Recent Transactions

Millstone Program: Managed High Grade ABS CDOs Church Tavern serves as the Collateral Manager for the Millstone program. This strategy includes three actively managed special purpose entities totaling $4.7 billion. Each entity invests in a portfolio of Asset Backed and Mortgage Backed Securities (ABS and MBS) with a credit rating of approximately AA. The vehicles provide debt investors the choice of exposure to their preferred risk level through debt tranches from AAA down to BBB. The Preferred Shares offer leveraged exposure to the portfolio.

Millstone Funding CDO I Millstone Funding I is a $1 billion transaction, originally issued in February 2004 with Citigroup Global Markets serving as the structuring advisor and placement agent. The senior tranche is executed with Commercial Paper issued through Citibank and Morgan Stanley.

Millstone Funding CDO II Millstone Funding II is a $1.5 billion transaction, originally issued in May 2006 with Dresdner Kleinwort Wasserstein serving as the placement agent and financial arranger.

Millstone Funding CDO III Millstone Funding III is a $2.2 billion transaction, originally issued in July 2006 with Calyon serving as the placement agent and financial arranger.

Millstone IV CDO n/a

Sherwood Program: Managed Mezzanine ABS CDOs Church Tavern serves as the Collateral Manager for the Sherwood program, which includes three actively managed special purpose entities totaling $1.55 billion. The three underlying portfolios have a weighted average credit rating of approximately BBB, and each portfolio utilizes credit default swaps to access exposure to ABS and MBS.

Sherwood Funding CDO I Sherwood Funding I is a $550 million transaction, originally issued in October 2004 with JPMorgan serving as the structuring advisor. Both JPMorgan and Morgan Stanley acted as co-placement agents on the deal.

Sherwood Funding CDO II Sherwood Funding II is a $500 million transaction, originally issued in December 2005. JPMorgan and Morgan Stanley reversed roles from Sherwood I, with Morgan Stanley serving as the structuring advisor, and both firms serving as co-placement agents.

Sherwood Funding CDO III Sherwood Funding III is a $500 million transaction, originally issued in January 2007. Approximately 70% of the initial underlying collateral was sourced via CDS market. UBS served as both the structuring advisor and placement agent for the deal.

Static Mezzanine ABS CDOs

Saturn Ventures I, LTD Church Tavern serves at the Collateral Manager for Saturn Ventures 1, a static pool transaction totaling $410 million. The entitiy invests in a portfolio of Asset Backed and Mortgage Backed Securities (ABS and MBS) with a credit rating of approximately BBB. The vehicle proveds debt investors the choice of exposure to their preferred risk level through debt tranches from AAA down to BBB. The Preferred Shares offer leveraged exposure to the portfolio.

Saturn Ventures II, LTD Church Tavern also serves as the Collateral Manager for Saturn Ventures II. This static pool transaction, also totalling $400 million, is structured similarily to Saturn Ventures I. Church Tavern Advisors, LLC is the Collateral Advisor. Citigroup Global Markets was the structuring advisor and placement agent in both issuances.

Copyright 2004, Church Tavern Advisors, LLC