MKP CBO Classes Downgraded

Four classes of MKP CBO I Ltd., a collateralized debt obligation supported in part by residential and commercial mortgage-backed securities, have been downgraded by Fitch Ratings and removed from Rating Watch Negative.The downgrades were as follows: class A-1L, from A-minus to BBB-minus; class A-2L, from BB to CCC; class B-1A, from B-minus to CC; and class B-1L, from B-minus to CC. The downgrades were attributed to "continued deterioration in the credit quality of MKP CBO's collateral pool and the continued negative impact of its interest rate hedge." In addition to RMBS and CMBS, the portfolio supporting the CDO is backed by commercial and consumer asset-backed securities. Fitch can be found online at http://www.fitchratings.com.