Fitch Affirms State Street Research & Management Co.'s Structured Finance CDO Asset Manager Rating

Business Wire, July 6, 2004

NEW YORK -- Fitch Ratings affirms State Street Research & Management Company's (SSRM) structured finance CDO asset manager rating of 'CAM2'. This rating is based on the strength of the CDO portfolio management team, the quality of CDO administration practices and tools, an effective use of technology, and enhancements to its procedures and controls. Improvements in the control environment include additional staff for CDO administration, and the integration of legal, compliance, financial reporting, technology and human resources with SSRM's parent company MetLife. The 'CAM2' rating is a composite of the scores issued to the company for each of Fitch's nine rating categories. SSRM's scores in each of the rating categories is summarized as follows:

Rating Category/Score

Company and Management Experience/1.75;

Financial Condition/1.50;

Staffing/1.75;

Procedures and Controls/1.75;

Credit Underwriting/Asset Selection/1.50;

Portfolio Management/1.75;

CDO Administration/2.00;

Technology/1.75;

Portfolio Performance/2.00;

These category scores, weighted in accordance with Fitch's CDO asset manager rating scorecard, result in a composite score of 1.78 for SSRM, making it a 'CAM2' for structured finance CDOs. The composite rating is used to establish a systematically applied quantitative link between asset manager ratings and CDO rating criteria. On all future structured finance CDOs managed by SSRM, Fitch Ratings will use the composite rating to calibrate the maximum allowable adjustment to its modeled rating default rate at each rating level with a Fitch rating. The adjustment will be made in accordance with the approach outlined in Fitch Research on 'Rating CDO Asset Managers', February 13, 2004, available on Fitch's web site at 'www.fitchratings.com'.

SSRM's 'CAM2' rating is supported by the company's long established history in the asset management business, the performance of its CDO portfolios, and the stability of its institutional investor client base. The company has significant experience managing ABS assets, demonstrates strong ABS surveillance practices and maintains a consistently executed investment process.

State Street Research, founded in 1924, is a Delaware corporation headquartered in Boston, Massachusetts that operates as a registered investment advisor. The company is a wholly owned subsidiary of MetLife, which has an 'AA' Fitch insurer financial strength rating. State Street Research has over $40 billion in assets under management, including equity and fixed income investments. Of the total assets under management, about $25 billion is managed for institutional clients and the remainder is in the company's family of mutual fund offerings or managed under sub-advisory agreements. SSRM manages 3 structured finance CDOs: Fort Point CDO I, Fort Point CDO II, and Pillars Synthetic CDO I. The 2 Fort Point transactions closed in October, 2002 and October, 2003 respectively, and are both arbitrage cash flow CDOs backed by RMBS, ABS, CMBS and REIT debt securities. Pillars is a synthetic CDO with a portfolio comprised of synthetic structured finance securities and synthetic corporates. Detailed information on SSRM's CDOs is available at FitchResearch.com.

Fitch rates CDO asset managers, by asset class, on a five tier scale, 'CAM1' through 'CAM5', with 'CAM1' representing the highest rating. These ratings are based on a standardized scorecard methodology.