Fitch Ratings Upgrades Enhanced Mortgage-Backed Securities Ltd.

NEW YORK -- Fitch has upgraded two classes and affirmed one class of Enhanced Mortgage-Backed Securities, Ltd. (EMBS I). These upgrades and affirmation are the result of Fitch's review process. The following rating actions are effective immediately:

--$42,500,000 Class A Notes upgrade to 'AAA' from 'AA';

--$28,500,000 Class B-1 Notes upgrade to 'A' from 'BBB';

--$14,000,000 Class B-2 Notes affirm at 'BBB';

EMBS I, a mortgage market value collateralized debt obligation (CDO), is collateralized by fixed, floating, and adjustable rate mortgage-backed securities (MBS), collateralized mortgage obligations (CMOs), ABS, U.S. government obligations, corporate securities, and cash/cash equivalents. Portfolio restrictions limit the exposure to these particular assets as well as the percentage of assets that fall under the 'AAA', 'AA', 'A', and 'BBB' credit levels. Other key covenants include limits on effective duration, utilization of leverage, and net asset value (NAV). Effective duration, which measures total interest rate risk, and net asset value, the current asset value as a percentage of net asset value at inception, are the two main criteria used to measure these deals.

Since close, the collateral has continued to exhibit stable but strong performance, and currently has a net asset value (NAV) above 120%. This is in compliance with the performance trigger of 90.5%, and represents the likelihood that the deal will be able to return the full principal balance to each class of notes. Babson Capital Management has a 'CAM2' CDO Asset Manager rating.

The ratings of the class A, B-1, and B-2 notes address the likelihood that investors will receive full and timely payments of interest, as per the governing documents, and ultimate repayment of the stated principal balance 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 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.