A second Macquarie Bank fund was hit by the sub-prime crisis yesterday, when Alternative Listed Protected Securities - Series 5 (ALPS5) announced that the value of its holding in derivatives of the stock of a US sub-prime lender had fallen to a level that would affect coupon payments to investors.Macquarie is the issuer of ALPS5, a structured equity derivative portfolio that was set up to pay high yields. One of the underlying stocks in the portfolio is the large US mortgage company, Countrywide Financial Corp. Countrywide stock was worth $37.31 when ALPS5 was launched. For the past three days it traded below $20.15 - the so-called knockout price.As a result of the knockout the ALPS5 coupon rate was cut. ALPS5 was launched early in 2006 offering a coupon of 12.5 per cent in the first year, rising to 13.5 per cent in the second year.The Countrywide knockout is the third such event for ALPS5. Other stocks in the reference basket that have triggered knockout events are E*Trade Corp and the US home builder Pulte Homes.The succession of knockouts has reduced the coupon to an annualised 7.7 per cent.Late in July another Macquarie structured vehicle Macquarie Fortress notes, a highly geared fund of hedge funds, announced that it had suffered a loss as a result of the exposure of one of its portfolio managers to sub-prime mortgage assets.