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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