Fitch Downgrades 3 Tranches from Phenix CFO Ltd.

Fitch Ratings has downgraded three tranches from Phenix CFO Ltd.

--EUR 60,000,000 class S rated 'AA', remains on Rating Watch Negative;

--EUR 24,000,000 class M1 ' downgraded to 'A' from 'AA', remains on Rating Watch Negative;

--EUR 15,000,000 class M2 downgraded to 'BBB' from 'A', remains on Rating Watch Negative;

--EUR 21,000,000 class M3 downgraded to 'BB' from 'BBB', remains on Rating Watch Negative.

These rating actions reflect the fund's performance as of the end of September based upon updated Fitch cash flow analysis along with expectations of further stress in the coming months for the hedge fund sector. All classes remain on Rating Watch Negative given the current performance volatility expected throughout the remainder of the year. To the extent net asset values decline by more than expected or the transaction breaches its Overleverage Test, the ratings could be further downgraded. Fitch is still reassessing its approach for analyzing HF CFOs given the recent market environment and in consideration of higher observed market volatility, reduced liquidity, and limited transparency in underlying hedge funds.

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.

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