Crystal Cove CDO, Ltd./Inc. Rated 'AAA/AA/BBB' by Fitch Ratings.

CHICAGO -- Fitch has rated the following notes issued by Crystal Cove CDO, Ltd. and Crystal Cove CDO Inc. (collectively referred to as the co-issuers):

-- $350.00 million class A-1 first priority senior secured floating-rate notes 'AAA';

-- $70.00 million class A-2 second priority senior secured floating-rate notes 'AAA';

-- $39.70 million class B third priority senior secured floating-rate notes 'AA';

-- $19.50 million class C-1 mezzanine secured deferrable floating-rate notes 'BBB';

-- $1.50 million class C-2 mezzanine secured deferrable fixed-rate notes 'BBB'.

The ratings on the class A-1, A-2 and B notes address the timely payment of interest and ultimate payment of principal as outlined by the governing documents. The ratings on the class C-1 and C-2 notes address the ultimate payment of cumulative interest and principal.

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 transaction documents. Additionally, the ratings address the experience and capabilities of Pacific Investment Management Company LLC (PIMCO) as the investment manager. PIMCO's experience managing collateralized debt obligations (CDOs) includes 28 cash flow CDOs, three of which are backed by U.S. asset-backed securities (ABS) collateral. PIMCO is a Fitch 'CAM2' rated structured finance CDO asset manager.

The proceeds of the notes will be used to purchase a diversified investment portfolio consisting of approximately 63% in residential mortgage-backed securities (RMBS), 19% in commercial mortgage-backed securities (CMBS), 12% in ABS and 5% in CDOs. The collateral supporting the structure will have a maximum Fitch weighted average rating factor (WARF) of 4.50 ('BBB/BBB-'). The revolving period will end no later than four years after the deal closing date. The notes have a stated maturity of Sept. 3, 2039. This transaction includes a structural feature that will allow excess interest, exceeding an equity cap of 14%, to be used to pay down principal on the class C notes. 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-1 principal.

The investment manager, PIMCO, 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.

The placement agent for this transaction is Merrill Lynch & Co. For additional information on structural and others features of Crystal Cove CDO, Ltd./Inc., see the Fitch Ratings presale report that is available on the Fitch Ratings Web site at 'www.fitchratings.com'.