Fitch Places Sub-Class A6-EL of Newport Waves CDO Series 7 on Watch Negative

Business Wire, May 16, 2008

NEW YORK -- Fitch Ratings has today placed sub-class A6-EL of notes issued by Newport Waves CDO Series 7 on Rating Watch Negative. The Rating Watch Negative action reflects Fitch's view on the credit risk of the rated notes following the release of its new Corporate CDO rating Criteria.

Newport Waves CDO Series 7:

--EUR8,000,000 Sub-Class A6-EL Secured Limited Recourse Credit-Linked Notes due June 2014, rated 'A'.

Key drivers of this transactions credit risk include:

--Portfolio credit risk deteriorating, with a current average portfolio quality of 'BBB /BBB' from 'A-/BBB ' in May 2007 and 9.0% of the portfolio rated below investment grade.

--Portfolio migration risk with 3.3% of the portfolio on Rating Watch Negative and 24.0% of the portfolio with a Negative Outlook.

--Industry concentration of 51.0% in the three largest, made up of 30.0% in banking & finance, 13.5% in telecommunications and 7.5% in buildings & materials.

Given Fitch's view of concentration and the current credit quality of the portfolio, the credit enhancement level of 4.5% is not sufficient to justify the current rating of these notes.

Resolution of the Rating Watch status will incorporate any changes made to the portfolio or the transaction along with additional portfolio migration. If there are no significant changes prior to the resolution of the Rating Watch negative status, the notes will likely be downgraded to the 'BBB' rating category

Newport Waves CDO (the issuer) is a managed synthetic collateralized debt obligation (CDO) transaction referencing a portfolio of corporate obligations. The trust gains access to the credit risk of the portfolio via a credit default swap between the issuer and Bear Stearns Credit Products (guaranteed by Bear Stearns Companies, rated 'F2/A-', on Rating Watch Positive) and further guaranteed by JPMorgan Chase & Co., rated 'F1 /AA-' (as discussed in the release titled, 'Fitch Clarifies Review of Bear Stearns Counterparty Exposure in Global SF Transactions' dated April 1, 2008). The portfolio is actively managed by Pacific Investment Management Company LLC (PIMCO).

Fitch released updated criteria on April 30, 2008 for Corporate CDOs and, at that time, noted it would be reviewing its ratings accordingly to establish consistency for existing and new transactions. As part of this review, Fitch makes standard adjustments for any names on Rating Watch Negative or Negative Outlook, reducing such ratings for default analysis purposes by two and one notch, respectively. Fitch has noted its review will be focused first on ratings most exposed to risks it has highlighted in its updated criteria. Committees are also reviewing transactions that are least impacted by the new criteria and/or portfolio migration. Resolution of these Rating Watches will depend on the plans managers/arrangers may choose to execute and communicate to address these concerns.

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.