Fitch Ratings Affirms Rosemont CLO, Ltd.

Business Editors

CHICAGO--(BUSINESS WIRE)--Aug. 26, 2003

Fitch Ratings affirms five classes of notes issued by Rosemont CLO, Ltd.

The following five classes have been affirmed:

-- $282,000,000 class A notes 'AAA';

-- $18,000,000 class B-1 notes 'A';

-- $7,000,000 class B-2 notes 'A';

-- $13,200,000 class C notes 'BBB+';

-- $12,000,000 class D notes 'BBB'.

Rosemont CLO, Ltd is a collateralized loan obligation (CLO) that closed in January 2002. The portfolio primarily consists of high yield loans.

According to the July 31, 2003 trustee report, the class A overcollateralization (OC) was 125.3% relative to test levels of 112%, the class B OC was 113.9% relative to test levels of 105%, the class C OC was 108.8% relative to test levels of 103% and the class D OC was 104.5% relative to test levels of 101.5%. The report also indicated that no pay downs have occurred on any of the note classes, and the overall credit quality of the portfolio has remained stable since closing. However, there are two defaulted securities in the portfolio that amount to 1.9% of the outstanding balance. Both securities continue to pay current interest and are trading at non-distressed pricing levels.

Fitch will continue to monitor this transaction. Deal information and historical data on Rosemont CLO, Ltd. is available on the Fitch Ratings web site at 'www.fitchratings.com'.