Fitch Rates Pyxis ABS CDO 2006-1 Ltd./LLC.

NEW YORK -- Fitch Ratings has rated the following notes issued by Pyxis ABS CDO 2006-1 Ltd. and Pyxis ABS CDO 2006-1 LLC. (collectively, Pyxis 2006-1):

--$180,000,000 class A-1 senior secured floating rate variable funding notes due 2046 'AAA';

--$113,500,000 class A-2 senior secured floating rate notes due 2046 'AAA';

--$93,500,000 class B secured floating rate notes due 2046 'AA';

--$89,000,000 class C secured deferrable floating rate notes due 2046 'A';

--$41,500,000 class D mezzanine secured deferrable floating rate notes due 2046 'BBB';

--$61,875,000 class X subordinated notes due 2046 'BBB-'.

The rating of the class A-1 notes addresses the likelihood that investors will receive full and timely payments of interest and commitment fees on the drawn and unfunded amounts, respectively, as well as the aggregate outstanding amount of principal of any drawn amounts by the stated maturity date. The ratings of the class A-2 notes and class 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 class 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. The ratings of the class X notes address the likelihood that investors will receive the ultimate payment of class X rated interest, as per the governing documents, as well as the ultimate return of the scheduled class X target principal amount, as per the governing documents, by the stated maturity date

The ratings will be based on the quality of the initial portfolio assets, as well as the credit enhancement provided by support from the preference shares, the excess spread, the reserve account, and the protections incorporated within the structure. During the five year reinvestment period, the asset manager may annually trade up to 5% of the total portfolio balance on a discretionary basis, along with any credit risk, defaulted or credit impaired securities as determined by the asset manager.

The collateral pool will have a maximum Fitch weighted average rating factor (WARF) of 6.0 ('BBB/BBB-'). With the proceeds of the note issuance and the commitment from the unfunded super senior liquidity facility, Pyxis 2006-1 will invest in a $1.5 billion portfolio of combined synthetic and cash securities. Approximately 90% of the collateral will be purchased at close. The expected effective date portfolio will consist of approximately 72% credit default swaps (CDS), primarily referencing residential mortgage-backed securities (RMBS) and structured finance (SF) CDO securities, and approximately 28% cash RMBS, SF CDO cash securities, and commercial real estate (CRE) CDO cash securities.

Pyxis 2006-1 includes a reserve account which is funded over time from cash proceeds, and a super senior liquidity facility expected to consist of a $900 million unfunded super swap and the $180 million unfunded class A-1 notes. In the case of any credit events for the CDS contracts, the reserve account will initially be drawn upon to make credit protection payments. After the reserve account has been depleted, the class A-1 notes and then the super senior swap will be drawn upon to make credit protection payments (or for payment in the case of the physical settlement option). The outstanding drawn amount on the super senior liquidity facility receives interest of one-month London Interbank Offered Rate (LIBOR) plus 0.22%, while the unfunded class A-1 notes and the unfunded super senior swap will receive ongoing commitment fees of 0.24% and 0.13%, respectively.

Also during the reinvestment period, and after the class X notes have achieved an annualized coupon of 12%, remaining interest proceeds will be used to redeem the class D notes up to 0.80% of their original notional balance. After reaching that cap, the remaining excess interest will be paid to the class X notes and preference shares.

After the reinvestment period, principal payments will be paid pro rata to both the super senior liquidity facility and the funded notes (excluding the class X notes) until the original collateral balance is 50% paid down or until the failure of a coverage test, after which principal proceeds will be distributed sequentially for the remainder of the deal.

The portfolio for Pyxis 2006-1 will be managed by The Putnam Advisory Company, LLC (Putnam Advisory), a subsidiary of Putnam Investments (Putnam). Founded in October of 1937, and headquartered in Boston, MA, Putnam is an investment management company providing financial services to institutions and individuals through separately managed accounts, pooled investments and mutual funds. Putnam is a majority-owned subsidiary of Marsh & McLennan Companies, Inc. (MMC), Putnam's parent company since 1970. As of June 30, 2006, Putnam managed over $180 billion in assets invested in worldwide equity and fixed income. Putnam Advisory, the subsidiary of that manages Putnam's institutional accounts, is an SEC registered investment advisor. The CDO & Portfolio Credit Team resides under Putnam's Fixed Income group. The Fixed Income group uses an integrated investment process whereby specialists are in place for each strategy including CDOs. Putnam Advisory has developed a multi-asset class CDO capability and currently manages approximately $4 billion in CDO assets across seven transactions.

For more information, see the presale report 'Pyxis ABS CDO 2006-1, Ltd.' available on the Fitch Ratings web site at www.fitchratings.com.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.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.