DBRS Rates TRS Referencing Millstone III CDO Class A-1A Notes

DBRS has today assigned a point in time rating of BBB (high) to the total return swap (TRS) referencing Millstone III CDO Class A-1A Notes, pursuant to the TRS agreement dated April 28, 2009, with an initial notional amount of $406 million. The notional of the TRS is equal to 21% of the principal amount of the Class A-1A Notes in March 2009. The TRS benefits from 79% subordination from the referenced Class A-1A Notes (the Credit Enhancement). The DBRS rating addresses the ultimate return of interest and principal of the TRS on or before the legal final maturity of the Class A-1A Notes, taking into account the Credit Enhancement.

The Millstone III CDO Class A-1A Notes are collateralized by a pool of underlying assets that consists of collateralized debt obligations (CDOs), U.S. commercial mortgage-backed securities (CMBS), U.S. asset-backed securities (ABS) and U.S. residential mortgage-backed securities (RMBS), a majority of which are assessed by DBRS in the C range.

The TRS obligations are liabilities of the majority Class A-1A Noteholder only and are independent of (and do not amend) the obligations of Millstone III CDO. This rating is being provided at the request of the majority Class A-1A Noteholder.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The applicable public methodologies are the DBRS CDO Toolbox methodology, which can be found on our website under Methodologies, as well as DBRS’s internal Rating U.S. ABS CDO Restructurings Methodology, which outlines DBRS approach to analyzing ABS CDO restructurings in terms of portfolio, legal and cash flow analysis.

This is a Structured Finance rating.