Moody's: No negative rating impact on Infinity 2006-1 "Classico" following the downgrade of Natixis and BNP Paribas

Frankfurt am Main, July 12, 2012 -- Moody's has determined that the proposed action (the "Proposal") of Natixis (the swap counterparty under the credit default swap) to lower the Swap Counterparty Required Ratings (the first rating trigger) in relation to the Financial Collateral Agreement to A2/P-1 from A1/P-1 will not, in and of itself at this time result in a downgrade or withdrawal of the current ratings of the Class A Notes issued by Infinity 2006-1 "Classico." Moody's opinion address only the credit impact of the proposed action, and Moody's is not expressing any opinion as to whether the action has, or could have, other non-credit related effects that may have a detrimental impact on the interests of noteholders and/or counterparties.

On June 15, 2012, Moody's downgraded the long term rating of Natixis to A2. This announcement resulted in the breach of first rating trigger under the Financial Collateral Agreement between Natixis and Nexgen Captial Limited. The trigger relates to the obligation of Natixis to collateralise its payment obligation under the credit default swap to Nexgen Captial Limited. In case of a default of Natixis this collateral is the main source to make principal payments to the Notes. Moody's has considered the proposal described above, in relation to the downgrade. Moody's has assessed the probability and impact of a default of the swap counterparty on the ability of the Issuer to meet its obligations under the transaction, including the impact of the loss of any benefit from the credit default swap.

Furthermore, Moody's has determined that the proposed action (the "Second Proposal") to change the rating requirements of an Eligible Bank to be the Financial Collateral Account Holder under the Financial Collateral Agreement to A2/P-1 from A1/P-1 will not, in and of itself at this time result in a downgrade or withdrawal of the current ratings of the Class A Notes issued by Infinity 2006-1 "Classico." Moody's does not express an opinion as to whether the proposal may be considered to have negative effects in any other respect.

On June 21, 2012, Moody's downgraded the long term rating of BNP Paribas to A2. This announcement resulted in a breach of the rating requirement for the Financial Collateral Account Holder. BNP Paribas serves as guarantor of BNP Paribas Securities Services (the Financial Collateral Account Holder). The Financial Collateral Account Holder provides the accounts into which collateral potentially posted by Natixis under the credit default swap is transferred. In considering the Second Proposal described above, Moody's has assessed the probability and impact of a default of the bank on the ability of the Issuer to meet its obligations under the transaction, including the impact of the loss of any cash or securities held by the bank should it default and any loss that may be incurred after that time due to any delay in redirecting payments to a new account or taking any other appropriate action.

Moody's notes that given the importance of the Swap Counterparty payments and the Financial Collateral Account Holder to the credit strength of the Notes, further downgrades of the parties may impact the ratings of the Class A Notes.

The principal methodology used in this rating was Moody's Approach to Real Estate Analysis for CMBS in EMEA: Portfolio Analysis (MoRE Portfolio) published in April 2006. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

In assessing the proposal Moody's has had regard to the rating implementation guidance entitled "The Temporary Use of Cash In Structured Transactions: Eligible Investment Guidelines" from December 9, 2008.

Moody's notes that on 2 July 2012 it released a Request for Comment in which the rating agency requested market feedback on potential changes to its rating implementation guidance for the temporary use of cash in structured finance transactions. If the revised rating implementation guidance is implemented as proposed, the rating on the Class A Notes should not be negatively affected. Please refer to Moody's Request for Comment, entitled "The Temporary Use of Cash in Structured Finance Transactions: Eligible Investment and Bank Guidelines: Request for Comment" for further details regarding the implications of the proposed methodology changes on Moody's ratings.

Moody's will continue to monitor the ratings. Any change in the ratings will be publicly disseminated by Moody's through appropriate media.

Oliver Schmitt Vice President - Senior Analyst Structured Finance Group Moody'sDeutschland GmbH An der Welle 5 Frankfurt am Main 60322 Germany JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 Andrea Daniels Senior Vice President Structured Finance Group JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 Releasing Office: Moody's Deutschland GmbH An der Welle 5 Frankfurt am Main 60322 Germany JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 (C) 2012 Moody's Investors Service, Inc. and/or its licensors and affiliates (collectively, "MOODY'S"). All rights reserved.

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