Dryden XVII Notes, Series 2007

Dryden XVII is an $864 million investment grade synthetic collateralized debt obligation and is the second Dryden synthetic CDO. Approximately 59% of the Notes sold have a maturity of seven years, while 41% have a 10-year maturity (including rated equity tranches totaling $21 million). Dryden XVII Notes sold have initial ratings of AAA to BB. The Dryden XVII portfolio includes a high yield allocation of up to 15%. Further, up to 10% of the portfolio may be invested in emerging market issuers.

First Closing Date   March 22, 2007
Distribution Dates   March 20, June 20, September 20 and December 20
Maturity Date   Multiple
Type
Synthetic CDO

Underwriter
UBS

Rating Agencies
Moody's, S&P

Portfolio Manager
Hugo Barth

CDO Analyst
Mike Niosi
+1 973 367 2378





  Tranche   Initial Ratings   Current Ratings   Original Notional Amount (¥)   Current Notional Amount (¥)   Notional Amount (€)   Original Notional Amount ($)   Current Notional Amount ($)  
7-year:                    
  Unfunded Swap #1   Aaa/AAA   Aa1/AAA   0   0   0   100,000,000   100,000,000  
  Unfunded Swap #2   NR  
NR
  0   0   0   50,000,000   50,000,000  
  Series 23   Aaa/AAA  
Aa2/AAA
  0   0   0   80,000,000   80,000,000  
  Series 4   AAA  
AA
  0   0   0   9,000,000   9,000,000  
  Series 5   AAA  
AA
  0   0   0   10,000,000   10,000,000  
  Series 6   AAA  
NR
  2,000,000,000   0   0   17,019,828   0  
  Series 7   AAA  
AA
  1,000,000,000   0   0   8,509,914   8,509,914  
  Series 8   AAA  
AA
  0   0   30,000,000   39,573,000   39,573,000  
  Series 9   AAA  
AA
  0   0   50,000,000   65,955,000   65,955,000  
  Series 34   AA  
AA
  3,000,000,000   3,000,000,000   0   25,529,742   25,529,742  
  Series 41   Aa3  
Baa2
  1,000,000,000   1,000,000,000   0   8,509,914   8,509,914  
  Series 10   Aa3  
Baa2
  0   0   0   25,000,000   25,000,000  
  Series 11   Aa3  
Baa2
  0   0   10,000,000   13,191,000   13,191,000  
  Series 12   A3  
Ba2
  0   0   5,000,000   6,595,500   6,595,500  
  Series 13   A3  
Ba2
  0   0   0   20,000,000   20,000,000  
  Series 14   Baa2  
B2
  1,000,000,000   1,000,000,000   0   8,509,914   8,509,914  
  Series 15   Ba2   Caa3   0   0   0   10,000,000   10,000,000  
                497,393,812   480,373,984  
10-Year:              
  Series 17   Aaa/AAA  
Aa2/AAA
  0   0   5,000,000   6,595,500   6,595,500  
  Series 18   AAA  
AA
  0   0   0   40,000,000   40,000,000  
  Series 20   AAA  
AA
  0   0   0   20,000,000   20,000,000  
  Series 36   AA  
A-
  0   0   10,000,000   13,191,000   13,191,000  
  Series 38   Aa2/AA  
A3/AA
  0   0   0   6,000,000   6,000,000  
  Series 39   Aa3/AA-  
A3/BBB+
  0   0   0   25,000,000   25,000,000  
  Series 40   Aa3/AA-  
A3/BBB+
  0   0   0   50,000,000   50,000,000  
  Series 21   Aa3  
Baa1
  0   0   0   90,000,000   90,000,000  
  Series 22   Aa3  
Baa1
  0   0   0   30,000,000   30,000,000  
  Series 25   Aa3  
Baa1
  0   0   0   30,000,000   30,000,000  
  Series 37   A  
A-
  0   0   5,000,000   6,595,000   6,595,000  
  Series 35B   A3  
Ba2
  0   0   0   10,000,000   10,000,000  
  Series 24   Ba2  
Caa2
  0   0   0   15,000,000   15,000,000  
  Series 43   Ba2  
Caa2
  0   0   0   3,000,000   3,000,000  
                345,382,000   345,382,000  
Rated Equity:              
  Series 31   A3  
Caa1
  0   0   0   8,000,000   8,000,000  
  Series 33   Baa2  
Ca
  0   0   10,000,000   13,191,000   13,191,000  
                21,191,000   21,191,000  
Total               863,966,812   846,946,984  
  NR = not rated, N/A = not applicable
Series 6, 7, 34, 41 and 14 tranches converted from Yen to U.S. Dollars using spot rate of 117.51. Series 8, 9, 11, 12, 17, 36, 37 and 33 tranches converted from Euro to U.S. Dollars using spot rate of 1.3191.






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