Fitch Affirms All Classes of Porter Square CDO II, Ltd.

CHICAGO -- Fitch affirms all classes of notes issued by Porter Square CDO II, Ltd. (Porter Square II). These affirmations are the result of Fitch's review process and are effective immediately:

--US$178,492,194 class A-1 senior secured floating-rate notes at 'AAA';

--US$65,000,000 class A-2 senior secured floating-rate notes at 'AAA';

--US$23,500,000 class B senior secured floating-rate notes at 'AA';

--US$10,000,000 class C mezzanine secured deferrable floating-rate notes at 'A';

--US$9,000,000 class D mezzanine secured deferrable floating-rate notes at 'BBB'.

Porter Square II is a collateralized debt obligation (CDO) that closed Oct. 27, 2004 and is managed by TCW Asset Management Company, rated 'CAM1' by Fitch. Porter Square II has a portfolio composed of CDOs, RMBS and ABS assets. Porter Square II has a three-year assets removal and substitution period which it will exit in November 2007.

The affirmations are the result of improved WARF, sufficient overcollateralization, and increased credit enhancement. The collateral has continued to exhibit stable performance with a weighted average rating factor of 4.2 ('BBB/BBB-'). All overcollateralization (OC) tests have improved slightly and are passing their covenants. As of the most recent trustee report available, dated Sept. 30, 2006, there were no defaulted assets in the portfolio and assets rated below 'BBB-' represented approximately 3% of the portfolio.

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

Fitch will continue to monitor and review this transaction for future rating adjustments. Additional deal information and historical data are available on the Fitch Ratings web site at www.fitchratings.com. For more information on the Fitch VECTOR Model, see 'Global Rating Criteria for Collateralized Debt Obligations,' dated Oct. 4, 2006 and also available 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.