Derivative Fitch Downgrades $29.8B & Affirms $3.8B from 74 SF CDOs

Fitch's rating actions are based on the continued credit deterioration of the underlying collateral, as well as changes to the default forecasting assumptions underlying Fitch's Default VECTOR Model. The updated assumptions reflect increased probabilities of default, reduced recovery assumptions and increased correlation with respect to recent vintage subprime RMBS and SF CDOs. These assumptions are further outlined in the criteria report entitled 'Global Criteria for the Review of Structured Finance CDOs with Exposure to U.S. Subprime RMBS', dated Nov. 15, 2007 and available on both the Fitch and Derivative Fitch web sites at and , respectively.

Spreadsheets reflecting the complete list of these rating actions, as well as those undertaken by Fitch on Nov. 12, 2007, are available for download at both Fitch web sites, as well as Fitch's subprime markets page at . In order to provide further detail with respect to these rating actions, Fitch will publish a special report and host a teleconference on Nov. 29, 2007. Dial-in details for the teleconference will be issued in a separate press release to be released next week.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, . 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. Fitch means Fitch, Inc., Fitch Ratings, Ltd. and their subsidiaries including Derivative Fitch, Inc. and Derivative Fitch Ltd. and any successor or successors thereto.