Fitch Affirms 2 Classes Of Brant Point CBO 1999-1, Ltd

Business Wire, July 14, 2004

NEW YORK -- Fitch Ratings affirms two classes of notes issued by Brant Point CBO 1999-1, Ltd. (Brant Point). The following rating actions are effective immediately:

-- $48,750,000 class C third priority senior secured notes 'BBB-';

-- $17,705,509 class D fourth priority senior secured notes 'BB'.

Fitch does not rate the class A or class B notes issued by Brant Point.

Brant Point is a collateralized bond obligation (CBO) managed by Sankaty Advisors, Inc. (Sankaty). Fitch has reviewed in detail the portfolio performance of Brant Point. In conjunction with this review, Fitch discussed the current state of the portfolio with the asset manager and their portfolio management strategy going forward.

Brant Point has shown steady performance as shown by the recovery in overcollateralization (OC) tests. Both the class A/B and class C OC tests have improved from failing levels of 123.6% and 105.7% witnessed at the time of the last rating affirmation on Feb. 21, 2003. As of the last trustee report available, June 7, 2004, Brant Point was passing class A/B and class C OC tests with levels of 125.6% and 106% respectively. The class D OC test has been failing since Feb. 5, 2002 but has improved from its all time low of 98.31% on June 6, 2003 to 100.35% as of June 7, 2004. Despite the improvement in coverage tests since the last rating affirmation, the collateral has deteriorated as illustrated by the erosion of the weighted average rating from 'B' to 'B-'. Excluding defaults, the percentage of securities rated 'CCC ' or lower has improved from 12% to 10%. As of June 7, 2004, Brant Point has approximately $29 million in principal collections. Sankaty plans to reinvest the proceeds in collateral which matches the current portfolio characteristics and complies with collateral quality tests.

Brant Point has several structural features which have helped stabilize the performance of the portfolio including an interest reserve account funded through excess spread. The reserve account has a current maximum balance of $10.3 million and a current balance of approximately $8.8 million. The maximum reserve account balance will step down each payment period by approximately $2.6 million until it reaches $0 on Jan. 28, 2006. Also of note, the class D OC test cures by redeeming the class D notes. To date, the class D notes have been reduced by $2.29 million through excess spread. The next scheduled release of funds from the interest reserve account in combination with excess spread is expected to cure the failing class D OC test in the next payment date of July 28, 2004.

Fitch conducted cash flow modeling utilizing various default timing and interest rate scenarios to measure the breakeven default rates going forward relative to the minimum cumulative default rates required for the rated liabilities (For more information on the Fitch Vector Model, see 'Global Rating Criteria for Collateralised Debt Obligations', dated Aug. 1, 2003 and available on the Fitch Ratings web site at 'www.fitchratings.com').

As a result of this analysis, Fitch has determined that the original ratings assigned to the class C and D notes still reflect the current risk to noteholders.

Fitch will continue to monitor and review this transaction for future rating adjustments. Additional deal information and historical data are available on the Fitch Ratings web site at 'www.fitchratings.com'.