Dryden XII-IG Synthetic CDO 2006-1

Dryden XII is a $684 million investment grade synthetic collateralized debt obligation and is the first Dryden synthetic CDO. Approximately 73% of the Notes sold have a maturity of seven years, while 27% have a 10-year maturity. Dryden XII Notes sold have initial ratings of AAA to BBB. The Dryden XII portfolio includes a high yield allocation of up to 10%. Further, up to 5% of the portfolio may be invested in emerging market issuers.

First Closing Date   April 5, 2006
Distribution Dates   March 20, June 20, September 20 and December 20
Maturity Date   Multiple
Type
Synthetic CDO

Underwriter
Bear Stearns

Rating Agencies
Moody's, S&P, Fitch

Portfolio Administrator
Wells Fargo

Portfolio Manager
Hugo Barth

CDO Analyst
Mike Niosi
+1 973 367 2378





  Tranche   Initial Ratings   Current Ratings   Original Notional Amount (¥)   Original Notional Amount (€)   Current Notional Amount (€)   Original Notional Amount ($)   Current Notional Amount ($)  
7-year:                    
  A1A-$LS   Aaa/AAA/NR   Baa3/AA/NR   0   0   0   75,000,000   64,000,000  
  A2-$LS   Aa1/AAA/AAA  
Baa3/BBB+/AAA
  0   0   0   5,000,000   5,000,000  
  A3A-$LS   Aa2/AA+/AA+  
NR
  0   0   0   20,000,000   0  
  A3-$LS   Aa2/AA+/AA+  
Baa3/BBB/AA+
  0   0   0   58,500,000   58,500,000  
  A3-$FS   Aa2/AA+/AA+  
Baa3/BBB/AA+
  0   0   0   1,000,000   1,000,000  
  A3B-$LS   Aa2/AA+/AA+  
Baa3/BBB/AA+
  0   0   0   1,000,000   1,000,000  
  A3C-$LS   Aa2/AA+/AA+  
Baa3/BBB/AA+
  0   0   0   15,000,000   15,000,000  
  A4-$L   Aa3/NR/AA  
Ba1/NR/AA
  0   0   0   55,000,000   55,000,000  
  A4-$FC   Aa3/NR/AA  
Ba1/NR/AA
  0   0   0   3,000,000   3,000,000  
  A4-$F   Aa3/NR/AA  
Ba1/NR/AA
  0   0   0   10,000,000   10,000,000  
  A4B-$L   Aa3/NR/AA  
Ba1/NR/AA
  0   0   0   80,000,000   30,000,000  
  A4C-$L   Aa3/NR/AA  
Ba1/NR/AA
  0   0   0   30,000,000   30,000,000  
  A4-EL   Aa3/NR/AA  
Ba1/NR/AA
  0   6,000,000   6,000,000   7,591,200   7,591,200  
  A5-$LS   A1/AA-/AA+  
Ba2/BB/A+
  0   0   0   3,000,000   3,000,000  
  A6-$F   A2/NR/A  
Ba3/NR/A
  0   0   0   10,000,000   7,525,000  
  A6-$L   A2/NR/A  
Ba3/NR/A
  0   0   0   10,000,000   10,000,000  
  A6-YL   A (Fitch)   A (Fitch)   5,000,000,000   0   0   43,300,000   43,300,000  
  A7-$L   A3/NR/A-   NR   0   0   0   5,000,000   0  
  A7-$LC   A3/NR/A-  
B1/NR/A-
  0   0   0   3,000,000   3,000,000  
  A7-$LS   A3/A-/BBB  
B1/B/BBB
  0   0   0   8,000,000   8,000,000  
  A7B-$LS   A3/A-/BBB  
B1/B/BBB
  0   0   0   10,000,000   10,000,000  
  A7B-$FS   A3/A-/BBB  
B1/B/BBB
  0   0   0   6,000,000   6,000,000  
  A7-ELS   A3/A-/BBB  
B1/B/BBB
  0   13,000,000   13,000,000   15,648,100   15,648,100  
  B1-$LS   Baa1/BBB+/BBB  
B2/B/BBB
  0   0   0   5,000,000   5,000,000  
  B1B-$LS   Baa1/BBB+/BBB  
B2/B/BBB
  0   0   0   12,500,000   12,500,000  
  B2-$L   Baa2/NR/BBB   NR   0   0   0   10,000,000   0  
                502,539,300   404,064,300  
10-Year:              
  A1A-$LS   Aaa/AAA/NR  
Aa2/AA/NR
  0   0   0   100,000,000   100,000,000  
  A1-$LS   Aaa/AAA/NR  
Aa3/AA/NR
  0   0   0   5,000,000   5,000,000  
  A3-EL   Aa2/NR/AA+  
Baa3/NR/AA+
  0   3,716,000   3,661,000   4,714,861   4,645,077  
  A6-EL   A2/NR/NR  
Ba3/NR/NR
  0   11,405,000   11,200,000   14,470,664   14,210,560  
  A6B-EL   A2/NR/NR  
Ba3/NR/NR
  0   6,155,000   5,965,000   7,809,464   7,568,392  
  A6-$LS   A2/BBB-/NR  
Ba3/BB/NR
  0   0   0   12,500,000   12,500,000  
  A6B-$L   A2/NR/NR  
Ba3/NR/NR
  0   0   0   3,000,000   3,000,000  
  A7-$F   A3/NR/NR  
Ba3/NR/NR
  0   0   0   20,000,000   20,000,000  
  B1-$L   Baa1/NR/NR  
B2/NR/NR
  0   0   0   14,000,000   14,000,000  
                181,494,989   180,924,029  
Total               684,034,289   584,988,329  
  NR = not rated, N/A = not applicable
A4-EL, A7-ELS and A3-EL, A6-EL & A6B-EL tranches converted from Euro to U.S. Dollars using spot rates of 1.2652, 1.2037 and 1.2688, respectively. A6-YL tranche converted from Yen to U.S. Dollars using spot rate of 115.4734.






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