Fitch Downgrades 2 Classes of SFA CABS II CDO, Ltd.

CHICAGO -- Fitch Ratings downgrades two classes of notes issued by SFA CABS II CDO, Ltd. (SFA II). The following rating actions are effective immediately:

--$77,313,014 class A notes affirmed at 'AAA';

--$50,000,000 class B notes downgraded to 'B' from 'BB';

--$12,418,622 class C notes downgraded to 'C' from 'CC';

--$12,000,000 preference shares remain at 'C'.

SFA II is a collateralized debt obligation (CDO), which closed May 24, 2001 and is managed by Structured Finance Advisors (SFA). SFA II is composed of 41.3% residential mortgage-backed securities, 38.1% asset-backed securities, 15.0% commercial mortgage-backed securities, and 5.7% CDOs. Fitch discussed the current state of the portfolio with the asset manager and their portfolio management strategy going forward. In addition, 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.

These downgrades are due to the declining credit quality of the collateral. Since last review, the percentage of the assets 'CCC+' and below has increased to 18.8% as of the Jan. 31, 2006 trustee report from 12.4% as of the Dec. 31, 2004 trustee report, and the weighted average rating factor has increased to 39.4 from 34.3, above its trigger of 16. In addition, all coverage tests are still failing and the class C notes are capitalizing deferred interest. The preference shares are not expected to receive any further distributions.

The ratings of the class A and class B notes address the likelihood that investors will receive full and timely payments of interest, as per the governing documents, as well as the stated balance of principal by the legal final maturity date. The rating of the class C notes addresses the likelihood that investors will receive ultimate and compensating interest payments, as per the governing documents, as well as the stated balance of principal by the legal final maturity date. The rating on the preference shares addresses the ultimate payment of a 2% dividend and ultimate receipt of the original stated amount.

Fitch will continue to monitor and review this transaction for future rating adjustments. Additional deal information and historical data are available on the Fitch Ratings web site at www.fitchratings.com. For more information on the Fitch VECTOR Model, see 'Global Rating Criteria for Collateralised Debt Obligations,' dated Sept. 13, 2004, available at www.fitchratings.com.

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.