Fitch Ratings Affirms 1 Class of Calhoun CBO Ltd./Corp.

CHICAGO -- Fitch Ratings affirms the rating of one class of notes issued by Calhoun CBO, Ltd./Corp. (Calhoun), which closed July 23, 1998. This affirmation is the result of Fitch's review process. The following rating actions are effective immediately:

--$213,984,162 senior secured floating rate notes affirmed at 'BB-';

--$66,784,865 second priority senior fixed rate notes maintained at 'C'.

Calhoun is a collateralized bond obligation (CBO) managed by American Express Asset Management Group, Inc. The collateral of Calhoun is composed of high yield bonds with 81.07% invested in non-emerging markets assets and 18.93% in emerging markets assets. Payments are made semi-annually in January and July and the reinvestment period ended in July, 2003. Included in this review, Fitch discussed the current state of the portfolio with the asset manager and their portfolio management strategy.

According to the April 23, 2004 trustee report, the collateral includes $23.19 million (10.21%) defaulted assets. The deal currently contains another $41.54 million (17.12%) assets rated 'CCC+' or below. The Senior Par Value Test is failing at 109.03% with a trigger of 127.50% and the Second Priority Par Value Test is failing at 83.09% with a trigger of 104.0%.

The rating of the senior secured notes addresses 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 stated maturity date. The rating of the second priority senior 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 stated maturity date.

Fitch will continue to monitor Calhoun closely to ensure accurate ratings. Deal information and historical data on Calhoun is available on the Fitch Ratings web site at 'www.fitchratings.com'.