Fitch Rates Thornburg Mortgage Capital Resources Secured Liquidity Notes 'F1+'

Business Wire, June 30, 2004

NEW YORK -- Thornburg Mortgage Capital Resources, LLC's (TMCR) $5 billion secured liquidity note (SLN) program is rated 'F1 ' by Fitch Ratings. The rating is based on the credit enhancement provided in the form of overcollateralization, collateral eligibility requirements, and the legal and financial structure of the transaction.

TMCR is a special purpose, bankruptcy-remote Delaware limited liability company established for the sole purpose of issuing SLNs to fund the purchase of certain mortgage-backed securities from Thornburg Mortgage Depositor, LLC (the depositor) pursuant to a master repurchase agreement. The securities acquired will, among other eligibility requirements, be limited to securities that are direct obligations of, or that are fully guaranteed as to principal and interest by the Government National Mortgage Association (GNMA), the Federal Home Mortgage Loan Corporation (FHLMC), or the Federal National Mortgage Association (FNMA), (the agencies) and securities that are issued by any bankruptcy-remote, limited purpose issuer of residential mortgage-backed securities and that are rated 'AAA'. In addition, in either case, such securities must be backed by adjustable-rate mortgage loans with weighted average initial interest-rate reset periods not to exceed 72 months from the date of acquisition.

Each SLN will have an expected maturity, at the option of TMCR, of up to 250 days. TMCR does not benefit from third-party liquidity support. Rather, if available funds are insufficient to repay SLNs in full on their repayment date and TMCR is unable to issue new SLNs to repay the entire face-value of the existing notes due, the SLNs will be converted into a class of extended promissory notes having maturities of 10 business days following the expected maturity.

The administrator of TMCR is Thornburg Mortgage, Inc. (TMA). Founded in 1993 and based in Santa Fe, New Mexico, TMA is organized as an externally managed REIT that is managed by Thornburg Mortgage Advisory Corp, a privately owned manager operating under the supervision of TMA's board. TMA is a single-family residential mortgage lender with $22.4 billion in assets focused principally on the jumbo segment of the mortgage market. TMA's operations are focused on the acquisition, management, and long-term holding of adjustable-rate mortgage instruments.