Fitch Downgrades 4 & Affirms 3 Classes of the Notes Issued by Whately CDO, Ltd./Inc.

NEW YORK -- Fitch Ratings has downgraded four and affirmed three classes of notes issued by Whately CDO, Ltd./Inc. (Whately). A complete list of rating action follows at the end of this press release.

These rating actions are the result of continued credit deterioration in the portfolio since Fitch's last rating action in August 2008. Approximately 60.8% of the portfolio has been downgraded since the last review, with about 26.8% of the portfolio downgraded since June 1, 2009.

The downgrades to the portfolio have left approximately 51.3% of the portfolio with a Fitch derived rating below investment grade and 34.9% with a rating in the 'CCC' rating category or lower, compared to 34.1% and 25.1%, respectively, when Fitch took its last rating action.

This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs'. The class A-1A notes are downgraded to 'CC' to reflect Fitch's opinion that, based on the percentage of defaulted securities and the portfolio and the performance expectations for the remainder of the portfolio, there is a high probability the notes will default at or prior to maturity.

The classes A-1BF, A-1BV, and A-2 notes are downgraded to 'C' and the classes A-3, BF, and BV notes are affirmed at 'C' to indicate Fitch's belief that default is inevitable at or prior to maturity.

Due to the decreased ability by the underlying assets to generate interest, principal has been used to pay interest to the classes A-1A, A-1B, and A-2 notes. Fitch expects that more principal will be used in the future to service interest of these classes as a higher proportion of the underlying assets are expected to stop generating interest.

Whately is a structured finance collateralized debt obligation (SF CDO) that closed on June 9, 2004. The portfolio is monitored by Babson Capital Management LLC. The portfolio is composed primarily of residential mortgage-backed securities (RMBS; 75.4%), commercial mortgage-backed securities (12.3%), asset-backed securities (6.6%), and 5.7% CDOs.

Fitch has downgraded and affirmed the following classes as applicable:

Whately CDO, Ltd./Inc.

--$135,941,904 class A-1A notes downgraded to 'CC' from 'A-';

--$6,000,000 class A-1BF notes downgraded to 'C' from 'B-';

--$51,000,000 class A-1BV notes downgraded to 'C' from 'B-';

--$27,000,000 class A-2 notes downgraded to 'C' from 'CCC';

--$13,185,534 class A-3 notes affirmed at 'C';

--$4,604,448 class BF notes affirmed at 'C';

--$11,322,632 class BV notes affirmed at 'C'.

These rating actions reflect the application of Fitch's current criteria which are available at 'www.fitchratings.com' and specifically include the following reports:

--'Global Structured Finance Rating Criteria' (Sept. 30, 2009).

--'Global Rating Criteria for Structured Finance CDOs' (Dec. 16, 2008);

--'Criteria for Structured Finance Loss Severity Ratings' (Feb. 17, 2009);

Additional information is available at www.fitchratings.com.

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