Fitch Ratings Affirms the Liabilities of Arroyo CDO I, Limited.

Business Editors

NEW YORK--(BUSINESS WIRE)--July 1, 2003

Fitch Ratings affirms all of the rated notes issued by Arroyo CDO I, Ltd (Arroyo CDO I). The affirmation of these notes is a result of Fitch's annual rating review process. The following rating actions are effective immediately:

-- $318,400,000 Class A Floating Rate Notes affirmed at 'AAA';

-- $38,800,000 Class B Floating Rate Notes affirmed at 'AA';

-- $10,000,000 Class C-1 Floating Rate Notes affirmed at 'BBB';

-- $16,000,000 Class C-2 Fixed Rate Notes affirmed at 'BBB'.

Arroyo CDO I is a collateralized bond obligation (CBO), which closed August 16, 2001, supported by asset-backed securities (ABS; 42.29%), residential mortgage-backed securities (RMBS; 29.27%), commercial mortgage-backed securities (CMBS; 17.01%), corporate securities (7.51%), collateralized debt obligations (CDO; 2.42%), and real estate investment trusts (REITs; 1.51%). Fitch has reviewed the credit quality of the individual assets comprising the portfolio, including discussions with Western Asset Management Company (WAMCO), the asset manager. According to the May 2, 2003 trustee report the class A over-collateralization was 126.43% and the class B over-collateralization was 112.69%, relative to test levels of 112.84% and 106.55%, respectively. The report also indicated that no pay downs have occurred on any of the note classes and that the CBO has experienced no significant credit migration with a current weighted average rating factor (WARF) of 14.02 vs. an initial WARF of 12.96, relative to test level of 16.00.

Based on the stable performance of the underlying collateral and the comfortable cushion on the over-collateralization tests, Fitch has affirmed all of the rated liabilities issued by Arroyo CDO I. Fitch will continue to monitor this transaction. Deal information and historical data on Arroyo CDO I is available on Fitch Ratings' web site at 'www.fitchratings.com'.