Fitch Affirms Nautilus RMBS CDO II Ltd.

CHICAGO -- Fitch affirms all classes of notes issued by Nautilus RMBS CDO II Ltd. These affirmations are the result of Fitch's review process and are effective immediately:

--$211,200,242 class A-1S notes at 'AAA';

--$28,128,778 class A-1J notes at 'AAA';

--$27,191,152 class A-2 notes at 'AA';

--$33,754,534 class A-3 notes at 'A';

--$21,565,397 class B notes at 'BBB';

--$17,814,893 class C notes at 'BB'.

Nautilus RMBS II Ltd. is a cash collateralized debt obligation (CDO) managed by RCG Helm, LLC which closed December 20, 2005. The portfolio is comprised of RMBS.

Deleveraging of the transaction has led to increased credit enhancement levels for all classes of notes. All overcollateralization and interest coverage tests are passing the covenants. The Weighted Average Spread and Fitch Weighted Average Rating Factor have decreased since the original rating. And the Weighted Average Coupon has increased from since the original rating.

The ratings of class A-1S, A-1J, and A-2 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 ratings of the class A-3, class B, and class C notes address the likelihood that investors will receive ultimate 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.