Fitch Rates Salt Creek High Yield CSO 2005-1 Ltd

Business Wire, March 31, 2005

NEW YORK -- Fitch Ratings assigns the following ratings to Salt Creek High Yield CSO I, Ltd. (Salt Creek HY CSO) 2005-1.

-- U.S. $99,000,000 class A-1$L notes, due Sept. 20, 2010 rated 'AAA';

-- U.S. $20,000,000 class A-2$L notes, due Sept. 20, 2010 'AA ';

-- U.S. $1,000,000 class A-6$L notes, due Sept. 20, 2010 'A';

-- U.S. $40,000,000 class A-7$L notes, due Sept. 20, 2010 'A-';

-- U.S. $10,000,000 class B-2$L notes, due Sept. 20, 2010 'BBB';

-- U.S. $500,000 class B-5$L notes, due Sept. 20, 2010 'BB-';

-- JPY 1,000,000,000 class A-3YL notes, due Sept. 20, 2010 'AA'.

The transaction is a synthetic collateralized swap obligation giving investors leveraged access to the credit risk of a diverse portfolio of credit default swaps comprised of 80 high yield, corporate reference entities. Salt Creek HY CSO gains access to the credit risk of the portfolio via a credit default swap between Salt Creek HY CSO and Bear Stearns Credit Products Inc., as swap counterparty. This trade has a scheduled maturity date of Sept. 20, 2010. 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.

Salt Creek 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 of U.S. $ notes are invested in an 'AAA' collateralized GIC and the proceeds of the Yen notes are invested in 'AAA' rated collateral.

Salt Creek HY CSO pays the swap counterparty for any losses due to credit events experienced in the portfolio above the first loss amount for each class 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 portfolio's aggregate loss amount.

The ratings are based upon the structure of the issuer, the financial strength of Bear Stearns (rated 'F1 /A ' by Fitch), as the swap provider, and the investment manager capabilities of TCW Asset Management Company, as the portfolio manager.

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