Fitch Affirms Guggenheim Structured Real Estate Funding 2005-2.

NEW YORK -- Fitch affirms all classes of Guggenheim Structured Real Estate Funding 2005-2, Limited and Guggenheim Structured Real Estate Funding 2005-2, LLC (Guggenheim 2005-2) as follows:

--$5,000,000 class S fixed-rate at 'AAA';

--$163,800,000 class A floating-rate at 'AAA';

--$31,300,000 class B floating-rate at 'AA';

--$27,300,000 class C deferrable interest floating-rate at 'A';

--$22,543,000 class D deferrable interest floating-rate at 'BBB';

--$10,700,000 class E deferrable interest floating-rate at 'BBB-';

--$10,000,000 class F fixed-rate at 'BB'.

Fitch's affirmation of the above classes is based on the transaction maintaining above average reinvestment cushion, remaining within its transaction covenants, and passing Fitch's property value decline stress scenarios. The deal was reviewed since over 15% of the portfolio has turned over since Fitch's last review.

Deal Summary:

Guggenheim 2005-2 is a revolving commercial real estate (CRE) cash flow collateralized debt obligation (CDO) that closed on Aug. 25, 2005. As of the July 2008 trustee report and based on Fitch categorization, the CDO was substantially invested as follows: commercial mortgage B-notes (27.7%), bank loans to real estate operating companies (REBLs; 27.1%), commercial mortgage-backed securities (CMBS;18.9%), commercial real estate mezzanine loans (14.0%), and commercial mortgage whole loans and A-notes (12.2%). The CDO is also permitted to invest in credit tenant lease (CTL) loans and CRE CDO securities.

The portfolio is selected and monitored by Guggenheim Structured Real Estate Advisors, LLC (GSREA). Guggenheim 2005-2 closed with a five-year reinvestment period during which, if all reinvestment criteria are satisfied, principal proceeds may be used to invest in substitute collateral. The reinvestment period ends in August 2010.

Performance Summary:

Guggenheim 2005-2 closed and became effective on Aug. 25, 2005. Since Fitch's last review in June 2007, the as-is poolwide expected loss (PEL) has increased to 25.000% from 22.125%. However, the CDO continues to have above average reinvestment flexibility relative to other CRE CDOs with 13.000% cushion based on the modeled stressed PEL of 38.000%. The Fitch PEL is a measure of the hypothetical loss inherent in the pool at the 'AA' stress environment before taking into account the structural features of the CDO liabilities. Fitch PEL encompasses all loan, property, and poolwide characteristics modeled by Fitch.

The increase in the as-is PEL is primarily attributable to the application of Fitch's corporate Portfolio Credit Model (PCM) on the REBL assets, and to the addition of seven assets that have a higher weighted average expected loss than the four assets were paid off.

Since Fitch's last review, two single borrower CMBS positions (18.9%) rated 'BBB-' and 'BB+', three REBLs (8.5%) rated 'BB-', 'B', and 'B', and two CRE loans (10.0%) were added to the portfolio. These assets replace two CRE loan assets (12.0%) and two CMBS (11.6%), which repaid. Seven assets remaining in the portfolio paid down 15.7% of the collateral balance due to delevering, while the manager increased its investment in one mezzanine loan, Lord & Taylor portfolio, by $10.8 million (3.5%) to 8.7% of the pool. The total collateral balance increased by 1.6% since last review as a result of the manager purchasing assets at discounts to par.

The CRE loans added to the portfolio include an A-note (4.6%) secured by a portfolio of four regional malls located in New York , Delaware, Mississippi, and Louisiana, and an A-note (5.3%) secured by 473 acres of undeveloped land in Orlando, Florida. The parcel is fully entitled for various uses including residential, retail, and lodging developments.

The CMBS portfolio additions include the class L tranche of the GSMS 2007-EOP transaction (9.8%), rated 'BB+' by Fitch, and a 'BBB-' rated rake bond (9.1%) backed by the Kerzner International resort portfolio. GSREA also purchased three REBL positions: a senior secured bank loan to Tishman Speyer (4.9%), and two term loan positions (3.6%) secured by the same obligor, LNR.

The CDO is in compliance with all its reinvestment covenants. The weighted average spread (WAS) increased slightly since last review to 2.5% from 2.4%, while the weighted average coupon (WAC) remained constant at 5.3%. The pool's WAS and WAC are considered tight, each with 0.30% cushion to their covenanted levels. Approximately 8.0% of the pool is fixed rate. The weighted average life (WAL) has decreased to 2.6 from 3.4 years at the June 2007 review, continuing to imply that the pool composition will fully turn over during the reinvestment period.

The overcollateralization (OC) and interest coverage (IC) ratios of all classes have remained above their covenants, as of the July 2008 trustee report.

Collateral Analysis:

Most of the CREL assets are junior participations, including B-notes and mezzanine debt. Only 12.2% of the portfolio (16.8% of CREL assets) is invested in whole loans/A-notes. Many of the subordinate loans are secured by interests in institutional quality assets with experienced sponsors. Additionally, all but one of the 12 loans secured by traditional cash flow properties have Fitch stressed debt service coverage ratios (DSCR) above 1.0 times (x). Two of the 15 CREL positions have loan-to-value ratios (LTV) below 100%.

As of the July 2008 trustee report, the CDO is within all its property type covenants. Loans on retail properties, representing 33.5% of the portfolio including the Toys 'R' Us and GGP bank loans, remain as the largest property type category. The concentration of retail properties has increased from 32.9% since Fitch's last review. The percentage of hotel assets has continued to decrease over the transaction's life; to 23.5% from 26.9% at last review, and from 36.1% at the transaction's close. The hotel loans are secured by interests in 119 individual properties and include hotels in the luxury, upscale, and extended stay segments of the industry, which provides further diversification by hospitality type. The CDO is also within all of its geographic location covenants with the highest percentage of assets located in New York at 10.6%, a decrease from 11.5% at last review, when California represented the greatest state concentration at 13.1%. The portfolio continues to be geographically diverse.

The Fitch Loan Diversity Index increased slightly to 697 from 684 at last review, which represents below average diversity as compared to other CRE CDOs. The LDI covenant is 870. While the portfolio is concentrated, the CREL portion of the pool is supported by 386 individual properties. Further, no single obligor may represent more than $30.0 million (approximately 10.0% of the portfolio). Currently, the largest obligor represents $30.0 million of the deal.

For a summary of the Fitch Loans of Concern and the 10 largest assets, please refer to the Guggenheim Structured Real Estate Finance 2005-2 Surveyor Snapshot on the Fitch Ratings web site, which will be available beginning Aug. 22, 2008.

Collateral Asset Manager:

Guggenheim Structured Real Estate (GSRE), through its three private equity funds, is a private investor in commercial real estate debt, specializing in high-quality income-producing US properties with experienced sponsorship. The GSRE funds were founded in 2003 under the leadership of Edward L. Shugrue III and his team of real estate investment professionals. GSRE funds are managed by GSREA. Both the funds and GSREA are affiliated with Guggenheim Partners, LLC (GP), a diversified financial services firm with more than 500 employees and over $100 billion of assets under supervision. The GSRE equity funds have raised over $2.5 billion of private equity and have made approximately $8.0 billion of investments.

Fitch rates GSREA as a 'CAM2+' U.S. Commercial Real Estate CDO Asset Manager. GSREA has 10 experienced real estate and investment professionals on staff, three of whom have prior commercial real estate loan workout experience. GSREA benefits from its affiliation with GP with respect to real estate markets information flow, CDO administration, and back office support. Generally, GSRE investments are serviced by rated CMBS servicers. For more details refer to the Fitch Rating Asset Manager Profile on Guggenheim Structured Real Estate, available on the Fitch Ratings web site at www.fitchratings.com.

Rating Definitions:

The ratings of the classes S, A, and B 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 C, D, E, and F 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.

Ongoing Surveillance:

Upgrades during the reinvestment period are unlikely given the pool could still migrate to the PEL covenant. Fitch will consider placing classes on Rating Watch Negative should the reinvestment cushion fall to 2% or below. Additionally, Fitch performs underlying property value decline stress testing on the CDO's liabilities. To the extent investment grade rated bonds could be impaired by a 25% property value decline, classes could also be placed on Rating Watch Negative or downgraded. The Fitch PEL is a measure of the hypothetical loss inherent in the pool at the 'AA' stress environment before taking into account the structural features of the CDO liabilities. Fitch PEL encompasses all loan, property, and poolwide characteristics modeled by Fitch.

Fitch will continue to monitor and review this transaction and will issue an updated Snapshot report after each committeed review. The surveillance team will conduct a review whenever there is approximately 15% change in the collateral composition, quarterly, or semi-annually.

For more information on the Fitch Rating Methodology for CREL CDOs, see 'Rating Methodology for U.S. Revolving Commercial Real Estate Loan CDOs' dated Dec. 20, 2007, which is also available at www.fitchratings.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.