Fitch Ratings Downgrades 4 Classes Of SFA CABS I Trust.

Business Editors

NEW YORK--(BUSINESS WIRE)--July 14, 2003

Fitch Ratings downgrades and removes from Rating Watch Negative four classes of notes issued by SFA Collateralized Asset-Backed Securities (CABS) I Trust. The transaction, a collateralized debt obligation (CDO), is supported by a diversified portfolio of asset-backed securities (ABS), residential mortgage-backed securities (RMBS) and commercial mortgage-backed securities (CMBS).

The rating actions are based on the recent deterioration of the credit fundamentals of the portfolio to the point where the risk is no longer consistent with the current ratings. The portfolio contains a number of securities whereby default is probable, although only two assets in the current portfolio are classified as defaulted. In addition, the current interest rate environment has placed increased pressure on excess spread. The deterioration in excess spread has caused the class C to begin to pay in kind (PIK) as there is not enough cash to meet current coupon accruals. Deferred interest is currently $1,236,210.

The following classes have been downgraded and removed from Rating Watch Negative:

SFA Collateralized Asset-Backed Securities I Trust

-- Class A floating-rate notes 'AA+' from 'AAA';

-- Class B-1 floating-rate notes 'B-' from 'BBB';

-- Class B-2 fixed-rate notes 'B-' from 'BBB';

-- Class C fixed-rate notes 'C' from 'B'.

SFA CABS I Trust, managed by Structured Finance Advisors, Inc., was established in June 2000 to issue $250 million in notes and trust certificates. According to the June 2003 trustee report, the transaction is failing the weighted average coupon test, the Fitch weighted average rating factor (WARF) test and class A, B and C overcollateralization tests.

The Fitch WARF was 29.30 during this period, which far exceeds the rating limitation of 14. This is a substantial decline in the WARF since our last review of the transaction (in the fall of 2002) when the WARF was 19.97. The decline in the WARF underscores the substantial worsening of credit quality of the collateral pool since closing. CABS I holds a number of securities that Fitch has identified as having an increased potential for adverse impact on the ability of the CDO to pay timely interest and ultimate principal on the class A and B notes and ultimate interest and principal on the class C notes and the trust certificates. Several assets in the collateral pool have experienced substantial deterioration in credit quality, including exposure to mutual fund fee and aircraft transactions.

The class A overcollateralization (OC) test breached the 122.0% trigger, with an actual ratio of 118.41%. The class B OC test breached the 109.5% trigger, with an actual ratio of 105.27%. The class C OC test breached the 101.5% trigger, with an actual ratio of 96.97%, causing an amortization of the notes.