We introduce a Random Energy Model on a hierarchical lattice where the
interaction strength between variables is a decreasing function of their mutual
hierarchical distance, making it a non-mean field model. Through small coupling
series expansion and a direct numerical solution of the model, we provide
evidence for a spin glass condensation transition similar to the one occuring
in the usual mean field Random Energy Model. At variance with mean field, the
high temperature branch of the free-energy is non-analytic at the transition
point