DBRS Assigns AA (high) Rating to Potential Interest Rate Swap Termination Payments Re: Prado CDO 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 November 20, 2003 between Prado CDO Ltd. (“Prado”) and Natixis (“Potential Termination Payment”).

General Terms of the Interest Rate Swap Transaction:

Fixed Rate Payer: Prado
Floating Rate Payer: Natixis
Trade Date: October 31, 2003
Effective Date: November 20, 2003
Termination Date: November 14, 2014
Initial Notional Amount: $130,000,000
Fixed Rate: 4.98%

The Potential Termination Payment benefits from being senior in the right of repayment to all Notes issued by Prado.

The DBRS rating addresses only the ultimate payment in full of the Potential Termination Payment plus all interest due, as determined by the Applicable Rate defined in the Agreement, owed by Prado to Natixis 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 any Potential Termination Payments owed by Natixis to Prado, and (c) Potential Termination Payments owed by Prado to Natixis if Natixis is the sole defaulting party.

Prado is collateralized by a pool of seasoned underlying assets that consists of high yield corporate bonds.

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.