Fitch Downgrades 6 Classes of the Notes Issued by Pyxis ABS CDO 2006-1 Ltd.

Pyxis 2006-1 declared an event of default on Dec. 4, 2008 and received the required majority of votes to accelerate the transaction as of July 6, 2009. The rating actions reflect the continued deterioration in the quality of the portfolio since Pyxis 2006-1 was last reviewed.

According to the Sept. 3, 2009 trustee report, approximately 94.7% of the portfolio is considered defaulted. Currently, excess spread after the class A-2 interest distribution and all principal proceeds are being used to redeem the outstanding swap counterparty amount due to the acceleration. However, based on the degree of undercollateralization in the transaction and Fitch's recovery expectations on the defaulted portion of the portfolio, the class A-1 notes are not expected to receive any principal repayment in the future.

The class A-1 and A-2 notes are likely to continue receiving interest distributions, while the class B, C, D and X notes are not expected to receive any interest or principal distributions going forward.

Pyxis 2006-1 is a hybrid cash and synthetic collateralized debt obligation (CDO) that closed on Oct. 3, 2006 and is managed by Putnam Advisory Company, LLC. The portfolio is comprised of approximately 93.8% residential mortgage-backed securities (RMBS) and 6.2% structured finance (SF) CDOs.

Fitch has downgraded the following:

Pyxis ABS CDO 2006-1 Ltd.

--$180,000,000 class A-1 notes to 'C' from 'CC';

--$113,500,000 class A-2 notes to 'C' from 'CC';

--$93,500,000 class B notes d to 'C' from 'CC';

--$89,387,063 class C notes to 'C' from 'CC';

--$34,359,406 class D notes to 'C' from 'CC';

--$39,806,388 class X notes to 'C' from 'CC'.

These rating actions reflect the application of Fitch's current criteria which are available on Fitch's web site at 'www.fitchratings.com' and specifically include the following reports:

--'Global Rating Criteria for Structured Finance CDOs' (Dec. 16, 2008);

--'Counterparty Risk in Structured Finance Transactions: Hedge Criteria' (Aug. 1, 2007).

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.

SOURCE: Fitch Ratings

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