Fitch Assigns Final Ratings To Bifrost Investment Limited's Notes.

Business Editors

LONDON--(BUSINESS WIRE)--Aug. 7, 2003

Fitch Ratings Fitch Ratings

An international rating agency for financial institutions, insurance companies, and corporate, sovereign, and municipal debt. Fitch Ratings has headquarters in New York and London and is wholly owned by FIMALAC of Paris. , the international rating agency, has assigned as·sign
tr.v. as·signed, as·sign·ing, as·signs
1. To set apart for a particular purpose; designate: assigned a day for the inspection.

2. final ratings to Bifrost Bifrost: see Asgard.

Bifrost

rainbow of water and fire for gods’ passage from Asgard to Midgard. [Norse Myth.: Leach, 139]

See : Bridge Investments Limited's (Bifrost) unfunded obligations as follows:

-- EUR EUR

In currencies, this is the abbreviation for the Euro.

Notes:
The currency market, also known as the Foreign Exchange market, is the largest financial market in the world, with a daily average volume of over US $1 trillion. 160,000,000 class 5A series 11 due July July: see month. 2008 'AAA';

-- EUR115,000,000 class 5B series 11 due July 2008 'AA';

-- EUR60,000,000 class 5C series 11 due July 2008 'A';

-- EUR50,000,000 class 5D series 11 due July 2008 'BBB';

-- EUR160,000,000 class 7A series 11 due July 2010 'AAA';

-- EUR130,000,000 class 7B series 11 due July 2010 'AA';

-- EUR75,000,000 class 7C series 11 due July 2010 'A';

-- EUR55,000,000 class 7D series 11 due July 2010 'BBB';

-- EUR185,000,000 class 10A series 11 due July 2013 'AAA';

-- EUR150,000,000 class 10B series 11 due July 2013 'AA';

-- EUR91,000,000 class 10C series 11 due July 2013 'A';

-- EUR67,500,000 class 10D series 11 due July 2013 'BBB'.

-- EUR160,000,000 class 5A series 12 due July 2008 'AAA';

-- EUR115,000,000 class 5B series 12 due July 2008 'AA';

-- EUR60,000,000 class 5C series 12 due July 2008 'A';

-- EUR50,000,000 class 5D series 12 due July 2008 'BBB';

-- EUR160,000,000 class 7A series 12 due July 2010 'AAA';

-- EUR125,000,000 class 7B series 12 due July 2010 'AA';

-- EUR82,500,000 class 7C series 12 due July 2010 'A';

-- EUR50,000,000 class 7D series 12 due July 2010 'BBB';

-- EUR185,000,000 class 10A series 12 due July 2013 'AAA';

-- EUR135,000,000 class 10B series 12 due July 2013 'AA';

-- EUR100,000,000 class 10C series 12 due July 2013 'A';

-- EUR65,000,000 class 10D series 12 due July 2013 'BBB'.

-- EUR160,000,000 class 5A series 13 due July 2008: 'AAA';

-- EUR115,000,000 class 5B series 13 due July 2008 'AA';

-- EUR75,000,000 class 5C series 13 due July 2008 'A';

-- EUR50,000,000 class 5D series 13 due July 2008 'BBB';

-- EUR160,000,000 class 7A series 13 due July 2010 'AAA';

-- EUR130,000,000 class 7B series 13 due July 2010 'AA';

-- EUR75,000,000 class 7C series 13 due July 2010 'A';

-- EUR62,500,000 class 7D series 13 due July 2010 'BBB';

-- EUR195,000,000 class 10A series 13 due July 2013 'AAA';

-- EUR135,000,000 class 10B series 13 due July 2013 'AA';

-- EUR100,000,000 class 10C series 13 due July 2013 'A';

-- EUR75,000,000 class 10D series 13 due July 2013 'BBB'.

-- EUR160,000,000 class 5A series 14 due July 2008 'AAA';

-- EUR115,000,000 class 5B series 14 due July 2008 'AA';

-- EUR60,000,000 class 5C series 14 due July 2008 'A';

-- EUR50,000,000 class 5D series 14 due July 2008 'BBB';

-- EUR160,000,000 class 7A series 14 due July 2010 'AAA';

-- EUR130,000,000 class 7B series 14 due July 2010 'AA';

-- EUR80,000,000 class 7C series 14 due July 2010 'A';

-- EUR50,000,000 class 7D series 14 due July 2010 'BBB';

-- EUR185,000,000 class 10A series 14 due July 2013 'AAA';

-- EUR135,000,000 class 10B series 14 due July 2013 'AA';

-- EUR105,000,000 class 10C series 14 due July 2013 'A';

-- EUR60,000,000 class 10D series 14 due July 2013 'BBB'.

-- EUR160,000,000 class 5A series 15 due July 2008 'AAA';

-- EUR115,000,000 class 5B series 15 due July 2008 'AA';

-- EUR60,000,000 class 5C series 15 due July 2008 'A';

-- EUR50,000,000 class 5D series 15 due July 2008 'BBB';

-- EUR160,000,000 class 7A series 15 due July 2010 'AAA';

-- EUR125,000,000 class 7B series 15 due July 2010 'AA';

-- EUR80,000,000 class 7C series 15 due July 2010 'A';

-- EUR57,500,000 class 7D series 15 due July 2010 'BBB';

-- EUR195,000,000 class 10A series 15 due July 2013 'AAA';

-- EUR135,000,000 class 10B series 15 due July 2013 'AA';

-- EUR80,000,000 class 10C series 15 due July 2013 'A';

-- EUR65,000,000 class 10D series 15 due July 2013 'BBB'.

-- EUR160,000,000 class 5A series 16 due July 2008 'AAA';

-- EUR115,000,000 class 5B series 16 due July 2008 'AA';

-- EUR60,000,000 class 5C series 16 due July 2008 'A';

-- EUR50,000,000 class 5D series 16 due July 2008 'BBB';

-- EUR160,000,000 class 7A series 16 due July 2010 'AAA';

-- EUR125,000,000 class 7B series 16 due July 2010 'AA';

-- EUR67,500,000 class 7C series 16 due July 2010 'A';

-- EUR55,000,000 class 7D series 16 due July 2010 'BBB';

-- EUR195,000,000 class 10A series 16 due July 2013 'AAA';

-- EUR135,000,000 class 10B series 16 due July 2013 'AA';

-- EUR80,000,000 class 10C series 16 due July 2013 'A';

-- EUR65,000,000 class 10D series 16 due July 2013 'BBB'.

-- EUR160,000,000 class 5A series 17 due July 2008 'AAA';

-- EUR115,000,000 class 5B series 17 due July 2008 'AA';

-- EUR63,000,000 class 5C series 17 due July 2008 'A';

-- EUR50,000,000 class 5D series 17 due July 2008 'BBB';

-- EUR160,000,000 class 7A series 17 due July 2010 'AAA';

-- EUR125,000,000 class 7B series 17 due July 2010 'AA';

-- EUR67,500,000 class 7C series 17 due July 2010 'A';

-- EUR50,000,000 class 7D series 17 due July 2010 'BBB';

-- EUR190,000,000 class 10A series 17 due July 2013 'AAA';

-- EUR150,000,000 class 10B series 17 due July 2013 'AA';

-- EUR80,000,000 class 10C series 17 due July 2013 'A';

-- EUR65,000,000 class 10D series 17 due July 2013 'BBB'.

-- EUR160,000,000 class 5A series 18 due July 2008 'AAA';

-- EUR115,000,000 class 5B series 18 due July 2008 'AA';

-- EUR60,000,000 class 5C series 18 due July 2008 'A';

-- EUR50,000,000 class 5D series 18 due July 2008 'BBB';

-- EUR175,000,000 class 7A series 18 due July 2010 'AAA';

-- EUR115,000,000 class 7B series 18 due July 2010 'AA';

-- EUR70,000,000 class 7C series 18 due July 2010 'A';

-- EUR65,000,000 class 7D series 18 due July 2010 'BBB';

-- EUR190,000,000 class 10A series 18 due July 2013 'AAA';

-- EUR135,000,000 class 10B series 18 due July 2013 'AA';

-- EUR80,000,000 class 10C series 18 due July 2013 'A';

-- EUR65,000,000 class 10D series 18 due July 2013 'BBB'.

-- EUR160,000,000 class 5A series 19 due July 2008 'AAA';

-- EUR115,000,000 class 5B series 19 due July 2008 'AA';

-- EUR60,000,000 class 5C series 19 due July 2008 'A';

-- EUR50,000,000 class 5D series 19 due July 2008 'BBB';

-- EUR175,000,000 class 7A series 19 due July 2010 'AAA';

-- EUR125,000,000 class 7B series 19 due July 2010 'AA';

-- EUR75,000,000 class 7C series 19 due July 2010 'A';

-- EUR62,500,000 class 7D series 19 due July 2010 'BBB';

-- EUR190,000,000 class 10A series 19 due July 2013 'AAA';

-- EUR135,000,000 class 10B series 19 due July 2013 'AA';

-- EUR80,000,000 class 10C series 19 due July 2013 'A';

-- EUR65,000,000 class 10D series 19 due July 2013 'BBB'.

-- EUR160,000,000 class 5A series 20 due July 2008 'AAA';

-- EUR115,000,000 class 5B series 20 due July 2008 'AA';

-- EUR60,000,000 class 5C series 20 due July 2008 'A';

-- EUR50,000,000 class 5D series 20 due July 2008 'BBB';

-- EUR175,000,000 class 7A series 20 due July 2010 'AAA';

-- EUR117,500,000 class 7B series 20 due July 2010 'AA';

-- EUR75,000,000 class 7C series 20 due July 2010 'A';

-- EUR62,500,000 class 7D series 20 due July 2010 'BBB';

-- EUR190,000,000 class 10A series 20 due July 2013 'AAA';

-- EUR135,000,000 class 10B series 20 due July 2013 'AA';

-- EUR80,000,000 class 10C series 20 due July 2013 'A';

-- EUR65,000,000 class 10D series 20 due July 2013 'BBB'.

All of these transactions are unfunded synthetic Synthetic

A financial instrument that is created artificially by simulating another instrument with the combined features of a collection of other assets.

Notes: securitisations of portfolios of geographically ge·o·graph·ic also ge·o·graph·i·cal
adj.
1. Of or relating to geography.

2. Concerning the topography of a specific region.

ge diverse corporate entities. Bifrost, a special purpose vehicle, is incorporated under the laws of Ireland Ireland, Irish Eire (âr`ə) [to it are related the poetic Erin and perhaps the Latin Hibernia], island, 32,598 sq mi (84,429 sq km), second largest of the British Isles. . The ratings address only the probability probability, in mathematics, assignment of a number as a measure of the "chance" that a given event will occur. There are certain important restrictions on such a probability measure. of the outstanding notional amounts The notional amount (or notional principal amount or notional value) on a financial instrument is the nominal or face amount that is used to calculate payments made on that instrument. This amount generally does not change hands and is thus referred to as notional. of the mezzanine mez·za·nine
n.
1. A partial story between two main stories of a building.

2. The lowest balcony in a theater or the first few rows of that balcony. credit swaps being reduced.

At the closing date, for each series, Bifrost will enter into twelve mezzanine credit default swaps Credit Default Swap

A swap designed to transfer the credit exposure of fixed income products between parties.

Notes:
The buyer of a credit swap receives credit protection, whereas the seller of the swap guarantees the credit worthiness of the product. with BNP Paribas BNP Paribas (Euronext: BNP, TYO: 8665 ) is one of the main banks in Europe and France. It was created on 23 May 2000 through the merger of Banque Nationale de Paris (BNP) and Paribas. (rated 'AA/F1+', Rating Outlook Stable by Fitch fitch: see polecat. ), under which it will provide notional no·tion·al
adj.
1. Of, containing, or being a notion; mental or imaginary.

2. Speculative or theoretical.

3. protection on a reference portfolio of 100 corporate entities, with a total notional value Notional Value

The total value of a leveraged position's assets. This term is commonly used in the options, futures and currency markets because in them a very little amount of invested money can control a large position (have a large consequence for the trader). of EUR5 billion. The mezzanine credit default swaps with BNP Paribas for each series relate to the same reference portfolio of 100 corporate entities, although the swaps have different loss thresholds and different maturity dates.

The ratings are based on the credit quality of the mezzanine credit default swaps (in turn dependent upon the credit quality of the underlying portfolio of reference entities and relative loss thresholds) and the sound legal structure of the transactions.

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Date:	Aug 7, 2003
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