Fitch Upgrades One Class of ACAS Business Loan Trust 2002-2

Business Wire, Feb 16, 2005

NEW YORK -- Fitch Ratings upgrades one class of notes issued by ACAS Business Loan Trust 2002-2 (ACAS 2002-2). The following rating action is effective immediately:

-- $28,134,582 class B notes upgraded to 'AA ' from 'A '.

ACAS Business Loan Trust 2002-2 is a collateral loan obligation (CLO) that closed on Aug. 8, 2002. The servicer is American Capital Strategies (Nasdaq:ACAS), based in Bethesda, Maryland. The rated liabilities are supported by the cash flows of a static portfolio of high-yield loans to middle market U.S. businesses, a majority of which are privately owned. The loans were made for the purpose of working capital, growth, acquisitions, and recapitalizations. The loan obligors operate in several industries including industrial and consumer manufacturing, transportation, and services. A majority of the loans are subordinate loans with the remaining balance divided between senior unsecured and senior secured obligations.

The portfolio is a static pool, with no discretionary trading. Substitution is limited to defined circumstances not to exceed 20% of the original portfolio balance. To date, there have been two loans substituted out of the trust equaling 3.86% of the original portfolio.

As of the Jan. 20, 2005 servicer report, the class A note has paid in full and the class B note received $16.6 million in principal distributions with 53.46% of the note remaining. In total, 61.63% of the capital structure has been redeemed leaving $80.76 million in collateral to cover $28.13 million in rated notes. There has been some credit migration of the portfolio investments since the last review on Oct. 18, 2003. Most of the negative migration is due to higher credit quality assets maturing or prepaying, not to downgraded collateral. The overall credit quality of the investments remains sound.

The rating of the class B 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.

Due to the de-leveraging of the structure, the significant excess spread, and relative stability of the loans, Fitch is upgrading the class B note.

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 Collateralized Debt Obligations," dated Sept. 13, 2004, and also available at "www.fitchratings.com."