1 ABS CDO ABSolute V Synthetic CDO Limited-Class B2 May 07 Report Observation Period : April 01 - May 01, 2007 CALYON CONTACTS Structured Credit, Derivatives and CDOs Group London +44 207 623 5727 Paris +33 1 4189 6493 Hong-Kong +852 2826 5712 Tokyo +813 4580 8803 1. Summary of the Transaction 1.1 Main Terms Scheduled Maturity Date September 25, 2009 Call Date September 25, 2007 Remaining Years 2.38 1.2 Underlying Portfolio (as of Issue Date) Total Amount (in USD) 908,400,000 Number of Reference Entities 53 A Bucket 49 Non-A Bucket 4 Geographic Split ABS Trading Paris +33 1 4189 1390 New-York +1 646 658 3048 US 49% UK 1 Portugal Spain Australia Benelux Global 20% Italy 8% Pan Europe Portfolio Composition...or your usual CALYON sales contacts RMBS 9.5% Non Conforming 2.5% LEASE 5.0% SYNTH CDO 20.0% HEL 28.5% AUTO CARDS CONSUMER 6.5% CMBS 1.3 Tranche (as of End of Ramp Up) Tranche Size USD 22,710,000.00 2.50% Subordination USD 13,626,000.00 1.50% Rating 6.0% 4.0% 2.0% 0.0% 1
2. Portfolio Characteristics (as of May 01, 2007) 2.1 Main Parameters Issue Date Total Amount (in USD) 908,400,000 908,400,000 Number of Reference Entities 53 53 A bucket 49 49 Non-A bucket 4 4 US 50% UK 1 Portugal Spain Australia Benelux Italy Global 20% 8% Pan Europe RMBS 9.5% Non Conforming 2.5% LEASE 5.0% SYNTH CDO 20.0% AUTO HEL 28.5% CARDS CONSUMER 6.5% CMBS 2.2. Portfolio Substitutions during the Observation Period New names Name Reference Obligation Country - Type Rating Exposure ($) CUSIP/ISIN Name Reference Obligation Old Exposure ($) Exposure ($) Comments 2
2.3 Modification Criteria Tests Criteria Results or Fail Maximum notional USD 908,400,000.00 908,400,000 New names must necessary be S&P A New names must be listed in S&P ABS Sub-Groups Total number of ABS Reference Obligations < 60 Total amount of substitutions per anniversary year < 10% 53 - S&P Asset Class Breakdown would remain the same No more than 20% of Synthetic CDO Each reference obligation < 5% 181,680,000 45,420,000 3. (as-of May 01, 2007) 3.1 Tranche Characteristics End of Ramp Up Tranche Width (in amount) USD 22,710,000.00 USD 22,710,000.00 Tranche Width 2.50% 2.50% Subordination (in amount) USD 13,626,000.00 USD 13,626,000.00 Subordination 1.50% 1.50% 3.2 Rating and losses of the Tranche Initial Rating Rating CALYON Computed Rating 6.0% 4.0% 2.0% 0.0% End of Ramp Up 3
4. Portfolio Composition (as of May 01, 2007) Name Reference Obligation Country-Type Moody's / S&P Rating Exposure ($) CUSIP/ISIN Iolaus (European Loan Conduit No. 15) Series 15A, Class A1 UK - RMBS Aaa / A 18,168,000 US46202Q94 Khronos (European Loan Conduit No. 17) S.A. Class A Pan Europe - CMBS Aaa / A 18,168,000 XS0181431353 Lombard Securities No. 1 Plc Class A2A UK - CMBS Aaa / A 18,168,000 XS0168953858 Opera Finance No1 Plc Series 1, Class A UK - CMBS Aaa / A 18,168,000 XS0180949495 Pan-European Industrial Properties S.A. Series 3, Class A UK - CMBS Aaa / A 18,168,000 XS0163580458 Paragon Personal & Auto Finance Plc Series 2 Class A UK - CONSUMER Aaa / A 11,355,000 XS0140279471 Chapel 2003-I B.V. Class A Benelux - CONSUMER Aaa / A 11,355,000 XS0179679328 Line A S.r.l. Series 2002 Class A Italy - CONSUMER Aaa / A 11,355,000 IT0003277552 MPS Asset Securitisation S.p.A. Series 1 Class A2 Italy - CONSUMER Aaa / A 11,355,000 IT0003366314 AR Finance 1 Plc Class A Portugal - LEASE Aaa / A 11,355,000 XS0181644260 Intesa Lease Sec. S.r.l. Class A3 Italy - LEASE Aaa / A 11,355,000 IT0003623532 F-E BLUE SRL Series 1 Class A Italy - LEASE Aaa / A 11,355,000 IT0003315832 Vela Lease Series 2003-1 Class A2 Italy - LEASE Aaa / A 11,355,000 IT0003389050 F-E Mortgages S.r.l. Series 1, Class A1 Italy - RMBS Aaa / A 11,355,000 IT0003575039 Hipocat 7 Series HIPO-7, Class A2 Spain - RMBS Aaa / A 11,355,000 ES0345783015 RMAC 2003-NS4 Plc Class A3 UK - RMBS Aaa / A 11,355,000 XS0179780803 Storm 2003 B.V. Class A2 Benelux - RMBS Aaa / A 11,355,000 XS0181853770 Paragon Mortgages No. 6 Plc Class A2C UK - Non Conforming Aaa / A 11,355,000 XS0176698859 Leek Finance Number Eleven Plc Class AB UK - Non Conforming Aaa / A 11,355,000 XS0178610696 RMS Series 2004-1E, Class 1A Australia - RMBS Aaa / A 11,355,000 AU300RMM1016 Progress Series 2004-E1, Class 1A Australia - RMBS Aaa / A 11,355,000 XS0189459752 Impac CMB Series 2004-3, Class 1A US - HEL Aaa / A 13,626,000 US45254NHE04 ACE Securities Corp. Home Equity Loan Series 2003- NC1, Class A2A US - HEL Aaa / A 13,626,000 US004421CP69 Household Mortgage Loan 2003-HC1 Series 2003-HC1, Class A US - CONSUMER Aaa / A 13,626,000 US441935AC77 First Franklin Mortgage Loan Series 2004-FFH1, Class A4 US - HEL Aaa / A 13,626,000 US32027NGP06 Home Equity Asset Series 2003-7, Class A2 US - HEL Aaa / A 13,626,000 US437084AB26 Countywide Asset-Backed Certificates Series 2004-2, Class 3A3 US - HEL Aaa / A 13,626,000 US1266713X29 Residential Asset Securities Corporation Series 2003-KS4, Class AIIB US - HEL Aaa / A 13,626,000 US76110WRT52 First Franklin Mortgage Loan Series 2004-FF2, Class A4 US - HEL Aaa / A 13,626,000 US32027NHE40 GSAMP Series 2004-FM2, Class A2B US - HEL Aaa / A 13,626,000 US36228FM785 Long Beach Mortgage Loan Series 2004-1, Class A5 US - HEL Aaa / A 13,626,000 US542514ET78 Morgan Stanley ABS Capital I Inc. Series 2004-SD1, Class A US - HEL Aaa / A 13,626,000 US61744CBD74 NovaStar Mortgage Funding Series 2004-1, Class A1B US - HEL Aaa / A 13,626,000 US66987XDW20 Asset Backed Securities Corporation Home Series 2003-HE3, Class A2 Equity Loan US - HEL Aaa / A 13,626,000 US04541GEJ76 Ameriquest Mortgage Securities Inc. Series 2003-2, Class A US - HEL Aaa / A 13,626,000 US03072SER22 Morgan Stanley ABS Capital I Inc. Series 2003-NC8, Class A2 US - HEL Aaa / A 13,626,000 US61746RDL24 Residential Mortgage Asset Products Inc. Series 2003-RS7, Class AIIB US - HEL Aaa / A 13,626,000 US760985YB15 Structured Asset Investment Loan Series 2003-BC9, Class 3A3 US - HEL Aaa / A 13,626,000 US86358EDS28 Saxon Asset Securities 2003-1 Series 2003-1, Class AV2 US - HEL Aaa / A 13,626,000 US805564MX64 Argent Securities Inc. Series 2003-W7, Class A2 US - HEL Aaa / A 13,626,000 US040104CX75 Long Beach Mortgage Loan Series 2003-3, Class A US - HEL Aaa / A 13,626,000 US542514DZ48 Ford Credit Auto Owner Series 2004-A, Class A3 US - Auto Aaa / A 22,710,000 US34527RKE26 Daimler Chrysler Auto 2004-A Series 2004-A, Class A4 US - Auto Aaa / A 22,710,000 US23383VCH15 Honda Auto Receivables 2004-2 Owner Series 2004-2, Class A4 US - Auto Aaa / A 22,710,000 US43811LAD47 Nissan Auto Receivables 2004-B Owner Series 2004-B, Class A4 US - Auto Aaa / A 22,710,000 US65474WAD11 Chase Credit Card Owner 2004-2 Series 2004-2, Class A US - CARDS Aaa / A 22,710,000 US16151RDD26 MBNA Credit Card Master Note Series 2004-A4, Class A4 US - CARDS Aaa / A 22,710,000 US55264TCP49 Citibank Credit Card Issuance Series 2004-A2, Class A US - CARDS Aaa / A 22,710,000 XS0192892817 Discover Card Master I Series 2003-4, Class A2 US - CARDS Aaa / A 22,710,000 US25466KEU97 CDO 1 - Global - SYNTH CDO NR / 45,420,000 - CDO 2 - Global - SYNTH CDO NR / 45,420,000 - CDO 3 - Global - SYNTH CDO NR / 45,420,000 - CDO 4 - Global - SYNTH CDO NR / 45,420,000-4
5. ABSolute V Synthetic CDO Ltd bucket CDO 1 CDO 2 CDO 3 CDO 4 Total amount 1,622 Bio 1,622 Bio 1,622 Bio 1,622 Bio Number of Obligors 100 100 100 100 Portfolio Average Rating BBB+ BBB+ BBB+ BBB+ Initial Characteristics Tranche width 2.80% 2.80% 2.80% 2.80% Subordination 4.80% 4.80% 4.80% 4.80% Rating Diversity score NA NA NA NA Characteristics Total amount 1,622 Bio 1,622 Bio 1,622 Bio 1,622 Bio Number of Obligor 100 100 100 100 Tranche width 2.80% 2.80% 2.80% 2.80% Subordination 4.80% 4.80% 4.80% 4.80% Rating (CALYON calculations) Default and Losses on the portfolio Number of Credit Events 5