DBRS Assigns BBB Rating to a Tranched Credit Default Swap Referencing the Class A-1 Notes issued by Mercury CDO II, Ltd.

DBRS has today assigned a rating of BBB to the below credit default swap transaction (“CDS”) between Natixis Financial Products, Inc. (“Natixis”) and Halyard Securities, LLC (“Halyard”):

General Terms of the CDS

Trade Date: December 23, 2009
Effective Date: December 23, 2009
Fixed Rate Payer: Halyard
Floating Rate Payer: Natixis
Reference Entity: Mercury CDO II, Ltd.
Reference Obligation: Class A-1 Notes
CUSIP: 589368AA7
Original Swap Notional: $1,000,000
Attachment Point: 91.203%
Exhaustion Point: 100.000%

The rating above addresses the likelihood that any Cash Settlement Amount as defined in the CDS, if it shall so occur, will be no greater than zero.

Mercury CDO II, Ltd. is collateralized by a pool of 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.