Fitch Downgrades Malibu Loan Fund, LLC, Removes from Watch Negative

NEW YORK--(BUSINESS WIRE)--Fitch Ratings has downgraded and removed from Rating Watch Negative the class B notes issued by Malibu Loan Fund, LLC. The following rating action is effective immediately:

-- $110,800,000 class B notes to 'B' from 'BB'.

The rating actions reflect the application of methodology outlined under Fitch's updated Market Value Structures (MVS) criteria, published April 18, 2008. In addition, the ratings consider the sustained market value decline in the secondary leveraged loan market that has increased the vulnerability of these classes to a deteriorating credit environment. Fitch continues to be concerned about pricing volatility in leveraged loan secondary markets.

While the class B notes have negative net asset value coverage, they have benefited from an investor cash infusion. As such, the downgrade to 'B' reflects the class B notes' distance-to-trigger (DTT) metric relative to the advance rate ranges published in Fitch's updated MVS criteria. The DTT is now below 7% according to Fitch's most recent calculation, with the portfolio categorized into 82% Category 2 assets, 15% Category 3 assets, and 3% Category 4 assets.

Malibu Loan Fund, LLC is a synthetic total rate of return collateralized loan obligation (CLO) with a market value termination trigger. The transaction closed on Sept. 30, 2005 and is managed by Aegon USA Investment Management.

The rating of the notes addresses the likelihood that the payment of amounts to the noteholders will be sufficient to produce a yield to maturity of not less than the notes' interest rate if held to the stated maturity, but does not address the timing of payments.

Additional transaction information and historical data are available on the Fitch Ratings web site at www.fitchratings.com.

-- 'Fitch Update: Application of Revised Market Value Structure Criteria to TRR CLOs' (May 15, 2008)

-- 'Fitch Downgrades 24 Classes from 9 TRR CLOs on Secondary Loan Price Declines' (Feb. 20, 2008)

-- 'Fitch Downgrades 28 Classes from 10 TRR CLOs' (Feb. 12, 2008)

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.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.