Fitch Affirms 6 Tranches Issued by Talcott Notch CBO I, Ltd

Business Wire, July 8, 2004

NEW YORK -- Fitch Ratings affirms six tranches issued by Talcott Notch CBO I, Ltd., (Talcott Notch). The following rating actions are effective immediately:

-- $5,134,677 class A-1L floating-rate notes due 2009 'AAA';

-- $63,000,000 class A-2L floating-rate notes due 2011 'AAA';

-- $10,631,903 class A-3B variable coupon notes due 2011 'AA';

-- $79,500,000 class A-3L floating-rate notes due 2011 'AA';

-- $20,000,000 class A-4 8.417% notes due 2011 'BB ';

-- $10,000,000 class B-1 9.667% notes due 2011 'B-';

-- $12,000,000 class B-2L floating-rate notes due 2011 remains at 'CCC-'.

Talcott Notch is a collateralized debt obligation (CDO) which closed Oct. 20, 1999 and is managed by General Re-New England Asset Management. Talcott Notch is composed primarily of high yield bonds and loans. Included in this review, Fitch discussed the current state of the portfolio with the asset manager and their portfolio management strategy going forward. In addition, Fitch conducted cash flow modeling utilizing various default timing and interest rate scenarios.

Since the last rating action the senior class A overcollateralization (OC) ratio increased from 122.8% as of April 17, 2003 to 131% as of the most recent trustee report dated June 17, 2004, and the class A OC ratio increased from 112.5% to 115.4%. The class B OC ratio of 100.9% failed versus the trigger of 103% and the interest coverage ratio of 111.4% failed versus the trigger of 130%. Defaulted assets represented 10.17% of the $201.5 million of total collateral and eligible investments. Assets rated 'CCC ' or lower represented approximately 32.4%, excluding defaults.

Prior to the distribution date in April 2004, the collateral manager repurchased $13.5 million of class A-3L notes and $5 million of class A-3B notes in the secondary market at a discount to par. Fitch analyzed this action by the manager and determined that the repurchase increased all of the OC ratios and did not have a negative impact on any class of notes. The action did reduce the coverage test redemption amount paid to the class A-1L and the class A-2L. However, the class A-1L did receive a large cash redemption due to the failure of the interest coverage test during the period.

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. As a result of this analysis, Fitch has determined that the current ratings assigned to all classes of notes still reflect the current risk to noteholders.

The ratings of the class A-1L, class A-2L and class A-3L notes address the likelihood that investors will receive full and timely payments of interest, as per the governing documents, as well as the aggregate principal amount by the final maturity date. The ratings of the class A-4, B-1 notes and B-2L notes address the likelihood that investors will receive the cumulative interest amount, as per the governing documents, as well as the aggregate principal amount final maturity date. The rating of the class A-3B addresses the likelihood that investors will receive the current accretion amount by the final maturity date.

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'.