Bluegrass ABS CDO II, Ltd. Rated 'F1+/AAA/AA/BBB' by Fitch.

Business Editors

NEW YORK--(BUSINESS WIRE)--April 15, 2004

Fitch has rated the following notes issued by Bluegrass ABS CDO II, Ltd. and co-issuer Bluegrass ABS CDO II, Corp. (collectively referred to as the co-issuers) as follows:

-- Class A-1MM money market floating rate notes due April 2039

rated 'F1+' and 'AAA';

-- Class A-1LT long-term floating rate notes due April 2039 rated

'AAA';

-- U.S. $75 million class A-1MT-a medium-term floating rate notes

due April 2039 rated 'AAA';

-- U.S. $173 million class A-1MT-b medium-term floating rate

notes due April 2039 rated 'AAA';

-- U.S. $58 million class A-2 floating rate notes due April 2039

rated 'AAA';

-- U.S. $52.8 million class B floating rate notes due April 2039

rated 'AA';

-- U.S. $15 million class C-1 floating rate notes due April 2039

rated 'BBB';

-- U.S. $7.4 million class C-2 fixed rate notes due April 2039

rated 'BBB'.

The ratings on the class A-1, A-2 and B notes address the timely payment of interest and ultimate payment of principal as outlined in the governing documents. The ratings on the class C-1 and C-2 notes address the ultimate payment of interest and principal as outlined in the governing documents.

The ratings are based upon the capital structure of the transaction, the quality of the collateral, and the overcollateralization and interest coverage tests provided for within the indenture and the sound legal structure of the program. In addition, the 'F1+' rating of the class A-1MM notes is also based on the support to the program by the put agreement provided by AIG Financial Products Corp, whose payment obligations are absolutely and unconditionally guaranteed by American International Group, Inc.

A notable feature of the structure includes the ability to cross-remarket the class A-1 notes into money market (MM) or medium term (MT) notes. Both types of notes can be remarketed semiannually by the remarketing agent, Deutsche Bank Securities Inc. Both types of notes will be supported by the put agreement provided by AIG-FP. The put can be exercised if the notes cannot be remarketed at a maximum remarketing spread at the put exercise date. The put exercise dates will vary between MM and MT notes. Initially, the class A-1 notes will consist of two MT subtranches with three- and five-year put option maturities. At each semiannual remarketing date, the class A-1 notes may then be cross-remarketed as either class A-1MM or class A-1MT notes. The issuer will use proceeds from the issuance of new MM or MT notes to pay down the existing notes.

The proceeds of the notes will be used to purchase a managed investment portfolio consisting of approximately 68% residential mortgage-backed securities (RMBS), 15% asset-backed securities (ABS), 10% commercial mortgage-backed securities (CMBS) and 7% collateralized debt obligations (CDOs). At closing, the quality of the collateral is evidenced by a maximum Fitch weighted average rating factor (WARF) of 6.0 ('BBB/BBB-').

INVESCO had $79 billion of global fixed income assets under management as of Dec. 31, 2003. Of this amount, $20.6 billion was structured securities, including $9.2 billion of ABS, $8.6 billion of MBS, and $2.8 billion of CMBS. INVESCO managed approximately $4.4 billion in ten CDOs as of Dec. 31, 2003. Asset types in these CDOs include senior secured loans, investment-grade corporate, high yield bonds and structured securities.

For more information, refer to the presale report titled 'Bluegrass ABS CDO II, Ltd.', available on the Fitch Ratings web site at 'www.fitchratings.com'.