Fitch Affirms North Cove CDO II, Ltd.

NEW YORK -- Fitch affirms five classes of notes issued by North Cove CDO II, Ltd, (North Cove II). These affirmations are the result of Fitch's review process, and are effective immediately:

--$52,608,461 class A notes at 'AAA';

--$65,999,705 class B notes at 'AA';

--$17,217,314 class C notes at 'AA-';

--$20,774,060 class D notes at 'A-';

--$22,580,500 class E notes at 'BBB'.

North Cove II is a synthetic collateralized debt obligation (CDO) with cashflow waterfall features that closed March 2, 2006 and is managed by 250 Capital, LLC. North Cove II has a static portfolio composed of credit default swaps that reference primarily mezzanine residential mortgage backed securities (RMBS). Included in this review, Fitch discussed the current state of the portfolio with the asset manager.

The affirmations are the result of stable collateral performance since close. The notes have been deleveraging and credit enhancement has been stable. The class A/B/C and class E sequential pay tests are passing relative to their triggers of 108.44% and 103.4%, respectively, as of the most recent trustee report dated June 5, 2007. The class D and E notes have benefited from a reverse turbo as a result of excess spread in the transaction. To date there have been marginal downgrades and upgrades of the underlying reference obligations and the transaction has suffered no credit or floating events.

The rating of the classes A, B, C, D and E 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.

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. 18, 2006 and also available on Fitch's web site 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.