Fitch Takes Rating Actions on Enhanced Mortgage-Backed Securities V, Ltd

NEW YORK--(BUSINESS WIRE)--Fitch downgrades one class of notes issued by Enhanced Mortgage-Backed Securities V, Ltd. (EMBS V) and withdraws ratings on two classes. These rating actions are the result of Fitch's review process and are effective immediately.

--$20,000,000 class A-3 subordinated notes downgraded to 'C/DR4' from 'CC/DR3';

--$6,000,000 class A-4 junior subordinated notes rated 'C/DR6' have been withdrawn;

--$30,000,000 class B junior subordinated income notes rated 'C/DR6' have been withdrawn.

The $130,000,000 class A-1 senior notes and $14,000,000 class A-2 senior subordinated notes have been paid in full.

The ratings of the class A notes reflected the likelihood that investors would receive quarterly interest payments through the redemption date as well as their respective stated principal balances. The rating of the income notes reflected the likelihood that investors would receive aggregate payments in an amount equal to the principal amount on or prior to the redemption date.

EMBS V was a mortgage market value collateralized debt obligation (CDO) managed by Babson Capital Management LLC. This transaction had violated over-collateralization tests and its portfolio was liquidated. The asset portfolio had primarily mortgage-backed securities and asset-backed securities with an average rating of 'AA'. The liquidation proceeds were sufficient to pay class A-1 and A-2 notes in full and class A-3 notes partially. Fitch expects recovery on class A-3 notes to be in 'DR3' range (30%-50%). Class A-4 notes suffered a complete loss. Class B notes recovery (includes all distributions to class B notes) was in 'DR6' range (< 10%).

Additional deal information and historical data are available on the Derivative Fitch web site at www.derivativefitch.com. For more information on the Fitch VECTOR Model, see 'Global Rating Criteria for Collateralised Debt Obligations,' dated Oct. 18, 2006 and also available on Fitch's web site at www.derivativefitch.com.

Fitch's Distressed Recovery (DR) ratings are designed to estimate recoveries on a forward-looking basis while taking into account the time value of money. For more information on Distressed Recovery ratings, see the full report ('Structured Finance Distressed Recovery Ratings'), which is available on the Fitch Ratings web site at www.fitchratings.com.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.derivativefitch.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site. Fitch means Fitch, Inc., Fitch Ratings, Ltd. and their subsidiaries including Derivative Fitch, Inc. and Derivative Fitch Ltd. and any successor or successors thereto.