Correction: Fitch Assigns 'CAM1' CDO Asset Manager Rating to Duke Funding Management, LLC.

NEW YORK -- (This is an amended version of a release issued on Monday, April 3, 2006 and contains an updated CDO amount in the fourth paragraph.)

Fitch assigns Duke Funding Management, LLC (Duke) a 'CAM1' structured finance CDO Asset Manager Rating. Duke, a wholly owned subsidiary of Ellington Management Group, L.L.C. (Ellington), serves as the collateral manager for all CDOs issued under the 'Duke Funding' shelf. This rating is based on Ellington's investment and portfolio management expertise, the quality of Duke's CDO technology and administration, and the quality and depth of Ellington's trading, research, and technology staff.

Duke's scores for each group of criteria factors are summarized as follows:

--Company and Management Experience 1.75;

--Staffing 1.25;

--Procedures and Controls 1.50;

--Portfolio Management 1.25;

--CDO Administration 1.50;

--Technology 1.25;

--CDO Performance 1.75.

Duke's composite score of 1.49 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 as outlined in the criteria report on 'Reviewing and Rating CDO Asset Managers,' dated Jan. 27, 2006, available on the Fitch Ratings's web site at www.fitchratings.com.

Ellington is a private investment management company specializing in fixed-income relative value strategies, with an emphasis on mortgage-backed securities. Together with Duke and its other affiliates, Ellington manages 13 CDOs totaling in excess of $16 billion (as measured by assets at issuance), in addition to various hedge funds with net assets in excess of $4.1 billion. Both Duke and Ellington are registered investment advisers with the U.S. Securities and Exchange Commission. Their investors include major pension funds, endowments, foundations, commercial and private banks, family offices, insurance companies, and fund of funds.

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. Also available on the Fitch Ratings web site at a later date will be an expanded report on Duke, detailing the factors contributing to this rating.

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.