Fitch Affirms Western Asset Management's 'CAM2' CDO Asset Manager Rating.

NEW YORK -- Fitch Ratings affirms Western Asset Management Company's (Western Asset) structured finance 'CAM2' collateralized debt obligation (CDO) asset manager rating.

The rating affirmation is based on Western Asset's conservative yet opportunistic focused investment strategy, their ability to appropriately match resources to CDOs outstanding, and the experience and retention levels of staff. Western Asset has very aptly leveraged institutional competencies to strengthen their asset selection and portfolio management capabilities.

Western Asset's structured finance team currently manages eight deals with roughly $5 billion in CDO assets. Western Asset is involved with 12 CDOs in total; six ABS CDOs issued by Western Asset, two ABS CDOs for which Western Asset was elected as a replacement manager, two CDOs inherited from Citigroup Asset Management, one bank loan deal, and one investment grade synthetic CDO. In February 2006, Fitch affirmed the original ratings of both Coronado CDO and Pasadena CDO along with original rating affirmation of Palisdes CDO in April 2006. Arroyo CDO was affirmed by Fitch in November 2005.

Western Asset's 'CAM2' rating is based on the firm's composite score of 1.59. Western Asset's composite score is used to establish a systematically applied quantitative link between its asset manager rating and Fitch's CDO rating criteria, in accordance with the approach outlined in Fitch Research on 'Reviewing and Rating CDO Asset Managers,' dated Jan. 27, 2006, available on the Fitch Ratings web site at www.fitchratings.com.

--Company and Management Experience '1.25;

--Staffing '1.25';

--Procedures and Controls '1.50';

--Portfolio Management '1.50';

--CDO Administration '1.50';

--Technology '1.75';

--CDO Portfolio Performance '2.00'.

A wholly owned subsidiary of Legg Mason, Inc. (NYSE: LM; Fitch rating affirmation Long Term 'A-', outlook positive as of June 2006), Western Asset is a registered investment advisor headquartered in Pasadena, CA. It was founded in 1971 as First Interstate Investment Services and became an independent affiliate of Legg Mason in 1986. In February 1996, Lehman Brothers Global Asset Management, Ltd. was acquired by Legg Mason and incorporated into the firm as Western Asset Management Company, Ltd. Western Asset Management Company, Pte. Ltd. was established in Singapore in February 2001, in order to enhance Western Asset's Asian presence. In January 2004, Legg Mason Acquired Rothschild Asset Management (Singapore), Ltd. on behalf of Western Asset, further adding to their international presence. In December 2005, Legg Mason completed the acquisition of Citigroup's Asset Management business and has integrated their fixed income business with Western Asset.

As of June 30, 2006, Western Asset had over $512 billion in assets under management with over 700 client relationships.

An updated profile report and full CAM rating report on Western Asset Management will be available on Fitch's public website at www.fitchratings.com.

Fitch rates CDO asset managers by asset class, on a scale of 1 to 5, with 1 being the highest rating. These ratings are based on a standardized scorecard methodology that includes factors in each of the seven groups as noted above.

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.