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Fitch Rates Sciens CFO I Limited.

NEW YORK -- Fitch rates Sciens CFO I Limited (Sciens CFO I), which closed Dec. 14, 2006, as follows:

--EUR121,200,000 class A floating-rate due 2014 'AAA';

--EUR21,000,000 class B floating-rate due 2014 'AA';

--EUR13,900,000 class C floating-rate due 2014 'A';

--EUR18,600,000 class D floating-rate due 2014 'BBB+';

--EUR7,800,000 class E floating-rate due 2014 'BB+'.

The rating of the class A notes addresses the likelihood that investors will receive full and timely payments of interest, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated maturity date. The ratings of the classes B, C, D and E notes address the likelihood that investors will receive ultimate and compensating interest payments, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated maturity date.

The ratings are based on the quality of the investments, as well as the credit enhancement provided by support from the junior notes, the excess spread and the protections incorporated within the structure.

Sciens CFO I is a market value collateralized fund obligation (CFO). The collateral pool will consist of shares issued by Sciens CFO I Feeder Fund Ltd (SCFO FF), which in turn is a fund collateralized by among others, shares issued by Sciens Global Opportunity Fund. The issuance proceeds will be used to purchase interests in hedge funds through the Sciens CFO I Feeder Fund. The Sciens CFO I Feeder Fund is managed by a collateral manager who will assume management and advisory roles in the transaction. The fund is essentially a fund of funds and as such will invest proceeds subject to certain limits, such as maximum exposure to one single fund of 5%, maximum exposure to one manager of 5%, and a minimum of six diversified strategies at any time.

Sciens CFO I is a limited-liability, special-purpose vehicle incorporated under the laws of Channel Island, whose sole purpose is to acquire SCFO FF shares as collateral from the issuance proceeds of senior floating-rate notes and junior notes. The senior floating notes are rated notes comprising classes A, B, C, D and E notes. The rated notes accrue interest at the rate of European Interbank Offered Rate (EURIBOR) plus 0.40%, 0.75%, 1.30%, 2.30%, and 4.75% in respective order. Investors in the rated notes will receive semi-annual interest payments, while holders of the junior notes will receive cash distributions once the junior distribution condition is satisfied. Interest and principal payments will be met out of disposal proceeds from the sale of the SCFO FF shares.

No principal will be paid on the notes during first five years except in case of any adverse event. During the 'issuer call period', starting in February 2012, and following an optional redemption, the collateral manager will arrange for the redemption of SCFO FF shares on each payment date. The issuer's liabilities will be reimbursed sequentially from amounts received.

The collateral manager will ensure availability of necessary funds by either delivering a liquidity facility request if available or selling the requisite number of SCFO FF shares to cover the amounts due.

Sciens CFO I Management Ltd. will act as investment manager to Sciens CFO I and SCFO FF. It is an affiliate of Sciens Capital Management, LLC, led by John P. Rigas who is the chairman and CEO. Sciens Capital Management is a diversified alternative asset management firm headquartered in New York. Mr. Rigas directs portfolio construction, investment research, fund operation and risk management activities.

Robert J. Delany is CFO of the Sciens fund of hedge funds. He is responsible for financial management, risk management modelling, treasury, accounting, internal and external reporting, audit, tax and general operations. Sciens investors include financial institutions, high net worth individuals, family offices, private banks, foundations, endowments and pension funds. Sciens group has approximately $900 million under management.

For more information, see the presale report 'Sciens CFO I Limited.' available on the Fitch Ratings web site at www.fitchratings.com.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.
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Publication:Business Wire
Date:Dec 15, 2006
Words:734
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