Fitch Assigns 'CAM2' SF CDO Asset Manager Rating to Bear Stearns.

NEW YORK -- Fitch assigns a 'CAM2' structured finance CDO asset manager rating to Bear Stearns Asset Management (BSAM). The rating is based on the portfolio management team responsible for the Bear Stearns High-Grade Structured Credit Strategies, L.P. (BSHG). Supporting the rating is the BSHG team's extensive capital markets experience, the resources and backing of BSAM, and the team's commitment to the CDO platform as a source of matched term funding for its fund. This commitment is further evidenced by the team's rapidly increasing staff and investment in technology to support its CDO business.

The BSHG team is led by Ralph Cioffi, a 22 year veteran of Bear Stearns, and a member of BSAM's Board of Directors. Mr. Cioffi was involved in the initial Structured Credit efforts at Bear Stearns. Working closely with Mr. Cioffi is Matthew Tannin, a Senior Managing Director who has been with Bear Stearns since 1994 on the CDO structuring desk, and Ray McGarrigal, Senior Managing Director who has been with Bear Stearns since 1997 and has structured a wide variety of fixed income credit structured products. With 40 years of combined experience in international fixed income markets and structured finance, the management team cites their commitment to providing their clients with world-class investment management and thorough communication of both risks and returns.

BSAM's 'CAM2' rating is based on its composite score of 2.25. This score takes into account qualitative adjustments made by the rating committee in addition to a weighting of the scores assigned to each of the categories described below:

-- Company and Management Experience '1.5';

-- Staffing '2.00';

-- Procedures and Controls '2.25';

-- Portfolio Management '2.00';

-- CDO Administration '2.50';

-- Technology '2.25';

-- CDO Portfolio Performance 'Not Scored'.

BSAM's composite score of '2.25' is used to establish a systematically applied quantitative link between its asset manager rating and Fitch's CDO rating criteria, in accordance with the approach outlined in Fitch Research on 'Reviewing and Rating CDO Asset Managers,' dated Jan. 27, 2006, available on the Fitch Ratings web site at www.fitchratings.com.

BSAM manages more than $32.5 billion (9/30/05) in assets across a spectrum of active investment disciplines, including a selection of U.S. equity and fixed income separate accounts, hedge and private equity funds and funds of funds. BSHG began operations in May 2003 and is a BSAM sponsored fund. The BSHG team currently manages over $25 billion in structured credit assets within seven CDOs and the fund. The fund has grown from $500 million in capital in 2004 to $1.5 billion today. BSHG has historically retained 100% of the equity and the BBB tranches of its sponsored CDOs.

Fitch rates CDO asset managers by asset class, on a scale of 1 to 5, with 1 being the highest rating. These ratings are based on a standardized scorecard methodology that includes factors in each of the seven groups as noted above.

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.