Fitch Ratings Places Mid Ocean CBO 2000-1 Ltd. on Rating Watch Negative

Business Wire, April 26, 2004

Business Editors

CHICAGO--(BUSINESS WIRE)--April 26, 2004

Fitch Ratings places four classes of notes issued by Mid Ocean CBO 2000-1 Ltd. (Mid Ocean) on Rating Watch Negative.

The following classes have been placed on Rating Watch Negative:

-- $240,000,000 Class A-1L Notes rated 'AAA';

-- $16,500,000 Class A-2 Notes rated 'A-';

-- $15,000,000 Class A-2L Notes rated 'A-';

-- $12,500,000 Class B-1 Notes rated 'B'.

Mid Ocean is a collateralized debt obligation (CDO) managed by Deerfield Capital Management LLC, which closed January 8, 2001. Mid Ocean is composed of approximately 50% RMBS, 18% CMBS, 20% ABS and 12% CDOs.

Since the last rating action in December 2002, the collateral has continued to deteriorate. The weighted average rating factor has increased from 13 (BBB /BBB) to 23 (BBB-/BB ). The class A overcollateralization ratio and class B overcollateralization ratio have increased from 106.3% and 101.6%, respectively as of December 2, 2002 to 106.6% and 101.8% as of the most recent trustee report dated April 2, 2004. As of the most recent trustee report available, defaulted assets represented 0.06% of the $290 million of total collateral. Assets rated 'BB ' or lower represented approximately 9.5% as of December 2, 2002, and increased to 30.6% as of the most recent trustee report. The weighted average coupon has decreased from 7.39% on December 2, 2002 to 6.95% as of the most recent trustee report.

Mid Ocean continues to fail its Additional Coverage test as measured by the monthly trustee report. Failure of this test diverts excess spread from paying the subordinate manager fee and equity holders to reinvestment in additional collateral.

The transaction's floating rate assets and interest rate swap, which pays a floating interest rate, total approximately $220 million while Mid Ocean's liabilities that pay a floating interest rate equal $255 million. Additionally, Mid Ocean's floating rate assets include $14.5 million (5% of portfolio) invested in inverse floaters.

The deteriorating credit quality of the portfolio has increased the credit risk of this transaction to the point the risk may no longer be consistent with the ratings. Fitch will review this transaction and take appropriate rating action upon completion of its analysis. Additional deal information and historical data are available on the Fitch Ratings web site at 'www.fitchratings.com'.