DBRS Assigns AA (high) Rating to Potential Swap Termination Payments Owed by Fall Creek CLO, Ltd.

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 September 8, 2005 between Fall Creek CLO, Ltd. and Natixis. (“Potential Termination Payment”)

General Terms of the U.S. Dollar Rate Swap Transaction:

Fixed Rate Payer: Fall Creek CLO, Ltd.
Floating Rate Payer: Natixis Financial Products, Inc.
Trade Date: September 8, 2005
Effective Date: September 9, 2005
Termination Date: December 10, 2011
Upfront Payment: $4,250,000
Fixed Periodic Payment: $257,433
Maximum Potential Termination Payment $2,316,897

The Potential Termination Payment benefits from being senior in the right of repayment to all Notes issued by Fall Creek CLO, Ltd.

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 Fall Creek CLO, Ltd. and (c) a Potential Termination Payment owed by Fall Creek CLO, Ltd. to Natixis if Natixis is the sole defaulting party.

Fall Creek CLO, Ltd. is collateralized by a pool of U.S high yield corporate loans.

The applicable public methodologies are The CDO Toolbox Methodology and Rating Global High-Yield Loan Securitizations, Structured Loans and Tranched Credit Derivatives 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.