Fitch Upgrades Sunbelt Funding Corp.'s Credit Enhancement to 'A'

Business Wire, Feb 23, 2007

NEW YORK -- Fitch upgrades the rating of Sunbelt Funding Corporation's programwide credit enhancement, provided in the form of Irrevocable Letter of Credit (LOC) No. S27479A, to 'A' from 'A-'. The upgrade reflects the declining probability of any loss suffered by Compass Bank as the LOC provider. The improving credit quality of conduit's portfolio is evidenced by the positive trend of Vector CP model outputs. The 'A' rating withstands additional model runs under a more stressful scenario with respect to asset correlation.

Sunbelt is a special purpose, bankruptcy-remote Delaware corporation whose primary purpose is the issuance of up to $2 billion 4(2) ABCP. The proceeds of the CP are used to acquire and hold asset backed securities rated 'AAA' and agency securities.

Liquidity support is in the form of either a liquidity asset purchase agreement or a liquidity loan agreement in an aggregate amount of 100% of outstanding CP. Sunbelt has a fungible layer of dynamic credit enhancement provided in the form of LOC, sized as the greatest of 1% of the face amount of all CP, 50% of the asset with the largest funded amount, or the amount determined by Vector CP.

Vector CP, a proprietary Monte Carlo simulation model developed by Fitch, is used as a primary analytical tool to rate the LOC. Each security in the program is input into the model and Vector CP will simulate the default behavior of these credit exposures, taking into account the rating distribution and correlation.

Fitch will continue to monitor the performance of portfolio dynamics in the conduit, and adjust the rating of LOC when appropriate.

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.