Fitch Upgr Trainer Wortham First Republic CBO I, Ltd.'s ABCP Rating To 'F1+' Following Replacement Of Liquidity Provider.

Business Editors

NEW YORK--(BUSINESS WIRE)--June 10, 2003

Fitch Ratings has upgraded Trainer Wortham First Republic CBO I, Ltd.'s (TWFR CBO I, Ltd.) asset-backed commercial paper (ABCP) to 'F1+' from 'F1'. The rating action is a result of TWFR CBO I, Ltd. assigning JP Morgan Chase Bank's remaining liquidity commitment to The Royal Bank of Scotland plc, rated 'AA/F1+'. Fitch had downgraded TWRF CBO I, Ltd. on October 22, 2002 following the downgrade of JP Morgan Chase by Fitch to 'A+/F1' on September 17, 2002. JP Morgan Chase served as a liquidity provider for TWFR CBO I, Ltd., thereby linking the rating of the program's ABCP to that of JP Morgan Chase.

TWFR CBO I, Ltd. is a special purpose limited liability company incorporated under the laws of the Cayman Islands. On behalf of TWFR CBO I, Ltd., Trainer, Wortham & Co., Inc., a registered investment advisor, manages a diversified investment portfolio, consisting of U.S. dollar denominated, adjustable- or floating-rate, short duration, government, mortgage-related, or asset-backed securities. At least 60% of the portfolio will be composed of investments issued or guaranteed by the U.S. government and its agencies, and private sector CMOs backed by such investments. The remainder of the portfolio will be invested in 'AAA', 'AA', and 'A' investments, with 'A' capped at 20%. In addition, the portfolio will have a minimum duration of -1.0 year and a maximum duration of 1.5 years.