Fitch Affirms North Street 2002-3A

Business Wire, Oct 29, 2004

CHICAGO -- Fitch Ratings has affirmed one class of notes from North Street Referenced Linked Notes 2002-3A, Ltd. (North Street 2002-3A). The transaction is a partially funded synthetic collateralized debt obligation (CDO) created to enter into a credit default swap with UBS Warburg referencing a portfolio of $2 billion high grade asset-backed securities. North Street 2002-3A will make credit protection payments to UBS for losses that exceed $160 million.

Fitch has affirmed the rating of the following liability:

North Street 2002-3A

-- $100,000,000 floating-rate notes 'AAA';

The rating of the notes addresses the likelihood that investors will receive full and timely payments of interest, as per the governing documents, as well as the stated balance of principal by the legal final maturity date.

North Street 2002-3A has performed as anticipated since closing on Dec. 16, 2002. While some negative rating migration has occurred, the referenced portfolio's Weighted Average Rating continues to perform at 2.06 ('AA /AA') and credit enhancement is maintained at the appropriate level for the current rating. Additionally, no credit events have been called on the referenced portfolio.

Fitch conducted cash flow modeling utilizing various default timing and interest rate scenarios to measure the breakeven default rates 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 Sept. 13, 2004, available on the Fitch Ratings web site at 'www.fitchratings.com'.

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