DBRS Assigns AA (high) Rating to Potential Swap Termination Payments Owed by Saybrook Point CBO

DBRS has today assigned a rating of AA (high) to the payment of any Interest Rate Swap Termination Payments which may be owed to Natixis Financial Products, Inc. (Natixis) under an Event of Default; Failure to Pay or Deliver as defined in section 5(a)(i) of the ISDA Master Agreement (Agreement) executed on February 6, 2001 between the Saybrook Point CBO, Limited and Natixis. (“Potential Termination Payment”)

General Terms of the Interest Rate Swap Transaction:

Fixed Rate Payer: Saybrook Point CBO, Limited
Floating Rate Payer: Natixis Financial Products, Inc.
Trade Date: January 19, 2001
Effective Date: February 6, 2001
Termination Date: February 25, 2013
Initial Notional Amount: $120,000,000
Fixed Rate: 6.630%
Floating Rate: LIBOR
Maximum Potential Termination Payment $1,820,689

The Potential Termination Payment benefits from being senior in the right of repayment to all Notes issued by Saybrook Point CBO, Limited.

The DBRS rating addresses only the ultimate payment in full of the Potential Termination Payment plus all the interest due, as determined by the Applicable Rate defined in the Agreement if a Termination Event occurs on or before the Termination Date. It does not address (a) the likelihood that a Potential Termination Payment occurs on or before the Termination Date, (b) the payment of a Potential Termination Payment owed by Natixis to Saybrook Point CBO, Limited and (c) a Potential Termination Payment owed by Saybrook Point CBO, Limited to Natixis if Natixis is the sole defaulting party.

Saybrook Point CBO, Limited is collateralized by a pool of seasoned underlying assets that consists of collateralized debt obligations (CDOs), U.S. commercial mortgage-backed securities (CMBS), U.S. residential mortgage-backed securities (RMBS) and other asset-backed securities (ABS).

The applicable public methodologies are The CDO Toolbox Methodology and Rating U.S. ABS CDO Restructurings Methodology which can be found on our website under Methodologies.

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

This is a Structured Finance rating.