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Fitch Rates Dekania CDO II, Ltd./Inc.

Business Editors

CHICAGO--(BUSINESS WIRE)--April 30, 2004

Fitch Ratings assigns the following ratings to Dekania CDO II, Ltd./Inc. (Dekania II) as listed below:

-- $200,000,000 class A-1 first priority senior secured

floating-rate notes, due 2034 'AAA';

-- $42,000,000 class A-2 second priority senior secured

floating-rate notes due 2034 'AAA';

-- $60,000,000 class B third priority secured floating-rate notes

due 2034 'AA';

-- $21,200,000 class C-1 fourth priority secured deferrable

interest floating-rate notes due 2034 'A-';

-- $30,000,000 class C-2 fourth priority secured deferrable

interest fixed/floating-rate notes due 2034 'A-';

-- $15,000,000 class D-1 mezzanine secured deferrable interest

floating-rate notes due 2034 'BBB';

-- $5,000,000 class D-2 mezzanine secured deferrable interest

fixed/floating-rate notes due 2034 'BBB'.

The ratings on the class A-1 and A-2 notes, (collectively, the class A notes), as well as the class B notes, address the likelihood that investors will receive timely payment of interest and ultimate payment of an amount equal to the principal amount of the respective notes by the stated maturity date. The ratings on the class C-1 and C-2 notes, (collectively, the class C notes), as well as the class D-1 and D-2 notes, (collectively, the class D notes), address the likelihood that investors will receive ultimate payment of interest and ultimate payment of an amount equal to the principal amount of the respective notes by the stated maturity date. Periodic payments on the notes will be paid quarterly starting in August 2004.

The assets of Dekania II, a bankruptcy-remote special-purpose corporation, consist of approximately $400,000,000 million (when fully ramped; 80% ramped at closing date) diversified portfolio of primary and secondary trust preferred securities and surplus notes issued by small and mid-sized insurance companies. The portfolio is diversified across business lines, geographically by where the premiums of the companies are received, and by obligor (maximum obligor concentration does not exceed 3.75%). There are three overcollateralization (OC) tests and three interest coverage (IC) tests that will trap cash to bring the test back into compliance any time a test is failing. Cash trapped through any OC or IC test failure will be used to pay down the most senior notes outstanding.

The placement agent for this transaction is Merrill Lynch International. For additional information on structural and others features of Dekania II, including: reserve accounts, de-leveraging features and auction calls, see the Fitch new issue report, 'Dekania CDO II, Ltd./Inc.', which will be made available shortly on the Fitch Ratings web site at 'www.fitchratings.com'.

For more information on Fitch's approach to rating collateralized debt obligations (CDOs) of trust preferred securities, see the special report, 'Rating Criteria for Bank Trust Preferred CDOs', dated July 31, 2002 and also available at 'www.fitchratings.com'.
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Publication:Business Wire
Date:Apr 30, 2004
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