Fitch Assigns Hemisphere CDO Notes Final 'AAA' Ratings

Business Wire, April 6, 2005

LONDON -- Fitch Ratings, the international rating agency, has assigned final ratings to Hemisphere CDO floating-rate secured portfolio notes due 2012 as follows:

-- USD10,000,000 class A-1U7 series number 5, 'AAA'

The above notes are issued by Hemisphere CDO Plc, a special purpose vehicle incorporated under the laws of Ireland.

-- USD25,000,000 senior class A-1U7 tranche A notes, 'AAA'

The above notes are issued by Hemisphere CDO (Cayman Islands No. 1) Limited (issuer) and Hemisphere CDO (Delaware No. 1) Corp (co-issuer). The aforementioned issuer and co-issuer are special purpose vehicles incorporated under the laws of the Cayman Islands and Delaware, respectively.

The ratings address timely payment of interest and ultimate payment of principal and are linked to the credit quality of the collateral securities, Bayerische Landesbank Pfandbriefe, rated 'AAA' by Fitch. The ratings are based on the credit quality of the underlying reference portfolio, available credit enhancement of 30.5%, the credit quality of the collateral securities and arrangements provided under the credit support annex, and the sound legal structure of the transaction.

Each of the notes listed above has a scheduled maturity date of July 9, 2012 and absorbs the credit risk of a credit default swap with JPMorgan Chase Bank, N.A. London (JPMorgan). Each credit default swap with JPMorgan references the same portfolio of 45 emerging-market entities. Currently, the portfolio comprises 80% sovereigns and 20% corporates, with the following geographical distribution: 24% Asia, 21% Eastern Europe, 42.5% Latin America, and 12.5% Africa/Middle East. At any point in time, subject to reference portfolio restrictions, the portfolio manager, Bluebay Asset Management, has the ability to remove and add entities to the portfolio.