Coronado CDO Rated 'AAA/AA/BBB' by Fitch Ratings.

Business Editors

NEW YORK--(BUSINESS WIRE)--Sept. 5, 2003

Coronado CDO, Ltd.'s and its co-issuer Coronado CDO Corp. (collectively referred to as the co-issuers) is rated by Fitch Ratings as follows:

-- $377 million class A-1 floating rate notes 'AAA';

-- $5 million class A-2 fixed rate notes 'AAA';

-- $62 million class B-1 floating rate notes 'AA';

-- $15 million class B-2 floating rate notes 'AA';

-- $3.5 million class C-1 floating rate notes 'BBB';

-- $16.75 million class C-2 fixed rate notes 'BBB'.

The ratings on the class A and B notes address the timely payment of interest and principal. The ratings on the class C address the ultimate payment of interest and principal. The notes have a legal final maturity of September 2038.

The ratings are based upon the capital structure of the transaction, the quality of the collateral, and the overcollateralization (OC) and interest coverage tests provided for within the security agreement. Additionally, the ratings address the experience and capabilities of Western Asset Management Company (Western Asset) as the collateral manager.

The proceeds of the notes will be used to purchase an investment portfolio consisting primarily of residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS), asset-backed securities (ABS), corporate debt securities, and collateralized debt obligations (CDOs). Upon the breach of a coverage test as outlined in the security agreement, the notes will start the process of paying down principal sequentially, beginning with class A principal.

The collateral manager, Western Asset, will purchase all investments for the portfolio on behalf of the co-issuers, which are special purpose companies incorporated under the laws of the Cayman Islands and Delaware, respectively. As of June 2003, Western Asset had under $126 billion of assets under its management, $47 billion of which is structured products.

For more information, please refer to the deal report titled 'Coronado CDO', available on the Fitch Ratings web site at 'www.fitchratings.com'.