Fitch Ratings Downgrades $203.8 Million from Nerva Limited Series I

NEW YORK--(Business Wire)--
Fitch Ratings downgrades one class of notes issued by Nerva Ltd., (Nerva). The
following rating action is effective immediately:

--$203,812,168 class A notes downgraded to 'C/RR6' from 'CC/DR3'.

This rating action is primarily the result of continued collateral deterioration
and loss of par coverage due to the use of principal proceeds to pay interest to
the class A notes.

The $203.8 million balance of the class A notes is supported by a reference
portfolio approximately $64.1 million in size as of the trustee report dated
March 31, 2009. The class A notes have been receiving timely interest payments,
primarily paid from principal proceeds, until the latest distribution date in
which there was an interest shortfall to the class A notes. Fitch expects the
class A notes to continue to receive future interest payments, though such
interest payments will likely decline with the frequency of shortfalls
increasing as the portfolio is too small to generate sufficient interest
coverage. Further, there may or may not be enough principal proceeds received to
make up any future interest shortfalls. Fitch further expects a principal
recovery of below 10% for the class A notes.

Nerva is a synthetic collateralized debt obligation (CDO) with cashflow
features, such as overcollateralization triggers, that closed on June 30, 2000.
The reference portfolio was selected by Barclays Bank, PLC, and is currently
comprised of 38% commercial mortgage backed securities (CMBS), 19.7% residential
mortgage backed securities (RMBS), 17.2% other CDOs, 14.3% asset backed
securities (ABS), and 10.8% of corporate debt.

Fitch will continue to monitor and review this transaction for future rating
adjustments. Additional transaction information and historical data are
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.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.

Fitch Ratings, New York
Brian Vorderbrueggen, 212-908-9102
Kevin Kendra, 212-908-0760
or
Media Relations:
Sandro Scenga, 212-908-0278
Email: sandro.scenga@fitchratings.com

Copyright Business Wire 2009