Fitch Affirms Five Classes of Neptune CDO II, Limited.

CHICAGO -- Fitch affirms five classes of rated notes issued by Neptune CDO II, Limited (Neptune II). The following rating actions are effective immediately:

--$198,000,000 class A-1 senior secured floating-rate notes due 2045 affirmed at 'AAA';

--$52,000,000 class A-2 senior secured floating-rate notes due 2045 affirmed at 'AAA';

--$18,000,000 class B senior secured floating-rate notes due 2045 affirmed at 'AA';

--$6,000,000 class C secured floating-rate deferrable notes due 2045 affirmed at 'A';

--$11,315,475 class D secured floating-rate deferrable notes due 2045 affirmed at 'BBB'.

Neptune II is a collateralized debt obligation (CDO), which closed in July 2005. The portfolio is comprised of residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS), asset-backed securities (ABS), and CDOs. Neptune II will remain in the reinvestment period until August 2008.

These affirmations are a result of stable portfolio performance. Fitch Weighted Average Rating Factor (WARF) has remained at 4.4 since closing, below its corresponding trigger of 5.7. Further, according to the November 2006 trustee report all of overcollateralization (OC) and interest coverage (IC) tests are meeting their corresponding covenants. There currently are no defaulted or distressed assets in the portfolio.

Due to a structural feature that caps interest distributions to the preference shares at 15% per annum and amortizes the notes starting with class D and up with the excess spread, the class D notes have paid down by 5.7% since the closing of the deal a year ago. This deleveraging of D notes has increased their corresponding credit enhancement level.

The rating of the class A-1, A-2 and B notes address the likelihood that investors will receive full and timely payments of interest, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated maturity date. The rating of the class C and D notes addresses the likelihood that investors will receive ultimate interest and deferred interest payments, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated 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 Derivative Fitch web site at www.derivativefitch.com. For more information on the Fitch VECTOR Model, see 'Global Rating Criteria for Collateralised Debt Obligations,' dated Oct. 4, 2006 and also available at www.derivativefitch.com.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.derivativefitch.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 means Fitch, Inc., Fitch Ratings, Ltd. and their subsidiaries including Derivative Fitch, Inc. and Derivative Fitch Ltd. and any successor or successors thereto.