Fitch Rates Monterey CDO, Ltd./LLC 'AAA/AAA/AAA/AA/AA-/A/BBB'.

CHICAGO -- Fitch Ratings assigns the following ratings to Monterey CDO, Ltd. and Monterey CDO, LLC:

--$240,000,000 class A-1A first priority senior secured floating-rate delayed draw notes due 2043 'AAA';

--$560,000,000 class A-1B first priority senior secured floating-rate notes due 2042 'AAA';

--$80,000,000 class A-2 second priority senior secured floating-rate notes due 2042 'AAA';

--$51,000,000 class A-3 third priority senior secured floating-rate notes due 2042 'AAA';

--$34,000,000 class B fourth priority senior secured floating-rate notes due 2042 'AA';

--$7,000,000 class C fifth priority senior secured floating-rate notes due 2042 'AA-';

--$10,000,000 class D sixth priority mezzanine secured deferrable floating-rate notes due 2042 'A';

--$10,000,000 class E seventh priority mezzanine secured deferrable floating-rate notes due 2042 'BBB'.

The ratings of the class A-1A, A-1B, A-2, and A-3 (collectively, the class A notes), class B, and class C 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 D and E notes address 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.

The ratings are based upon the credit quality of the underlying assets and the credit enhancement provided to the capital structure through subordination and excess spread.

The net proceeds from the issuance of the notes will be used to purchase a portfolio of approximately 81.9% high grade residential mortgage-backed securities (RMBS) and 18.1% collateralized debt obligations (CDOs). The collateral supporting the structure will have a maximum Fitch weighted average rating factor (WARF) of 1.54 ('AA-/A+'). Approximately $787.1 million, or 78.7% of the target portfolio, was purchased at closing. The collateral was selected and will be monitored by Dynamic Credit Partners, LLC (DCP) as the collateral manager. DCP will have 120 days from the closing date to ramp up the portfolio to the target amount of $1 billion. The notes have a stated maturity of 2042 and quarterly payments on the notes will begin in September 2006.

The collateral manager will purchase all investments for the portfolio on behalf of Monterey CDO, Ltd. and Monterey CDO, LLC, which are special purpose companies incorporated under the laws of the Cayman Islands and the State of Delaware, respectively. The transaction includes a three-year substitution period, during which principal proceeds may be used to reinvest in substitute collateral, subject to certain eligibility criteria. There will also be a four-year fixed-rate reinvestment period, whereby DCP may reinvest proceeds from amortizing fixed-rate assets and recoveries. Following the reinvestment period, principal payments will be made on a pro rata basis to the rated notes unless the collateral balance has been reduced to less than $500 million or any of the four overcollateralization tests have breached their triggers on any determination date. Upon failure of any triggers mentioned previously, principal proceeds will be used to pay down the notes on a sequential basis.

Monterey CDO Ltd./LLC represents the fourth CDO managed by DCP. Barrington CDO, Ltd./LLC, the collateral manager's first high-grade diversified structured finance transaction closed on Dec. 20, 2005.

For additional information on structural and others features of this transaction, see the Fitch presale report, 'Monterey CDO, Ltd./LLC', available on the Fitch Ratings web site at www.fitchresearch.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.