Enhanced MBS Classes Downgraded

Three classes of notes issued by Enhanced Mortgage Backed Securities Fund I Ltd., a collateralized debt obligation consisting partly of mortgage-backed securities, have been downgraded by Fitch Ratings. The downgrades were as follows: class A, from AAA to BBB; class B-1, from A to BB; and class B-2, from BBB to B. Because the majority of the CDO's underlying collateral matures after the maturity date of the transaction, EMBS I will liquidate a significant amount of collateral at the November 2009 maturity date, Fitch reported in explanation of the downgrades. "Lower asset prices and poor liquidity could adversely affect the likelihood of repayment of rated notes," the rating agency said. The CDO is backed by MBS, collateralized mortgage obligations, asset-backed securities, U.S. government obligations, corporate securities, cash, and cash equivalents.