Fitch Downgrades Corvus Investments, Savannah II CDO & Taunton CDO.

Business Editors

CHICAGO--(BUSINESS WIRE)--Dec. 24, 2002

Fitch Ratings has downgraded the following classes of notes issued by Corvus Investments Ltd., Savannah II CDO Ltd., and Taunton CDO Ltd.:

Corvus Investments Ltd.

--$540,175,871 class A-1 notes to 'A+' from 'AAA';

--$200,000,000 class A-2 notes to 'A+' from 'AAA';

--$65,000,000 class B notes to 'BBB' from 'AA';

--$60,000,000 class C notes to 'CCC+' from 'A';

--$40,000,000 class D notes to 'CC' from 'BBB';

--$25,000,000 class E notes to 'C' from 'BB';

--$10,000,000 class F notes to 'C' from 'B'.

Savannah II CDO Ltd.

--$295,198,218 class A notes to 'A-' from 'AAA';

--$18,450,000 class B notes to 'BB+' from 'AA';

--$22,500,000 class C notes to 'CCC' from 'BBB';

--$6,750,000 class D notes to 'C' from 'BB';

--$5,250,000 class E notes to 'C' from 'B'.

Taunton CDO Ltd.

--$216,091,705 class A-1 notes to 'AA+' from 'AAA';

--$78,578,802 class A-2 notes to 'AA+' from 'AAA';

--$26,000,000 class B notes to 'A' from 'AA';

--$24,000,000 class C notes to 'BB+' from 'A';

--$16,000,000 class D notes to 'CCC+' from 'BBB';

--$10,000,000 class E notes to 'C' from 'BB';

--$4,000,000 class F notes to 'C' from 'B'.

All classes excluding Corvus Investments Ltd.'s class A-1 and Taunton CDO Ltd.'s class A-1 and A-2 notes were previously placed on Rating Watch Negative and are removed from Rating Watch Negative.

The above referenced securities have been downgraded as a result of credit deterioration, higher than expected default rates, and lower recovery expectations.

As of their most recent trustee reports, each dated Nov. 30, 2002, Corvus Investments Ltd. was failing its E and F OC tests. Savannah II CDO Ltd. was failing it's A/B, C, D, and E OC tests. Taunton CDO Ltd. was failing its D, E, and F OC tests. Corvus Investments Ltd. was failing its weighted average rating factor (WARF) test, with a WARF of 37.13 versus a trigger of 32. Savannah II CDO Ltd. was failing its WARF test, with a WARF of 42.93 versus a trigger of 34, and Taunton CDO Ltd. was failing its WARF test with a WARF of 38.70 versus a trigger of 32. Fitch will continue to monitor these transactions and take additional action if warranted.

All three transactions have exposure to under performing sectors such as manufactured housing, aircraft securitizations and collateralized debt obligations (CDOs). As such, all three transactions have exposure to distressed credits that were material in Fitch's analysis. In the case of Corvus Investments Ltd., these distressed credits include, but are not limited to, subordinate class(es) of Dorset CDO Ltd., Tullas CDO Ltd., Savannah II CDO Ltd., and Taunton CDO Ltd. (note: the latter two exposures are subject to this rating action) as well as a mezzanine class of both INA CBO 1999-1 Ltd. and Juniper CBO 2000-1 Ltd.. Savannah II CDO Ltd.'s distressed credits include, but are not limited to, a subordinate class of both Tullas CDO Ltd. and Triton CDO IV Ltd.. Taunton CDO Ltd.'s distressed credits include, but are not limited to, a mezzanine class of both INA CBO 1999-1 Ltd. and Juniper CBO 2000-1 Ltd..

For further information on Fitch's process for resolving CDOs placed on Rating Watch, please refer to the Feb. 6, 2002, special report, 'Fitch Ratings' Approach to CDO Rating Actions', also available at 'www.fitchratings.com' or by contacting the Ratings Desk at 1-800-853-4824. Deal information for these transactions is also available at 'www.fitchratings.com'.