Fitch Ratings Affirms Cascade Funding CDO I, Ltd.

CHICAGO -- Fitch affirms three classes of notes issued by Cascade Funding CDO I, Ltd. and Cascade Funding CDO I, Inc. ('Cascade'). These affirmations are the result of Fitch's review process. The following rating actions are effective immediately:

-- $294,305,344 Class A-1 notes affirmed at 'AAA';

-- $46,000,000 Class A-2 notes affirmed at 'AAA';

-- $6,381,350 Class C notes affirmed at 'BBB'.

Cascade is a collateralized debt obligation (CDO) which closed on July 26, 2004 and is managed by Terwin Money Management LLC. Cascade is supported by a high grade portfolio composed of 74% Residential Mortgage Backed Securities and 26% CDOs.

The affirmations are the result of stable collateral performance. The transaction remains in its two-year substitution period. As of the March 31, 2006 trustee report, Fitch weighted average rating factor test (WARF) remains unchanged at 0.9 ('AA') since the first available trustee report dated November 26, 2004. The weighted average fixed rate coupon plus spread excess is currently 5.497%, which is in line with the covenant; while the weighted average spread remains stable at 0.91%. The portfolio contains no assets rated below 'A-'. The overcollateralization level has increased to 101.6% from 101.4%. As a result of daycount mismatch, the interest coverage (IC) test level has decreased to 101.7% from 130.2%, however, an amendment that is currently under consideration will address this issue and is expected to return IC ratio to above-the-trigger level. Amendment documents would line up the day count on the monthly assets with the quarterly liabilities. Further, the amendment would match up the one month LIBOR the CDO is earning on the assets with the 3 month LIBOR on the liabilities. The basis swap would result in the CDO paying one month LIBOR for 3 months and receiving 3 month LIBOR on the CDO payment date.

The ratings of the class A-1 and A-2 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 ratings of the class C notes address 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.

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 www.fitchratings.com. For more information on the Fitch VECTOR Model, see 'Global Rating Criteria for Collateralised Debt Obligations,' dated Sept. 13, 2004, also available on the Fitch Ratings web site 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.