Fitch Ratings Affirms Two Classes of Avalon Capital Ltd.

Business Editors

NEW YORK--(BUSINESS WIRE)--April 25, 2003

Fitch Ratings affirms two classes of notes issued by Avalon Capital Ltd (Avalon). These affirmations are the result of Fitch's annual review process. The following rating actions are effective immediately:

-- $465,000,000 class A senior floating rate notes affirmed at

'AAA';

-- $100,000,000 Class B subordinated floating rate notes affirmed

at 'BBB+'.

Avalon is a collateralized debt obligation (CDO) managed by INVESCO Senior Secured Management (INVESCO). Fitch has reviewed in detail the portfolio performance of Avalon. In conjunction with this review, Fitch discussed the current state of the portfolio with the asset manager and their portfolio management strategy going forward.

The Avalon portfolio has experienced some deterioration since its inception with a cumulative reduction in its Book Value Ratio from 108.3% to 102.9% as of March 18, 2003. The current portfolio has 3.96% in defaulted securities and 8.4% in securities rated 'CCC+' and lower (excluding defaults). INVESCO has closely monitored the portfolio's performance and has been actively trading into better quality and higher rated assets as the opportunities arise. INVESCO continues to scrutinize the defaulted and distressed assets in Avalon in order to realize the best ultimate value. After Fitch's discussions with INVESCO, it is very clear that the management team is well informed on all of the portfolio credits, the industries in which they operate, as well as the high yield industry overall.

Despite some of the deterioration in the portfolio, Avalon is performing well due to some of the deal's structural features. These structural features include diverting excess interest into a priority reserve account, after the interest payment to the class A and class B notes, if the book value ratio is less then 108.5%. Currently the priority reserve account balance is $26,404,621 million and can only be invested in high quality, short term securities until such time that the book value ratio is greater then 108.5%.

Fitch conducted cash flow modeling utilizing various default timing and interest rate scenarios to measure the breakeven default rates relative to the minimum cumulative default rates required for the rated liabilities. As a result of this analysis, Fitch has determined that the original ratings assigned to the class A and B notes still reflect the current risk to note holders.

Fitch will continue to monitor and review this transaction for future rating adjustments.

Additional deal information and historical data are available on the Fitch web site at 'www.fitchratings.com'.