Fitch Updates Criteria For U.S. Bank & Insurance Trust Preferred CDOs.

CHICAGO -- Fitch Ratings has updated its criteria for rating collateralized debt obligations (CDOs) backed by trust preferred securities and other subordinated debt issued by financial institutions and insurance companies.

The updated criteria provides a detailed guide to Fitch's methodology for rating CDOs backed by trust preferred securities and other subordinated debt issued by financial institutions and insurance companies. Enhancements to the criteria include: an updated default matrix for financial institutions; a default study and corresponding new default matrix for insurance companies; expanded geographic regions; new default timing scenarios; and tiered recovery rates.

To date, there have been 55 CDOs backed by trust preferred securities. While a significant portion of these transactions comprise obligors from the financial institution sector, insurance companies have also enjoyed access to the capital markets through this instrument. Fitch's updated criteria addresses the specific characteristics of each sector, as well as the integration of financial institutions and insurance companies within the same transaction.

The report, 'Rating Criteria for U.S. Bank and Insurance Trust Preferred CDOs,' is available on the Fitch Ratings web site at www.fitchratings.com and updates the prior report dated July 31, 2002. In addition, surveillance of the trust preferred CDOs is available on Fitch Ratings' CDO S.M.A.R.T.