Corona Borealis CDO

Corona Borealis CDO Ltd.,¹ a limited liability Cayman Islands entity, issued securities (notes and preference shares) secured primarily by a portfolio of synthetic securities of which the reference obligations are RMBS Securities, CMBS Securities, CDO Securities, and other asset-backed securities.

Closing Date: April 2007
Stated Maturity: May 2047
Reinvestment Period Ends: May 2012
Assets: Structured Finance

Below is a breakdown of the capital structure at original issuance:

Security Issued	Moody's/S&P Ratings²	Amount of Issuance (in millions)	Coupon/Spread
Class A-1A Notes	Aaa/AAA	$750.0	N/A
Class A-1B Notes	Aaa/AAA	$150.0	LIBOR + 65
Class A-1C Notes	Aaa/AAA	$45.0	LIBOR + 70
Class A-2 Notes	Aaa/AAA	$168.0	LIBOR + 110
Class S Notes	Aaa/AAA	$50.5	N/A
Class B Notes	Aa2/AA	$111.0	LIBOR + 250
Class C Notes	A2/A	$111.0	LIBOR + 550
Class D Notes	Baa2/BBB	$70.0	LIBOR + 900
Preference Shares	NR	$95.0	Excess Return
	Total:	$1550.5

1. Corona Borealis CDO was liquidated in May 2008.
2. Original ratings at issuance. Ratings may change and tranche ratings may be different. A credit rating is not a recommendation to buy, sell, or hold securities and may be subject to revision or withdrawal at any time by the assigning rating agency.

The information contained herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. If any offer of securities is made, it shall be made pursuant to a definitive offering circular prepared by or on behalf of a specific issuer which would contain material information not contained herein.