COUNTS Mortgage-Linked Note Downgraded

The sole class of trust certificates issued by COUNTS Trust series 2004-1, a credit-linked note that provides synthetic exposure to mortgage-related securities, among others, has been downgraded from AA to CCC by Fitch Ratings. The rating has also been removed from Rating Watch Negative. The downgrade was attributed to raised loss expectations due to greater-than-expected collateral deterioration in the reference portfolio, especially in subprime residential mortgage-backed securities issued in 2004, 2005, and 2006. The portfolio consists of U.S. subprime RMBS (7.2%), alternative-A mortgage loans (16.9%), and U.S. diversified structured finance collateralized debt obligations (51.4%), Fitch said. The rating agency can be found online at http://www.fitchratings.com.