Fitch Ratings Affirms Enhanced Mortgage-Backed Securities I, II, III, and IV

Business Wire, May 18, 2005

NEW YORK -- Fitch Ratings has affirmed all classes of notes issued by Enhanced Mortgage-Backed Securities Fund I, Ltd. (EMBS I), Enhanced Mortgage-Backed Securities Fund II, Ltd. (EMBS II), Enhanced Mortgage-Backed Securities Fund III, Ltd. (EMBS III), and Enhanced Mortgage-Backed Securities Fund IV, Ltd. (EMBS IV). These affirmations are the result of Fitch's review process and are effective immediately:

EMBS I

-- $42,500,000 class A notes at 'AA';

-- $28,500,000 class B-1 notes at 'BBB';

-- $14,000,000 class B-2 notes at 'BBB'.

EMBS II

-- $88,000,000 class A-1 notes at 'AA';

-- $42,000,000 class A-2 notes at 'A';

-- $14,000,000 class A-3 notes at 'A-';

-- $26,000,000 class A-4 notes at 'BBB';

-- $30,000,000 certificates at 'B-'.

EMBS III

-- $87,750,000 class A-1 notes at 'AAA';

-- $9,450,000 class A-2 notes at 'A ';

-- $13,500,000 class A-3 notes at BBB ';

-- $4,050,000 class A-4 notes at 'BBB';

-- $20,250,000 preference shares at 'B-'.

EMBS IV

-- $130,000,000 class A-1 notes at 'AAA';

-- $14,000,000 class A-2 notes at 'A ';

-- $20,000,000 class A-3 notes at 'BBB ';

-- $6,000,000 class A-4 notes at 'BBB';

-- $30,000,000 preference shares at 'B-'.

Each of the four EMBS transactions are collateralized by fixed, floating, and adjustable rate mortgage-backed securities (MBS), collateralized mortgage obligations (CMOs), asset-backed securities (ABS), U.S. government securities, and other investment vehicles. Massachusetts Mutual Investment Management (MassMutual) serves as the investment manager to each of the transactions.

EMBS I has continued to exhibit strong performance, and currently has a net asset value (NAV) above 120%. This is in compliance with the performance trigger of 90.5%, and represents the likelihood that the deal will be able to return the full principal balance to each class of notes.

EMBS II currently has a NAV of approximately 98.8%, which is in compliance with its performance trigger of 90.5%. However, because the NAV is below 100%, it is likely that the certificates will incur a partial loss of approximately 8% of the $30,000,000 outstanding balance when the deal matures on May 25, 2005. Fitch has determined that the current rating assigned to the certificates ('B-') appropriately reflects the likelihood of this loss to the noteholders.

EMBS III has exhibited strong performance to date, as shown by its current NAV of approximately 107%. This NAV is currently in compliance with its performance trigger of 90.5%, and represents the likelihood that the deal will be able to return the full principal balance to each class of notes.

EMBS IV currently has a NAV of 98.4%, which is in compliance with its performance trigger of 90.5%. Although the NAV is currently below 100%, representing a potential loss of principal, EMBS IV does not mature until 2010 and there is no current threat to the noteholders.

As a result of this analysis, Fitch has determined that the current ratings assigned to the above-referenced notes still 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, also available at www.fitchratings.com.