidated 3 5/19/08
Longshore CDO Funding 2006-2 Ltd. (U.S.) 1,000,000,000.00 Cash Flow High Grade SF 6/15/06 Transaction liquidated 1 5/29/08
Fort Duquesne CDO 2006-1, Ltd. (U.S.) 1,000,000,000.00 Cash Flow High Grade SF 3/24/07 Transaction liquidated 1 6/3/08
MKP CBO V, Ltd. (U.S.) 702,000,000.00 Cash Flow Mezzanine SF 12/13/05 Acceleration notice received 1 6/5/08
Sorin CDO V Ltd. (U.S.) 600,000,000.00 Cash Flow Mezzanine SF 1/6/07 Transaction liquidated 1 6/6/08
Point Pleasant Funding 2007-1 Ltd. (U.S.) 1,000,000,000.00 Hybrid CDO of SF CDO 4/25/07 EOD notice received 3 6/10/08
Kent Funding II Ltd. (U.S.) 1,250,000,000.00 Cash Flow High Grade SF 12/8/06 Acceleration notice received 1 6/12/08
Knollwood CDO Ltd. (U.S.) 303,750,000.00 Cash Flow Mezzanine SF 3/3/04 Acceleration notice received 1 6/19/08
Manasquan CDO 2005-1 Ltd. (U.S.) 308,250,000.00 Cash Flow CDO of SF CDO 12/29/05 Acceleration notice received 1 6/27/08
Neptune CDO II Ltd. (U.S.) 301,000,000.00 Cash Flow Mezzanine SF 7/28/05 Acceleration notice received 1 6/27/08
Libertas Preferred Funding III Ltd. (U.S.) 1,200,000,000.00 Hybrid Mezzanine SF 3/27/07 Transaction liquidated 1 7/1/08
Robeco High Grade CDO I Ltd. (U.S.) 1,100,550,000.00 Cash Flow High Grade SF 6/20/07 EOD notice received 3 7/16/08
Hudson Mezzanine Funding 2006-1 Ltd. (U.S.) 2,000,000,000.00 Hybrid Mezzanine SF 12/29/06 Transaction liquidated 3 7/22/08
Millstone II CDO Ltd. (U.S.) 1,500,000,000.00 Cash Flow High Grade SF 8/4/06 Acceleration notice received 2 7/24/08
IMAC CDO 2006-1 Ltd. (U.S.) 300,000,000.00 Cash Flow CDO of SF CDO 5/1/07 Transaction liquidated 3 7/30/08
Camber 5 Ltd. (U.S.) 502,250,000.00 Cash Flow Mezzanine SF 12/21/05 EOD notice received 1 7/31/08
Bluegrass ABS CDO III, Ltd. (U.S.) 400,000,000.00 Cash Flow Mezzanine SF 9/15/04 Acceleration notice received 1 8/1/08
Millerton II High Grade ABS CDO Ltd. (U.S.) 1,301,500,000.00 Cash Flow High Grade SF 5/11/06 EOD notice received 1 8/1/08
Harp High Grade CDO I Ltd. (U.S.) 1,000,000,000.00 Cash Flow High Grade SF 7/18/06 EOD notice received 1 8/5/08
Longshore CDO Funding 2006-1 Ltd. (U.S.) 750,000,000.00 Cash Flow High Grade SF 1/1/06 Liquidation notice received 1 8/5/08
Capmark VI Ltd. (U.S.) 500,000,000.00 Hybrid Mezzanine SF 10/20/06 Transaction liquidated 1 8/6/08
Nautilus RMBS CDO III Ltd. (U.S.) 402,200,000.00 Cash Flow Mezzanine SF 6/12/06 Transaction liquidated 1 8/7/08
Libertas Preferred Funding IV Ltd. (U.S.) 499,750,000.00 Hybrid Mezzanine SF 6/27/07 Transaction liquidated 2 8/8/08
Grand Avenue III CDO Ltd. (U.S.) 850,000,000.00 Cash Flow High Grade SF 8/2/07 Acceleration notice received 3 8/11/08
ACA ABS 2007-3 LTD. (U.S.) 350,000,000.00 Cash Flow Mezzanine SF 9/4/07 EOD notice received 3 8/13/08
Kleros Preferred Funding VIII Ltd. (U.S.) 3,001,000,000.00 Cash Flow High Grade SF 7/3/07 Acceleration notice received 3 8/22/08
Port Jackson CDO 2007-1 Ltd. (U.S.) 350,000,000.00 Cash Flow CDO of SF CDO 7/24/07 Acceleration notice received 3 8/26/08
Duke Funding High Grade V Ltd. (U.S.) 1,500,000,000.00 Cash Flow High Grade SF 9/14/06 Acceleration notice received 1 8/27/08
Mulberry Street CDO I, Ltd. (U.S.) 500,000,000.00 Cash Flow Mezzanine SF 12/18/02 Acceleration notice received 1 8/28/08
Nautilus RMBS CDO IV Ltd. (U.S.) 625,000,000.00 Cash Flow Mezzanine SF 4/2/07 Transaction liquidated 1 9/4/08
Ischus Mezzanine CDO III Ltd. (U.S.) 605,000,000.00 Cash Flow Mezzanine SF 9/5/06 EOD notice received 1 9/8/08
Vertical Virgo 2006-1 Ltd.(U.S.) 2,095,000,000.00 Hybrid Mezzanine SF 1/29/07 Transaction liquidated 1 9/8/08
Silver Elms CDO II Ltd. (U.S.) 1,248,000,000.00 Cash Flow High Grade SF 5/2/07 Acceleration notice received 1 9/10/08
Grand Avenue CDO Ltd. (U.S.) 1,200,000,000.00 Cash Flow High Grade SF 6/28/06 Acceleration notice received 3 9/12/08
Lincoln Avenue ABS CDO Ltd. (U.S.) 1,250,333,000.00 Cash Flow High Grade SF 9/25/06 Acceleration notice received 3 9/12/08
Inman Square Funding II Ltd. (U.S.) 300,000,000.00 Cash Flow Mezzanine SF 9/23/05 EOD notice received 1 9/16/08
Fulton Street CDO Ltd. (U.S.) 400,000,000.00 Cash Flow Mezzanine SF 3/24/02 Acceleration notice received 1 9/17/08
Stack 2006-2 Ltd. (U.S.) 515,000,000.00 Hybrid Mezzanine SF 10/24/06 Transaction liquidated 3 9/19/08
Cairn Mezz ABS CDO I PLC (U.S.) 500,000,000.00 Hybrid Mezzanine SF 10/2/06 Transaction liquidated 1 9/24/08
Mercury CDO II Ltd. (U.S.) 1,000,000,000.00 Cash Flow High Grade SF 12/12/05 Acceleration notice received 1 9/29/08
Blue Heron Funding IX Ltd. (U.S.) 1,000,000,000.00 Cash Flow High Grade SF 2/18/04 EOD notice received 3 9/29/08
Hillcrest CDO I Ltd. (U.S.) 425,000,000.00 Cash Flow Mezzanine SF 11/10/04 Acceleration notice received 3 10/1/08
Cheyne ABS Investments I PLC (U.K.) 178,000,000.00 Cash Flow CDO of SF CDO 9/16/05 EOD notice received 1 10/2/08
HG-Coll 2007-1 Ltd. (U.S.) 1,003,800,000.00 Cash Flow High Grade SF 6/29/07 Acceleration notice received 1 10/6/08
GSC ABS CDO 2006-1c, Ltd. (U.S.) 525,000,000.00 Hybrid Mezzanine SF 6/19/06 EOD notice received 1 10/8/08
Pascal CDO Ltd. (U.S.) 1,027,500,000.00 Hybrid High Grade SF 8/4/05 Transaction liquidated 1 10/13/08
Jupiter High Grade CDO VI Ltd. (U.S.) 1,501,100,000.00 Cash Flow High Grade SF 5/15/07 Acceleration notice received 3 10/15/08
Stack 2007-2 Ltd. (U.S.) 600,000,000.00 Hybrid Mezzanine SF 4/2/07 EOD notice received 3 10/15/08
Nassau CDO I Ltd. (U.S.) 1,500,000,000.00 Cash Flow High Grade SF 2/12/07 Transaction liquidated 1 10/16/08
Stockbridge CDO Ltd. (U.S.) 250,000,000.00 Cash Flow CDO of SF CDO 11/18/04 Liquidation notice received 2 10/20/08
Los Robles CDO Ltd. (U.S.) 937,500,000.00 Hybrid Mezzanine SF 9/5/07 Transaction liquidated 1 10/22/08
Bayberry Funding Ltd. (U.S.) 800,000,000.00 Hybrid Mezzanine SF 2/15/06 Transaction liquidated 1 10/22/08
Barrington CDO Ltd.(U.S.) 1,000,000,000.00 Cash Flow High Grade SF 12/21/05 Acceleration notice received 1 10/24/08
Belle Haven ABS CDO 2005-1 Ltd. (U.S.) 750,000,000.00 Cash Flow Mezzanine SF 7/1/05 EOD notice received 1 10/24/08
Knollwood CDO II Ltd. (U.S.) 826,200,000.00 Hybrid Mezzanine SF 7/18/06 Acceleration notice received 1 10/24/08
Marathon Structured Funding I LLC (U.S.) 1,000,000,000.00 Cash Flow Mezzanine SF 3/10/05 EOD notice received 1 10/24/08
Ceago ABS CDO 2007-1 Ltd. (U.S.) 1,000,000,000.00 Cash Flow High Grade SF 9/5/07 EOD notice received 1 10/27/08
Kleros Real Estate CDO IV, Ltd. (U.S.) 1,000,000,000.00 Cash Flow Mezzanine SF 5/28/07 EOD notice received 1 10/30/08
Dalton CDO Ltd. (U.S.) 395,000,000.00 Hybrid CDO of SF CDO 7/3/07 EOD notice received 1 10/31/08
Midori CDO Ltd. (U.S.) 500,000,000.00 Hybrid Mezzanine SF 11/1/06 Transaction liquidated 1 10/31/08
Libertas Preferred Funding V Ltd. (U.S.) 618,000,000.00 Hybrid Mezzanine SF 6/27/07 Acceleration notice received 1 11/4/08
MKP CBO IV Ltd. (U.S.) 401,000,000.00 Cash Flow Mezzanine SF 3/10/05 Acceleration notice received 1 11/4/08
Ambassador Structured Finance CDO Ltd. (U.S.) 1,000,000,000.00 Cash Flow High Grade SF 12/13/05 EOD notice received 1 11/5/08
Ischus Mezzanine CDO IV, Ltd. (U.S.) 507,000,000.00 Hybrid Mezzanine SF 7/2/07 Transaction liquidated 1 11/5/08
Fox Trot CDO Ltd. (U.S.) 1,000,000,000.00 Cash Flow High Grade SF 10/22/06 EOD notice received 1 11/6/08
Halcyon Securitized Products Investors ABS CDO II Ltd. (U.S.) 500,000,000.00 Hybrid Mezzanine SF 6/3/07 Transaction liquidated 1 11/6/08
GSC ABS CDO 2005-1 Ltd. (U.S.) 500,000,000.00 Hybrid Mezzanine SF 5/12/06 Transaction liquidated 1 11/7/08
Hamilton Gardens CDO I Ltd. (U.S.) 500,000,000.00 Hybrid Mezzanine SF 12/15/06 EOD notice received 1 11/10/08
Citius II Funding Ltd. (U.S.) 1,984,000,000.00 Cash Flow High Grade SF 12/22/06 Transaction liquidated 3 11/13/08
Ischus High Grade Funding I Ltd. (U.S.) 1,200,000,000.00 Cash Flow High Grade SF 5/31/06 Transaction liquidated 1 11/13/08
Sherwood Funding CDO II Ltd. (U.S.) 500,000,000.00 Cash Flow Mezzanine SF 12/23/05 Acceleration notice received 1 11/14/08
Duke Funding High Grade IV, Ltd. (U.S.) 1,500,000,000.00 Cash Flow High Grade SF 2/1/06 Acceleration notice received 1 11/21/08
Duke Funding High Grade VI, Ltd. (U.S.) 314,000,000.00 Hybrid High Grade SF 12/4/07 Acceleration notice received 1 11/21/08
Ipswich Street CDO Ltd. (U.S.) 1,704,900,000.00 Cash Flow High Grade SF 10/25/06 Acceleration notice received 1 11/21/08
Centre Square CDO Ltd. (U.S.) 502,000,000.00 Cash Flow CDO of SF CDO 4/30/07 Acceleration notice received 3 11/24/08
Lancer Funding, Ltd. (U.S.) 1,500,000,000.00 Cash Flow High Grade SF 4/30/06 Transaction liquidated 1 11/24/08
Clifton I CDO Ltd. (U.S.) 1,500,000,000.00 Cash Flow High Grade SF 6/7/07 Transaction liquidated 1 11/26/08
Mount Skylight CDO Ltd. (U.S.) 1,000,000,000.00 Cash Flow High Grade SF 9/5/06 EOD notice received 1 11/26/08
Pyxis ABS CDO 2006-1, Ltd. (U.S.) 1,500,000,000.00 Hybrid Mezzanine SF 2/23/07 Acceleration notice received 1 12/4/08
Coldwater CDO Ltd. (U.S.) 401,000,000.00 Cash Flow Mezzanine SF 11/28/06 EOD notice received 1 12/4/08
Cascade Funding CDO I Ltd. (U.S.) 402,700,000.00 Cash Flow High Grade SF 7/26/04 Acceleration notice received 3 12/8/08
Kent Funding III Ltd. (U.S.) 1,303,000,000.00 Cash Flow High Grade SF 2/9/07 Acceleration notice received 3 12/8/08
Duke Funding VI, Ltd. (U.S.) 950,000,000.00 Cash Flow Mezzanine SF 3/22/04 Acceleration notice received 1 12/11/08
Duke Funding High Grade III, Ltd. (U.S.) 3,306,500,000.00 Cash Flow High Grade SF 8/30/05 Acceleration notice received 1 12/12/08
Pacific Bay CDO Ltd. (U.S.) 449,000,000.00 Cash Flow Mezzanine SF 11/4/03 Acceleration notice received 1 12/12/08
Fortress ABS Opportunities Ltd. (U.S.) 1,075,031,000.00 Cash Flow Mezzanine SF 12/16/04 Transaction liquidated 1 12/19/08
Diogenes CDO II Ltd. (U.S.) 600,000,000.00 Hybrid Mezzanine SF 1/15/07 EOD notice received 3 12/22/08
Athos Funding Ltd. (U.S.) 1,009,100,000.00 Cash Flow High Grade SF 12/20/04 Transaction liquidated 1 12/22/08
Tremonia CDO 2005-1 PLC (U.S.) 1,000,000,000.00 Cash Flow High Grade SF 11/2/05 Acceleration notice received 1 12/30/08
Millstone III CDO Ltd. (U.S.) 2,200,000,000.00 Cash Flow High Grade SF 7/31/06 EOD notice received 2 1/7/09
C-BASS CBO XIX Ltd (U.S.) 477,350,000.00 Cash Flow Mezzanine SF 7/2/07 EOD notice received 3 1/9/09
RFC CDO IV Ltd (U.S.) 400,000,000.00 Hybrid Mezzanine SF 7/17/06 EOD notice received 2 1/9/09
Highgate ABS CDO Ltd. (U.S.) 751,500,000.00 Cash Flow High Grade SF 3/20/06 Acceleration notice received 3 1/12/09
E*Trade ABS CDO V Ltd. (U.S.) 300,000,000.00 Cash Flow Mezzanine SF 11/30/06 EOD notice received 3 1/12/09
Hereford Street ABS CDO I Ltd (U.S.) 1,200,000,000.00 Cash Flow High Grade SF 12/21/05 EOD notice received 2 1/12/09
Glacier Funding CDO V, Ltd. (U.S.) 498,500,000.00 Hybrid Mezzanine SF 3/30/07 EOD notice received 3 1/15/09
New Bond Street CDO 1 PLC (U.K.) 1,002,565,000.00 Cash Flow Mezzanine SF 7/13/06 Acceleration notice received 3 1/19/09
Stack 2006-1 Ltd. (U.S.) 500,000,000.00 Hybrid Mezzanine SF 10/24/06 Transaction liquidated 1 1/20/09
Ischus CDO II Ltd. (U.S.) 403,000,000.00 Cash Flow Mezzanine SF 7/29/05 Acceleration notice received 1 1/26/09
Ixis ABS CDO 3 Ltd. (U.S.) 504,075,000.00 Hybrid Mezzanine SF 2/2/07 Transaction liquidated 1 1/29/09
Ischus Synthetic ABS CDO 2006-2 Ltd. (U.S.) 1,006,000,000.00 Hybrid Mezzanine SF 2/7/07 Acceleration notice received 1 1/30/09
BFC Ajax CDO Ltd. (U.S.) 445,000,000.00 Cash Flow Mezzanine SF 2/23/07 EOD notice received 1 2/2/09
Neptune CDO III Ltd. (U.S.) 406,000,000.00 Cash Flow Mezzanine SF 9/9/06 EOD notice received 1 2/2/09
ACA ABS 2005-2 Limited (U.S.) 450,000,000.00 Cash Flow Mezzanine SF 8/30/05 Transaction liquidated 1 2/3/09
Mayflower CDO I Ltd. (U.S.) 992,260,000.00 Hybrid Mezzanine SF 10/12/06 Transaction liquidated 1 2/3/09
South Coast Funding VIII Ltd. (U.S.) 506,500,000.00 Cash Flow Mezzanine SF 5/25/06 Acceleration notice received 1 2/4/09
Pine Mountain CDO II Ltd. (U.S.) 500,000,000.00 Cash Flow Mezzanine SF 11/16/06 Acceleration notice received 1 2/5/09
Le Monde CDO I PLC (U.S.) 2,379,000,000.00 Hybrid High Grade SF 3/26/07 Transaction liquidated 1 2/6/09
South Coast Funding II Ltd. (U.S.) 500,000,000.00 Cash Flow Mezzanine SF 6/6/02 Acceleration notice received 1 2/10/09
South Coast Funding III Ltd. (U.S.) 500,000,000.00 Cash Flow Mezzanine SF 7/10/03 Acceleration notice received 1 2/10/09
Springdale CDO 2006-1 Ltd. (U.S.) 596,300,000.00 Hybrid Mezzanine SF 9/20/06 Transaction liquidated 1 2/19/09
Independence III CDO Ltd. (U.S.) 300,000,000.00 Cash Flow Mezzanine SF 5/2/02 Acceleration notice received 1 2/20/09
Sherwood Funding CDO Ltd. (U.S.) 550,000,000.00 Cash Flow Mezzanine SF 10/26/04 Acceleration notice received 1 3/3/09
Paragon CDO Ltd. (U.S.) 1,000,000,000.00 Hybrid High Grade SF 11/23/04 EOD notice received 1 3/3/09
AVANTI Funding 2006-1 Ltd. (U.S.) 397,500,000.00 Cash Flow Mezzanine SF 8/25/06 Transaction liquidated 1 3/5/09
South Coast CDO I Ltd, (U.S.) 400,000,000.00 Cash Flow Mezzanine SF 12/21/01 EOD notice received 1 3/6/09
Zais Investment Grade VII Ltd. (U.S.) 365,500,000.00 Cash Flow CDO of SF CDO 10/31/05 Acceleration notice received 1 3/11/09
Hudson Mezzanine Funding 2006-2 Ltd. (U.S.) 400,000,000.00 Hybrid Mezzanine SF 3/1/07 EOD notice received 3 3/12/09
Barramundi CDO Ltd. (U.S.) 800,000,000.00 Hybrid Mezzanine SF 1/4/07 Transaction liquidated 3 3/13/09
Tower Hill CDO Ltd. (U.S.) 400,000,000.00 Hybrid Mezzanine SF 9/6/06 Transaction liquidated 1 3/19/09
Static Residential CDO 2006-B Ltd. (U.S.) 1,000,000,000.00 Hybrid Mezzanine SF 12/22/06 EOD notice received 3 3/20/09
Tahoma CDO II Ltd. (U.S.) 500,000,000.00 Hybrid CDO of SF CDO 4/3/07 EOD notice received 3 3/23/09
High Grade Structured Credit CDO 2005-1 Ltd. (U.S.) 781,900,000.00 Cash Flow High Grade SF 4/19/05 Acceleration notice received 1 3/25/09
Duke Funding XI, Ltd. (U.S.) 1,441,399,495.00 Hybrid Mezzanine SF 8/2/06 Acceleration notice received 1 3/27/09
Slate CDO 2007-1 Ltd. (U.S.) 600,000,000.00 Hybrid CUSIP CMBS 7/2/07 Transaction liquidated 1 4/3/09
Acacia CDO 7, Ltd. (U.S.) 300,000,000.00 Cash Flow Mezzanine SF 3/11/05 EOD notice received 1 4/3/09
Halcyon Securitized Products Investors ABS CDO I Ltd. (U.S.) 400,000,000.00 Hybrid Mezzanine SF 10/19/06 Transaction liquidated 1 4/6/09
Long Hill Funding 2006-1, Ltd. (U.S.) 800,000,000.00 Hybrid Mezzanine SF 5/18/06 Transaction liquidated 1 4/6/09
Dutch Hill Funding I Ltd. (U.S.) 400,000,000.00 Cash Flow Mezzanine SF 1/3/06 Acceleration notice received 1 4/7/09
Term CDO 2007-1 Ltd. (U.S.) 209,700,000.00 Cash Flow Mezzanine SF 6/4/07 Acceleration notice received 1 4/7/09
Duke Funding VII Ltd. (U.S.) 750,000,000.00 Cash Flow Mezzanine SF 7/18/04 Acceleration notice received 1 4/9/09
Inman Square Funding I Ltd. (U.S.) 300,000,000.00 Cash Flow Mezzanine SF 10/20/04 EOD notice received 1 4/13/09
West Trade Funding CDO II Ltd. (U.S.) 1,500,000,000.00 Cash Flow High Grade SF 3/6/07 Acceleration notice received 3 4/15/09
Charles Fort CDO I Ltd. (U.S.) 400,000,000.00 Cash Flow Mezzanine SF 6/27/07 Acceleration notice received 3 4/17/09
Gennaker I CDO Ltd. (U.K.) 600,000,000.00 Cash Flow CDO of SF CDO 8/24/05 Transaction liquidated 1 4/17/09
Raffles Place CDO I Ltd. (U.S.) 1,005,000,000.00 Cash Flow High Grade SF 12/5/05 Transaction liquidated 1 4/17/09
North Cove CDO III Ltd. (U.S.) 2,988,000,000.00 Hybrid High Grade SF 9/6/06 EOD notice received 3 4/20/09
Ayresome CDO I Ltd. (U.S.) 400,000,000.00 Cash Flow Mezzanine SF 12/5/05 Acceleration notice received 1 4/24/09
Grand Avenue CDO II Ltd. (U.S.) 1,500,000,000.00 Cash Flow High Grade SF 6/26/06 Acceleration notice received 1 4/29/09
Summer Street 2005-1, Ltd. (U.S.) 400,000,000.00 Cash Flow Mezzanine SF 10/20/05 EOD notice received 1 5/1/09
Nautilus RMBS CDO II Ltd. (U.S.) 400,000,000.00 Cash Flow Mezzanine SF 1/4/06 EOD notice received 1 5/7/09
Pine Mountain CDO III Ltd. (U.S.) 500,000,000.00 Hybrid Mezzanine SF 7/26/07 EOD notice received 1 5/7/09
Acacia CDO 6, Ltd. (U.S.) 300,000,000.00 Cash Flow Mezzanine SF 11/9/04 Acceleration notice received 1 5/18/09
Gemstone CDO VI Ltd. (U.S.) 700,000,000.00 Cash Flow Mezzanine SF 8/17/06 EOD notice received 3 5/22/09
Adrastea SHG 2007-1 Ltd. (U.S.) 2,000,000,000.00 Hybrid High Grade SF 9/6/07 Acceleration notice received 1 6/2/09
Kent Funding Ltd. (U.S.) 1,009,800,000.00 Cash Flow High Grade SF 4/1/05 Transaction liquidated 1 6/4/09
Fortius II Funding Ltd (U.S.) 500,000,000.00 Cash Flow Mezzanine SF 12/29/06 Acceleration notice received 3 6/10/09
West Trade Funding CDO III Ltd. (U.S.) 2,500,000,000.00 Cash Flow High Grade SF 6/5/07 EOD notice received 3 6/10/09
GSC ABS CDO 2006-2m Ltd. (U.S.) 516,000,000.00 Hybrid Mezzanine SF 8/26/06 Acceleration notice received 3 6/11/09
C-BASS CBO XVI Ltd. (U.S.) 386,419,000.00 Cash Flow Mezzanine SF 6/16/06 EOD notice received 3 6/11/09
South Coast Funding IX Ltd. (U.S.) 539,250,000.00 Hybrid Mezzanine SF 6/7/07 Transaction liquidated 3 6/12/09
South Coast Funding VII Ltd. (U.S.) 1,177,287,000.00 Cash Flow Mezzanine SF 6/2/05 Acceleration notice received 1 6/15/09
Anderson Mezzaninie Funding 2007-1 Ltd. (U.S.) 305,000,000.00 Hybrid Mezzanine SF 4/3/07 EOD notice received 3 6/19/09
Zais Investment Grade VIII Ltd. (U.S.) 450,000,000.00 Hybrid Mezzanine SF 3/29/06 Transaction liquidated 3 6/19/09
Acacia CDO 8, Ltd. (U.S.) 300,000,000.00 Cash Flow Mezzanine SF 7/14/05 EOD notice received 1 6/22/09
Khaleej II CDO Ltd. (U.S.) 751,125,000.00 Hybrid Mezzanine SF 10/20/05 EOD notice received 3 6/25/09
E*Trade ABS CDO III Ltd. (U.S.) 317,400,000.00 Cash Flow Mezzanine SF 12/22/04 Acceleration notice received 1 7/9/09
Topanga CDO Ltd. (U.S.) 155,000,000.00 Hybrid Mezzanine SF 1/26/06 Transaction liquidated 1 7/10/09
Tierra Alta Funding CDO I Ltd. (U.S.) 2,507,000,000.00 Cash Flow High Grade SF 2/1/06 Transaction liquidated 1 7/13/09
TABS 2005-3, Ltd. (U.S.) 304,300,000.00 Cash Flow Mezzanine SF 10/5/05 Transaction liquidated 1 7/14/09
Sharps CDO II Ltd. (U.S.) 1,000,000,000.00 Hybrid Mezzanine SF 7/2/07 EOD notice received 3 7/16/09
Solstice ABS CBO III Ltd. (U.S.) 549,500,000.00 Cash Flow Mezzanine SF 11/13/03 EOD notice received 1 7/20/09
Sheffield CDO II Ltd. (U.S.) 334,000,000.00 Hybrid CDO of SF CDO 12/28/06 Transaction liquidated 1 7/21/09
Static Residential CDO 2006-A Ltd. (U.S.) 1,000,000,000.00 Hybrid Mezzanine SF 4/12/06 EOD notice received 3 7/21/09
Lexington Capital Funding III Ltd. (U.S.) 1,212,175,000.00 Hybrid Mezzanine SF 4/11/07 Acceleration notice received 3 7/22/09
Lexington Capital Funding V Ltd. (U.S.) 600,825,000.00 Hybrid Mezzanine SF 4/3/07 EOD notice received 3 7/22/09
MKP CBO III Ltd.(U.S.) 412,000,000.00 Cash Flow Mezzanine SF 4/7/04 Acceleration notice received 1 7/24/09
Ischus CDO I Ltd. (U.S.) 400,000,000.00 Cash Flow Mezzanine SF 12/29/04 EOD notice received 1 7/31/09
Whitehawk CDO Funding Ltd. (U.S.) 1,000,000,000.00 Cash Flow High Grade SF 8/12/04 EOD notice received 1 8/6/09
Glacier Funding CDO I Ltd. (U.S.) 296,750,000.00 Cash Flow Mezzanine SF 3/12/04 Acceleration notice received 2 8/10/09
Coda CDO 2007-1 Ltd. (U.S.) 553,000,000.00 Hybrid Mezzanine SF 11/1/07 Acceleration notice received 3 8/13/09
Duke Funding IX, Ltd. (U.S.) 2,500,000,000.00 Hybrid Mezzanine SF 3/8/06 Acceleration notice received 3 8/13/09
Millstone Funding CDO Ltd. (U.S.) 995,000,000.00 Cash Flow High Grade SF 2/4/04 Transaction liquidated 1 8/14/09
New Bond Street CDO 2 PLC (U.K.) 201,825,000.00 Cash Flow CDO of SF CDO 11/9/07 EOD notice received 3 8/18/09
Duke Funding IV, Ltd. (U.S.) 355,500,000.00 Cash Flow Mezzanine SF 1/7/03 EOD notice received 1 8/28/09
Aurelius Capital CDO 2007-1 Ltd. (U.S.) 287,000,000.00 Hybrid CDO of SF CDO 10/3/07 Transaction liquidated 1 8/28/09
Millerton ABS CDO Ltd. (U.S.) 299,750,000.00 Cash Flow Mezzanine SF 11/23/04 EOD notice received 1 9/2/09
Coronado CDO Ltd. (U.S.) 500,000,000.00 Cash Flow Mezzanine SF 9/4/03 EOD notice received 1 9/3/09
Crystal River CDO 2005-1 Ltd. (U.S.) 377,904,000.00 Cash Flow Mezzanine SF 12/1/05 EOD notice received 3 9/10/09
Bering CDO Ltd. (U.S.) 400,000,000.00 Cash Flow Mezzanine SF 11/23/06 EOD notice received 3 9/15/09
Duke Funding V Ltd. (U.S.) 500,500,000.00 Cash Flow Mezzanine SF 8/14/03 Acceleration notice received 1 9/15/09
Euler ABS CDO I Ltd. (U.S.) 675,000,000.00 Hybrid Mezzanine SF 4/2/07 EOD notice received 3 9/17/09
Fort Dearborn CDO I Ltd. (U.S.) 506,979,000.00 Hybrid Mezzanine SF 9/1/05 Liquidation notice received 3 9/18/09
Vertical CRE CDO 2006-1 Ltd. (U.S.) 306,600,000.00 Cash Flow CDO of CMBS 7/28/06 Acceleration notice received 1 9/29/09
Porter Square CDO III Ltd. (U.S.) 400,000,000.00 Cash Flow Mezzanine SF 10/25/05 Acceleration notice received 1 10/1/09
Stanton ABS CDO I PLC (U.K.) 456,295,850.00 Cash Flow Mezzanine SF 4/25/05 EOD notice received 1 10/2/09
Fort Point CDO I Ltd. (U.S.) 400,000,000.00 Cash Flow Mezzanine SF 10/24/02 Acceleration notice received 1 10/6/09
Duke Funding X Ltd. (U.S.) 1,200,000,000.00 Hybrid Mezzanine SF 5/9/06 Acceleration notice received 3 10/16/09
Madaket Funding (U.S.) 1,002,000,000.00 Cash Flow High Grade SF 6/26/06 Transaction liquidated 1 10/23/09
Avebury Finance CDO PLC (U.K.) 1,010,000,000.00 Cash Flow High Grade SF 6/28/06 EOD notice received 3 10/28/09
Saturn Ventures II, Ltd. (U.S.) 410,000,000.00 Cash Flow Mezzanine SF 4/22/04 Transaction liquidated 1 10/28/09
Vermeer Funding II, Ltd. (U.S.) 306,176,000.00 Cash Flow Mezzanine SF 12/14/04 EOD notice received 1 11/4/09
Blue Edge ABS CDO Ltd. (U.S.) 1,250,000,000.00 Cash Flow High Grade SF 1/2/07 EOD notice received 1 11/6/09
Kimberlite CDO I, Ltd. (U.S.) 754,000,000.00 Hybrid CDO of CMBS 10/13/06 EOD notice received 1 11/16/09
Vertical ABS CDO 2006-2, Ltd. (U.S.) 500,000,000.00 Hybrid Mezzanine SF 10/20/06 EOD notice received 3 11/16/09
Fort Point CDO II Ltd. (U.S.) 500,000,000.00 Cash Flow Mezzanine SF 10/16/03 Transaction liquidated 1 11/19/09
ACA ABS CDO 2005-1 Ltd. (U.S.) 452,100,000.00 Cash Flow Mezzanine SF 3/2/05 Transaction liquidated 1 11/24/09
Lenox Street 2007-1. Ltd. (U.S.) 255,000,000.00 Hybrid CDO of CMBS 4/26/07 EOD notice received 1 11/27/09
LNR CDO V Ltd. (U.S.) 739,929,000.00 Cash Flow CDO of CMBS 3/19/07 EOD notice received 3 12/3/09
Newcastle CDO VII Ltd. (U.S.) 525,000,000.00 Cash Flow CDO of CMBS 12/28/05 EOD notice received 1 12/3/09
G-Force 2006-1 Ltd. (U.S.) 821,241,000.00 Cash Flow CDO of CMBS 9/27/06 EOD notice received 3 12/4/09
River North CDO Ltd. (U.S.) 300,000,000.00 Cash Flow Mezzanine SF 1/20/05 Acceleration notice received 1 12/4/09
McKinley II Funding, Ltd. (U.S) 1,027,000,000.00 Cash Flow High Grade SF 8/18/05 Transaction liquidated 1 12/7/09
Oceanview CBO I, Ltd. (U.S.) 390,800,000.00 Cash Flow Mezzanine SF 6/28/02 Acceleration notice received 1 12/7/09
Klio III Funding Ltd. (U.S.) 4,030,000,000.00 Cash Flow High Grade SF 11/2/05 Transaction liquidated 1 12/9/09
CWCapital COBALT III Synthetic CDO Ltd. (U.S.) 487,000,000.00 Hybrid CUSIP CMBS 12/4/06 EOD notice received 1 12/9/09
Acacia CDO 5, Ltd. (U.S.) 300,000,000.00 Cash Flow Mezzanine SF 7/14/04 Acceleration notice received 1 12/10/09
Zenith Funding Ltd. (U.S) 2,814,000,000.00 Cash Flow High Grade SF 12/21/04 Transaction liquidated 1 12/23/09
Grenadier Funding, Ltd. (U.S.) 1,320,000,000.00 Cash Flow High Grade SF 12/29/03 Transaction liquidated 1 12/28/09
Summer Street 2005-HG1 Ltd. (U.S.) 1,100,000,000.00 Cash Flow High Grade SF 12/15/05 Acceleration notice received 1 1/4/10
Summer Street 2004-1 Ltd. (U.S.) 400,000,000.00 Cash Flow Mezzanine SF 12/2/04 EOD notice received 1 1/7/10
Montauk Point CDO II Ltd. (U.S.) 524,000,000.00 Cash Flow Mezzanine SF 9/28/06 EOD notice received 3 1/15/10
Northwall Funding CDO I, Ltd. (U.S.) 285,000,000.00 Cash Flow Mezzanine SF 6/2/05 EOD notice received 1 1/19/10
Glacier Funding CDO III, Ltd. (U.S.) 499,150,000.00 Cash Flow Mezzanine SF 8/10/05 Acceleration notice received 1 1/21/10
Charles River CDO Ltd. (U.S.) 304,800,000.00 Cash Flow Mezzanine SF 11/26/02 Acceleration notice received 1 2/2/10
ACAS CRE CDO 2007-1 LTD. (U.S.) 1,175,000,000.00 Cash Flow CDO of CMBS 7/26/07 EOD notice received 3 3/1/10
Blue Bell Funding Ltd. (U.S.) 1,250,000,000.00 Cash Flow High Grade SF 10/19/07 Transaction liquidated 1 3/1/10
Saturn Ventures 2005-1 Ltd. (U.S.) 382,000,000.00 Cash Flow Mezzanine SF 7/1/05 Acceleration notice received 1 3/2/10
McKinley Funding Ltd. (U.S.) 1,010,000,000.00 Cash Flow High Grade SF 12/10/04 Transaction liquidated 1 3/3/10
Caldecott CDO 1 Ltd. (U.S.) 500,000,000.00 Cash Flow Mezzanine SF 6/19/07 EOD notice received 3 3/15/10
Pinnacle Point Funding I Ltd. (U.S.) 1,005,000,000.00 Cash Flow High Grade SF 10/26/04 Transaction liquidated 1 3/15/10
Klio II Funding Ltd. (U.S.) 5,049,000,000.00 Cash Flow High Grade SF 10/29/04 Transaction liquidated 1 3/19/10
ABCDS 2006-1 Ltd. (U.S.) 434,708,000.00 Hybrid Mezzanine SF 3/1/07 Transaction liquidated 3 3/19/10
CTX CDO I Ltd. (U.S.) 500,000,000.00 Cash Flow CDO of CMBS 6/4/07 EOD notice received 1 3/26/10
Orchid Structured Finance CDO II Ltd. (U.S.) 300,750,000.00 Cash Flow Mezzanine SF 5/3/05 Acceleration notice received 1 3/26/10
LNR CDO IV Ltd. (U.S.) 1,601,000,000.00 Cash Flow CDO of CMBS 3/10/06 EOD notice received 3 4/2/10
Saybrook Point CBO II, Ltd. (U.S.) 226,450,000.00 Cash Flow Mezzanine SF 11/14/02 EOD notice received 1 4/9/10
Sorin Real Estate CDO II Ltd. (U.S.) 600,000,000.00 Hybrid CDO of CMBS 1/5/06 Transaction liquidated 3 4/9/10
Klio Funding Ltd. (U.S.) 2,423,000,000.00 Cash Flow High Grade SF 4/16/04 Transaction liquidated 1 4/14/10
Altius IV Funding Ltd. (U.S.) 1,503,000,000.00 Cash Flow High Grade SF 5/25/07 Acceleration notice received 3 4/14/10
Ischus Synthetic ABS CDO 2006-1 Ltd. (U.S.) 516,500,000.00 Hybrid Mezzanine SF 8/8/06 EOD notice received 3 4/30/10
C-Bass CBO XV Ltd.(U.S.) 690,778,000.00 Cash Flow Mezzanine SF 2/6/06 EOD notice received 3 5/20/10
Orion 2006-1 Ltd. (U.S.) 1,300,000,000.00 Hybrid Mezzanine SF 8/31/06 EOD notice received 3 6/15/10
Trinity CDO, Ltd. (U.S.) 300,000,000.00 Cash Flow Mezzanine SF 4/21/05 EOD notice received 1 6/21/10
South Coast Funding VI Ltd. (U.S.) 301,250,000.00 Cash Flow Mezzanine SF 9/30/04 Transaction liquidated 1 7/9/10
Dillon Read CMBS CDO 2006-1, Ltd. (U.S.) 1,028,000,000.00 Cash Flow CDO of CMBS 11/8/06 EOD notice received 1 9/7/10
G-Star 2004-4 Ltd. (U.S.) 500,000,000.00 Cash Flow Mezzanine SF 8/12/04 EOD notice received 1 9/10/10
Vertical ABS CDO 2005-1 Ltd. (U.S.) 432,500,000.00 Cash Flow Mezzanine SF 7/1/05 Acceleration notice received 3 9/13/10
Commodore CDO V Ltd. (U.S.) 506,170,000.00 Cash Flow Mezzanine SF 11/22/06 Acceleration notice received 3 9/14/10
Farmington Finance Ltd. (U.S.) 2,033,000,000.00 Cash Flow Mezzanine SF 12/4/07 EOD notice received 1 9/16/10
Silver Elms CDO plc (U.S.) 756,150,000.00 Cash Flow High Grade SF 6/12/07 EOD notice received 3 10/1/10
Note: Deals will be removed from this list if their EOD notices are recalled, rescinded, retracted, or cured. *Transaction experienced an earlier event of default that was subsequently rescinded or cured. 1–OC failure/calculation with haircuts. 2–OC failure/calculation without haircuts. 3–Interest payment missed on non-payment-in-kind tranche.

Table 2

Other Recent Cash Flow And Hybrid CDO EODs Received As Of Feb. 22, 2011
Transaction name (surveillance office) Rated liability balance at issuance ($) Structure Collateral Origination date Current status Reason for EOD (see bottom of table) Date of notice
Aviv LCDO 2006-1 Limited (U.S) 300,000,000 Hybrid Leveraged Loans 9/28/06 EOD notice received 4 9/17/08
Aviv LCDO 2006-2 Limited (U.S.) 500,000,000 Hybrid Leveraged Loans 10/27/06 EOD notice received 4 9/17/08
Aviv LCDO 2006-3 Limited (U.S.) 400,000,000 Hybrid Leveraged Loans 11/15/06 EOD notice received 4 9/17/08
Exum Ridge CBO 2006-1 Ltd. (U.S.) 300,000,000 Hybrid HY Corp Bonds 2/16/06 EOD notice received 4 9/17/08
Exum Ridge CBO 2006-2 Ltd. (U.S.) 300,000,000 Hybrid HY Corp Bonds 6/1/06 EOD notice received 4 9/17/08
Exum Ridge CBO 2006-3 Ltd. (U.S.) 300,000,000 Hybrid HY Corp Bonds 8/20/06 EOD notice received 4 9/17/08
Exum Ridge CBO 2006-4 Ltd. (U.S.) 300,000,000 Hybrid HY Corp Bonds 9/22/06 EOD notice received 4 9/17/08
Exum Ridge CBO 2006-5 Ltd. (U.S.) 300,000,000 Hybrid HY Corp Bonds 10/27/06 EOD notice received 4 9/17/08
Exum Ridge CBO 2007-1 Ltd. (U.S.) 300,000,000 Hybrid HY Corp Bonds 5/4/07 EOD notice received 4 9/17/08
Exum Ridge CBO 2007-2 Ltd. (U.S.) 300,000,000 Hybrid HY Corp Bonds 5/24/07 EOD notice received 4 9/17/08
Pebble Creek 2006-1 Ltd. (U.S.) 400,000,000 Hybrid Leveraged Loans 12/1/06 EOD notice received 4 9/17/08
Pebble Creek 2007-1 Ltd. (U.S.) 400,000,000 Hybrid Leveraged Loans 2/2/07 EOD notice received 4 9/17/08
Pebble Creek 2007-2 Ltd. (U.S.) 777,000,000 Hybrid HY Corp Bonds 3/29/07 Transaction liquidated 4 9/19/08
Pebble Creek 2007-3 Ltd. (U.S.) 400,500,000 Hybrid Leveraged Loans 8/2/07 EOD notice received 4 9/17/08
White Marlin CDO 2007-1 Ltd. (U.S.) 1,200,000,000 Hybrid IG Corp Bonds 6/28/07 EOD notice received 4 9/17/08
Airlie CDO I Ltd. (U.S.) 400,000,000 Hybrid Leveraged Loans 2/2/07 EOD notice received 4 9/17/08
Pine CCS Ltd. (U.S.) 1,892,000,000 Cash Flow Leveraged Loans 6/3/08 Acceleration notice received 3 10/20/08
Verano CCS Ltd. (U.S.) 1,803,500,000 Cash Flow Leveraged Loans 7/25/08 EOD notice received 3 10/20/08
Spruce CCS Ltd. (U.S.) 1,874,420,000 Cash Flow Leveraged Loans 4/28/08 EOD notice received 3 10/20/08
Kingfisher Capital CLO Ltd. (U.S.) 1,406,963,000 Cash Flow Leveraged Loans 6/4/08 EOD notice received 3 9/29/08
Premium Loan Trust I Ltd. (U.S.) 266,500,000 Cash Flow Leveraged Loans 11/18/04 Acceleration notice received 5 10/28/08
LightPoint CLO 2004-1, Ltd (U.S.) 306,000,000 Cash Flow Leveraged Loans 2/19/04 Acceleration notice received* 5 11/14/08
Pioneer Valley Structured Credit CDO I Ltd. (U.S.) 1,000,000,000 Cash Flow CDO of Corp CDO 8/1/05 Transaction liquidated 1 3/18/09
Coast Investment Grade 2002-1 Ltd. (U.S.) 340,000,000 Cash Flow CDO of Corp CDO 5/30/02 EOD notice received 1 4/1/09
Attentus CDO II Ltd. (U.S.) 512,000,000 Cash Flow T-Pref REIT 9/29/06 Acceleration notice received 1 4/14/09
Tricadia CDO 2004-2 Ltd. (U.S.) 210,000,000 Cash Flow CDO of Corp CDO 11/2/04 Transaction liquidated 1 3/23/09
Marathon Structured Finance CDO I Ltd. (U.S.) 309,856,000 Hybrid CDO of Corp CDO 12/7/06 Transaction liquidated 1 6/16/09
Tricadia CDO 2005-3 Ltd. (U.S.) 259,000,000 Cash Flow CDO of Corp CDO 6/14/05 Transaction liquidated 1 6/29/09
Tower Hill CDO II Ltd. (U.S.) 600,000,000 Hybrid CDO of Corp CDO 9/6/06 Transaction liquidated 1 6/23/09
Zais Investment Grade V Ltd. (U.S.) 401,000,000 Cash Flow CDO of Corp CDO 12/19/02 Acceleration notice received 1 4/27/09
MMCapS Funding XIX Ltd. (U.S.) 416,000,000 Cash Flow T-Pref REIT 7/31/07 EOD notice received 3 7/20/09
TABERNA PREFERRED FUNDING IV, LTD. (U.S.) 673,175,000 Cash Flow T-Pref REIT 12/28/05 Acceleration notice received 3 8/11/09
Stone Tower CDO II Ltd. (U.S.) 307,500,000 Cash Flow CDO of Corp CDO 10/25/05 Acceleration notice received 1 8/5/09
TABERNA PREFERRED FUNDING III, LTD. (U.S.) 989,600,000 Cash Flow T-Pref REIT 9/30/05 Acceleration notice received 3 8/11/09
Connecticut Valley Structured Credit CDO II Ltd. (U.S.) 350,000,000 Cash Flow CDO of Corp CDO 5/6/03 Acceleration notice received 1 8/13/09
U.S.Capital Funding IV Ltd. (U.S.) 342,250,000 Cash Flow T-Pref Bank 12/28/05 EOD notice received 3 9/9/09
Stanton CDO I (U.K.) 513,920,000 Cash Flow CDO of Corp CDO 10/10/03 EOD notice received 1 7/10/09
Preferred Term Securities V, Ltd. (U.S.) 563,700,000 Cash Flow T-Pref Bank 3/21/02 EOD notice received 3 10/15/09
Tropic CDO V Ltd. (U.S.) 806,100,000 Cash Flow T-Pref Bank 8/23/06 EOD notice received 3 10/22/09
Regional Diversified Funding 2004-1 Ltd. (U.S.) 323,000,000 Cash Flow T-Pref Bank 3/3/04 EOD notice received 3 11/23/09
Taberna Preferred Funding II Ltd. (U.S.) 1,043,000,000 Cash Flow T-Pref REIT 6/29/05 Acceleration notice received* 1 11/12/09
Quatro - PmX Funding Ltd (U.S.) 2,370,000,000 Cash Flow CDO of Corp CDO 12/27/04 Transaction liquidated 1 3/9/10
Taberna Preferred Funding VII Ltd. (U.S.) 757,800,000 Cash Flow T-Pref REIT 3/27/07 Acceleration notice received 1 5/20/10
Taberna Preferred Funding VI Ltd. (U.S.) 709,000,000 Cash Flow T-Pref REIT 7/14/06 EOD notice received 3 8/11/09
Soloso CDO 2007-1 Ltd (U.S.) 514,180,000 Cash Flow T-Pref Bank 7/3/07 EOD notice received 3 10/19/10
Taberna Preferred Funding V Ltd. (U.S.) 718,700,000 Cash Flow T-Pref REIT 3/31/06 EOD notice received 3 11/15/10
ALESCO Preferred Funding XV, Ltd. (U.S.) 681,000,000 Cash Flow T-Pref Bank 12/24/07 EOD notice received 1 12/2/10
Note: Deals will be removed from this list if their EOD notices are recalled, rescinded, retracted, or cured. *Transaction experienced an earlier event of default that was subsequently rescinded or cured. 1–OC failure/calculation with haircuts. 2–OC failure/calculation without haircuts. 3–Interest payment missed on non-payment-in-kind tranche. 4–Counterparty default. 5–Market value O/C test failure.

Table 3

Non-EOD Liquidations Received As Of Feb. 22, 2011
Transaction name (surveillance office) Rated liability balance at issuance ($) Structure Collateral Origination date Current status Date of liquidation notice
Palmer Square 3 Limited (U.S.) 2,000,000,000 Cash Flow High Grade SF 9/5/07 Transaction liquidated 9/8/08
Davenport CDO I Ltd. (U.S.) 2,088,000,000 Cash Flow CDO of SF CDO 12/31/06 Transaction liquidated 12/31/08
Mantoloking CDO 2006-1 Ltd. (U.S.) 765,250,000 Cash Flow CDO of Corp CDO 12/8/06 Transaction liquidated 8/24/09
North Cove CDO II Ltd. (U.S.) 750,000,000 Hybrid Mezzanine SF 7/5/06 Transaction liquidated 3/29/10
Primary Credit Analysts:Kate Scanlin, New York (1) 212-438-2002;
kate_scanlin@standardandpoors.com
Niyati Shah, New York (1) 212-438-6263;
niyati_shah@standardandpoors.com
Secondary Credit Analysts:Jimmy Kobylinski, New York (1) 212-438-6314;
jimmy_kobylinski@standardandpoors.com
Ramki Muthukrishnan, New York (1) 212-438-1384;
ramki_muthukrishnan@standardandpoors.com
Analytical Manager, U.S. Structured Credit Surveillance:Stephen Anderberg, New York (1) 212-438-8991;
stephen_anderberg@standardandpoors.com
Analytical Manager, U.S. Structured Credit New Ratings:Winston Chang, New York (1) 212-438-8123;
winston_chang@standardandpoors.com
Investor Relations Contacts:Ted Burbage, New York (1) 212-438-2684;
ted_burbage@standardandpoors.com
Ernestine Warner, New York (1) 212-438-2633;
ernestine_warner@standardandpoors.com

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