DBRS rates Class B1, B2, B3 Credit Default Swaps entered into Terra II Mezzanine CLO LLC

DBRS, Inc. (“DBRS”) has assigned the following ratings to the credit default swaps entered into between Terra II Mezzanine CLO II LLC (the “Company”), a Delaware limited liability company, and Citibank, N.A., London Branch (“Citibank”). Citibank has bought protection from the Company, as outlined in the credit default swap agreements, on a €3,000,000,000 reference portfolio of senior unsecured and secured corporate obligations, arising out of bilateral and syndicated credit agreements originated by it and its affiliates. The obligors referenced in the portfolio are primarily Asian or emerging market corporate borrowers. The ratings address the probability of these credit default swaps breaching their respective threshold amounts stated below as more fully set forth in the transaction documents on or before their legal final maturity date in March 2018.

Debt Rated Threshold Amount Attachment Point Detachment Point
Class B1 CDS € 540,000,000 18.00% 25.00%
Class B2 CDS € 435,000,000 14.50% 18.00%
Class B3 CDS € 300,000,000 10.00% 14.50%

The ratings reflect:

1) The integrity of the transaction structure.

2) DBRS’ assessment of the portfolio quality.

3) The adequacy of the credit enhancement for each credit default swap.

The transaction has a maximum portfolio notional amount of EUR3 billion. During the term of the transaction, Citibank can replenish the reference portfolio with new obligations subject to the satisfaction of certain eligibility and replenishment criteria.

The applicable methodologies are The CDO Toolbox methodology and Rating Global High-Yield Loan Securitizations, Structured Loans and Tranched Credit Derivatives, which can be found on our website under Methodologies.

This is a Structured Finance rating.