Fitch Ratings Upgrades 1 & Affirms 3 Classes of VP CBO, Ltd.

NEW YORK -- Fitch upgrades one and affirms three classes of notes issued by VP CBO, Ltd. (VP CBO, formerly known as Triton III CBO, Ltd.). The following rating actions are effective immediately:

--$13,886,799 class A-1 'AAA';

--$8,168,706 class A-2 'AAA';

--$1,837,959 class A-3 upgraded 'BBB+' from 'BB';

--$98,136,725 class B 'C/DR5'.

VP CBO is a collateralized debt obligation (CDO) that closed April 20, 1999 and is managed by Oak Hill Value Partners, LLC (Oak Hill), which took over as collateral manager of the deal after Triton Partners LLC resigned in mid-2003. VP CBO currently has a portfolio composed of high-yield bonds. Under the terms of the indenture, Oak Hill may only sell assets which, in their opinion, represent credit-risk securities and that have been downgraded since original purchase, as well as defaulted, PIKing, and equity securities. Included in this review, Fitch Ratings discussed the current state of the portfolio with the asset manager and their portfolio management strategy going forward. In addition, Fitch conducted cash flow modeling utilizing various default timing and interest rate scenarios to measure the breakeven default rates going forward relative to the minimum cumulative default rates required for the rated liabilities.

From the payment date in May 2004 to the most recent payment date in May 2006 over 20% of the initial balance of the class A notes has been redeemed, leaving roughly 4% of the original balance remaining. The significant redemptions have led to a steadily increasing class A overcollateralization (OC) ratio and have increased the credit enhancement available to these notes. The class A OC ratio has increased to 177.8% as of the July 31, 2006 trustee report from 107.9% as of the May 4, 2004 report, and is currently passing its trigger of 118.5%. The class A interest coverage (IC) ratio remains strong, with a level of 200.6% versus a trigger of 135% as of the latest report.

The credit quality of the underlying pool has remained mostly stable since the last rating review in November 2004, though the credit quality remains on the low end. The weighted average rating factor as of the latest trustee report remains in the same range ('B-/CCC+') as it did in the Sept. 30, 2004 report. Over 53% of the current portfolio consists of defaulted assets; however, there have been no new defaults since the last review.

The class B OC and IC ratios, at 34.8% and 30.4%, respectively, remain well below their covenanted levels of 103.9% and 125%, respectively. Fitch projects that these notes will continue to receive varied interest payments via interest and principal proceeds from the underlying collateral and has affirmed the rating on these notes.

The ratings of the class A-1, A-2, and A-3 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. Payment of principal and interest on the class A-1 and class A-2 notes is unconditionally and irrevocably guaranteed under the terms of an insurance agreement issued by MBIA Insurance Corporation (rated 'AAA' by Fitch for insurer financial strength). The rating of the class B 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 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 at www.fitchratings.com. For more information on the Fitch VECTOR Model, see 'Global Rating Criteria for Collateralised Debt Obligations,' dated Sept. 13, 2004 and also available on Fitch's web site at www.fitchratings.com.

Fitch's Distressed Recovery (DR) ratings, introduced in April 2006 across all sectors of structured finance, are designed to estimate recoveries on a forward-looking basis while taking into account the time value of money. For more information on Distressed Recovery ratings, see the full report ('Structured Finance Distressed Recovery Ratings'), which is 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.