Fitch Ratings Downgrades One Class of SFA CABS I, Ltd

Business Wire, Feb 24, 2006

NEW YORK -- Fitch Ratings downgrades one class of notes issued by SFA CABS I, Ltd., (SFA I). The following rating actions are effective immediately:

--$83,151,927 class A notes downgraded to 'CCC' from 'B';

--$14,000,000 class B-1 notes remains at 'CC';

--$8,500,000 class B-2 notes remains at 'CC';

--$22,565,790 class C notes remains at 'C'.

SFA I is a collateralized debt obligation (CDO) that closed on June 22, 2000 and is managed by Structured Finance Advisors (SFA). SFA I is composed of diversified structured finance assets including 62.6% asset-backed securities (ABS), 21.6% residential mortgage-backed securities (RMBS), 9.7% commercial mortgage-backed securities (CMBS) and 6.2% CDOs. Included in this review, Fitch discussed the current state of the portfolio with the asset manager and their portfolio management strategy going forward. In addition, Fitch conducted cash flow modeling utilizing various default timing and interest rate scenarios to measure the breakeven default rates going forward relative to the minimum cumulative default rates required for the rated liabilities.

This downgrade reflects the continued deterioration of the collateral and the decline in the coverage of the notes. As of the trustee report dated Jan. 2, 2006 the average rating factor has declined to 46.2 ('CCC'), from 43.1 ('CCC '), below its trigger level of 14 ('BBB'), since the trustee report dated June 7, 2005. The class A overcollateralization test has declined to 96.5% from 101.2%, below its trigger level of 122%. In addition, part of the interest due to the class B notes is being paid with principal collections. On the Dec. 12, 2005 distribution date, $354,500 of principal cash was used to pay class B interest.

The ratings of the class A, B-1 and B-2 notes address 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. The rating of the class C notes addresses the likelihood that investors will receive ultimate and compensating interest payments, as per the governing documents, as well as the stated balance of principal by the legal final maturity date.

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.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.