Fitch Downgrades $289MM of Orion 2006-1, Ltd.

CHICAGO -- Fitch downgrades four classes of notes issued by Orion 2006-1 CDO, Ltd. (Orion 2006-1). These rating actions are the result of Fitch's review process and are effective immediately:

--$98,500,000 class A notes downgraded to 'AA' from 'AAA';

--$81,000,000 class B notes downgraded to 'A-' from 'AA';

--$77,000,000 class C notes downgraded to 'BB' from 'A', removed from Rating Watch Negative;

--$32,544,000 class D notes downgraded to 'B+' from 'BBB', removed from Rating Watch Negative.

Orion 2006-1 is a collateralized debt obligation (CDO) that closed on May 26, 2006 and is managed by NIBC Credit Management, Inc (NIBC CMI) which operates under the fund management arm of NIBC Bank N.V. Fitch is monitoring the effect the acquisition of NIBC Holding NV by Kaupthing Bank hf. will have on the CDO platform managed by NIBC CMI. Orion 2006-1 remains in the reinvestment period until December 2010. Included in this review, Fitch discussed the current state of the portfolio with the asset manager. Additionally Fitch conducted cash flow modeling utilizing various default timing and interest rate scenarios to measure the breakeven default rates going forward relative to the minimum cumulative default rates required for the rated liabilities.

Fitch's rating actions reflect the significant collateral deterioration within the portfolio, specifically subprime residential mortgage-backed securities (RMBS), which comprise approximately 92.87% of the underlying assets. The entire portion of Orion 2006-1's exposure to subprime RMBS consists of 2005, 2006 and 2007 vintages, which are experiencing higher levels of delinquencies and defaults. Further, Orion 2006-1's portfolio contains a sizeable exposure (16.2%) to subprime closed-end second lien (CES) RMBS assets, including under-performing 2006 vintage subprime CES RMBS bonds. Reflective of the portfolio's credit quality decline is the Fitch Weighted Average Rating Factor ('WARF') which as of the July 27, 2007 trustee report has increased to 7.47 ('BBB-'/'BB+') as compared to 5.3 ('BBB'/'BBB-') as of August 27, 2006, the first trustee report available. The current WARF value violates its corresponding covenant of 7.26 ('BBB-'/'BB+'). The majority of downgrades in the underlying portfolio took place in the last three months and were the result of credit deterioration in subprime RMBS; downgrades have continued since the July 27 trustee report. Currently 11% of the portfolio is on Rating Watch Negative and in Fitch's opinion 15% is of below investment grade quality, of which 8% is of 'CCC' or lower quality. The credit deterioration in the portfolio has increased the risk profile of all classes of notes. This rating analysis also incorporated Fitch's revised methodology for rating structured finance CDOs. For more information, see 'Global Criteria Change for U.S. Structured Finance CDOs Reflects Heightened Subprime Risks,' dated Aug. 15, 2007 and available on the Derivative Fitch web site at www.derivativefitch.com.

The ratings of the class A and B notes address the likelihood that investors will receive full and timely payments of interest, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated maturity date. The ratings of the class C notes and D notes address the likelihood that investors will receive ultimate and compensating interest payments, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated maturity date. A portion of the notes will be issued subsequent to close as the asset manager ramps-up the collateral portfolio.

Fitch will continue to monitor and review this transaction for future rating adjustments. Additional deal information and historical data are available on the Derivative Fitch web site at www.derivativefitch.com. For more information on the Fitch VECTOR Model, see 'Global Rating Criteria for Collateralised Debt Obligations,' dated Oct. 18, 2006 and also available at www.derivativefitch.com.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.derivativefitch.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site. Fitch means Fitch, Inc., Fitch Ratings, Ltd. and their subsidiaries including Derivative Fitch, Inc. and Derivative Fitch Ltd. and any successor or successors thereto.