Fitch Rates Ares High Yield CSO I, PLC

Business Wire, Jan 20, 2005

NEW YORK -- Fitch Ratings assigns the following ratings to the four series of notes of Ares High Yield CSO I, PLC (ARES HY CSO):

-- Series A1 $10,000,000 notes 'AAA';

-- Series A2 $76,000,000 notes 'AAA';

-- Series A3 EUR8,000,000 notes 'AAA';

-- Series A4 GBP10,000,000 notes 'AAA'.

The transaction is a series of four managed, single tranche, synthetic collateralized swap obligations giving investors leveraged access to the credit risk of a diverse portfolio of credit default swaps comprising 75 high yield, corporate reference entities. ARES HY CSO gains access to the credit risk of the portfolio via a credit default swap between ARES HY CSO and Deutsche Bank AG London, as swap counterparty. This trade has a scheduled maturity date of Dec. 20, 2009. The rating of the notes addresses the likelihood that investors will receive full and timely payments of interest and ultimate receipt of principal by the scheduled maturity date.

ARES HY CSO provides protection to the swap counterparty via a credit default swap that is collateralized with the issuance proceeds of the notes. The proceeds are invested in notes rated 'AAA'.

ARES HY CSO pays the swap counterparty for any losses due to credit events experienced in the portfolio above the threshold amount for each series up to the balance on the notes by liquidating collateral. Trading gains or losses from substituting reference entities in and out of the portfolio will increase or decrease the threshold amount for each series.

The ratings are based upon the structure of the issuer, the financial strength of Deutsche Bank (rated 'F1 /AA-' by Fitch), as the swap provider, and the investment manager capabilities of Ares High Yield CSO Management, L.P., as the portfolio manager.

Fitch will monitor the performance of this transaction. Deal information and historical data on ARES HY CSO is available on the Fitch Ratings web site at www.fitchratings.com.