DBRS rates Credit Default Swap entered into by Figaro II Mezzanine CLO LLC

DBRS, Inc. (“DBRS”) has today assigned the following rating to the credit default swap entered into by Figaro II Mezzanine CLO 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 agreement, on a €760,000,000 reference portfolio of senior unsecured and secured corporate obligations. These obligations have arisen out of syndicated credit agreements originated by Citibank and its affiliates. The obligors referenced in the portfolio are primarily western European. The rating addresses the probability of this credit default swap breaching its attachment point as defined in the transaction documents on or before the legal final maturity date in April 2015.

Issuer: Figaro II Mezzanine CLO LLC
Debt Rated: Credit Default Swap
Attachment Point: 10.0%
Detachment Point: 16.0%
Rating: AA (low) (sf)

The rating reflects:

1)The integrity of the transaction structure.
2)DBRS’ assessment of the portfolio quality.
3)The adequacy of the credit enhancement for the credit default swap.

The transaction has a maximum portfolio notional amount of €760 million. 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 methodology is 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.