Fitch Ratings Affirms 3 Classes of Julia CDO, Limited

Business Wire, Nov 30, 2004

NEW YORK -- Fitch Ratings has affirmed three classes of Julia CDO, Limited (Julia CDO). The following rating actions are effective immediately:

-- $97,500,000 class I secured floating-rate notes due 2009 at 'AAA';

-- $34,125,000 class II secured floating-rate notes due 2009 at 'AA';

-- $29,250,000 class III secured floating-rate notes due 2009 at 'BBB'.

Julia CDO was established as a synthetic collateralized debt obligation (CDO) to provide mezzanine credit protection on a $975 million diversified static portfolio of 150 equally weighted (notional balance), reference entities. The transaction is a static pool, synthetic CDO that enables investors to gain credit exposure to a diversified portfolio of corporate reference entities. The ratings on the class I, class II and class III notes addresses the likelihood that investors will receive full and timely payments of interest and ultimate repayment of the stated balance of principal by the legal final maturity date.

Fitch has reviewed the credit quality of the individual assets comprising the portfolio. Since Fitch's last rating action in May 2003, the performance of the reference portfolio has remained stable, along with minimal credit migration. Additionally, the portfolio has not experienced any credit events to date. Accordingly, Fitch has determined that the ratings assigned to all rated securities, as indicated above, 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'. (For more information on the Fitch VECTOR Model, see 'Global Rating Criteria for Collateralised Debt Obligations,' dated Sept. 13, 2004, available on Fitch's web site at 'www.fitchratings.com'.)