Fitch Places 5 Classes of Salt Creek High Yield CSO 2005-1 Ltd. on Watch Negative

CHICAGO--(Business Wire)--
Fitch Ratings has placed five classes of notes issued by Salt Creek High Yield
CSO 2005-1 Ltd. (Salt Creek) on Rating Watch Negative as follows:

--US$34,000,000 class A-1$L notes 'AAA';

--EUR5,000,000 class A-1EL notes 'AAA';

--US$20,000,000 class A-2$L notes 'AA+';

--EUR20,000,000 class A-2EF notes 'AA+';

--US$30,000,000 class A-4$L notes 'AA-'.

The following seven classes issued by Salt Creek remain on Watch Negative:

--US$1,000,000 class A-6$L notes 'A';

--EUR3,000,000 class A-6EL-1 notes 'A';

--US$15,000,000 class A-7$L notes 'A-';

--US$5,000,000 class B-2$L notes 'BBB';

--US$3,000,000 class B-3$L notes 'BBB-';

--US$500,000 class B-5$L notes 'BB-';

--US$2,000,000 class B-6$L notes 'B+'.

The Negative Watch status reflects Fitch's view that the credit risk of the
notes is worsening given the deterioration in the reference portfolio. Since the
previous rating action in February 2009, the notes have suffered approximately
5% loss in credit enhancement due to trading losses and exposure to several
credit events. In addition, 48.1% of the reference portfolio has experienced
negative credit migration since February 2009, including 4.8% with ratings
downgraded to 'D'. Currently, 36.5% of the portfolio has a Negative Outlook,
with an additional 4.2% on Watch Negative. Assets with a Fitch derived rating in
the 'CCC' bucket or below comprise 29.5% of the portfolio.

Salt Creek is a synthetic collateralized debt obligation (CDO) that matures in
March 2010 and is managed by TCW Asset Management Co. Salt Creek provides
investors leveraged access to the credit risk of a portfolio of credit default
swaps referencing primarily non-investment-grade corporate obligations. Salt
Creek gains access to the credit risk of the portfolio via a credit default swap
between Salt Creek and J.P. Morgan Securities Ltd., as swap counterparty.

This transaction was reviewed in accordance with Fitch's current criteria for
corporate CDOs. Fitch's revised criteria report for rating corporate CDOs was
released on April 30, 2008.

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.

Fitch Ratings
Derek Miller, +1-312-368-2076 (Chicago)
Kevin Kendra, +1-212-908-0760 (New York)
Media Relations:
Sandro Scenga, +1-212-908-0278 (New York)
sandro.scenga@fitchratings.com

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