Fitch Affirms $311.9MM & Downgrades $14MM of Whately CDO I, Ltd.

CHICAGO -- Fitch has downgraded two and affirmed five classes of notes issued by Whately CDO I, Ltd (Whately I). These rating actions are the result of Fitch's review process and are effective immediately.

$203,855,413 Class A-1A affirmed at 'AAA';

$6,000,000 Class A-1BF affirmed at 'AAA';

$63,000,000 Class A-1BV affirmed at AAA';

$27,000,000 Class A-2 affirmed at 'AA';

$12,000,000 Class A-3 affirmed at 'A';

$4,000,000 Class BF downgraded to 'BB-' from 'BBB' and removed from Rating Watch Negative;

$10,000,000 Class BV downgraded to 'BB-' from 'BBB' and removed from Rating Watch Negative;

Whately I is a collateralized debt obligation (CDO) that closed on June 9, 2004 and is managed by David L. Babson. Whately I has exited its reinvestment period in June 2007. 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.

Fitch's rating actions reflect the recent credit quality deterioration within the portfolio. The majority of these actions has taken place in the last two months and was the result of credit deterioration in the subprime residential mortgage-backed securities (RMBS) space. The portfolio is currently composed of approximately 80% RMBS, 6% asset-backed securities (ABS), 8% commercial mortgage-backed securities (CMBS) and 6% CDOs. The majority of these actions has taken place in the last two months and was the result of credit deterioration in the subprime RMBS space. Approximately, 1.68% of the underlying assets are currently on Rating Watch Negative (RWN).

Of the 41.19% exposure to subprime RMBS in Whatley I, 4.08%, 16.14% and 4.83% consist of the 2005, 2006 and 2007 vintages, respectively, which are experiencing higher levels of delinquencies and defaults. Fitch believes that this subprime exposure, along with credit deterioration in the portfolio has increased the risk profile of the class BF and class BV notes. This rating analysis incorporated Fitch's revised methodology for rating structured finance CDOs. For more information, see 'Global Criteria Change for U.S. Structured Finance CDOs Reflects Heightened Subprime Risks,' dated Aug. 15, 2007 and available on the Derivative Fitch web site at www.derivativefitch.com.

The Fitch weighted average rating factor has increased to 3.56 ('BBB+'/'BBB') as per the August 01, 2007 trustee report from 2.97 ('A-/BBB+') during the last review in June 2006. The class A-3 interest coverage ratio is below the required threshold. The senior and class B interest coverage ratios are passing the minimum threshold but, with minimal cushion for the senior interest coverage ratio. All classes are in compliance with the overcollateralization triggers of 108%, 105%, and 101.5%.

The ratings of the class A-1A, A-1BF, A-1BV and A-2 notes address the likelihood that investors will receive timely payments of interest, as per the governing documents, as well as the aggregate principal amount by the June 2044 maturity date. The ratings of the class A-3, BF and BV notes address the likelihood that investors will receive ultimate interest payments, as per the governing documents, as well as the aggregate principal amount by the June 2044 maturity date, as per the transactions governing docs.

Fitch will continue to monitor and review this transaction for future rating adjustments. Additional deal information and historical data are available on the Derivative Fitch web site at www.derivativefitch.com. For more information on the Fitch VECTOR Model, see 'Global Rating Criteria for Collateralised Debt Obligations,' dated Oct. 4, 2006 and also available at www.derivativefitch.com.

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