DBRS Assigns BBB (high) (sf) Rating to Potential Interest Rate Swap Termination Payments Re: C-Bass CBO XV, Ltd.

DBRS has today assigned a rating of BBB (high) (sf) to the Interest Rate Swap Termination Payments including all the interest due (“Potential Termination Payment”) which may be owed to the interest rate swap counterparty (“Swap Counterparty”) under an Event of Default where C-Bass CBO XV, Ltd. (“C-Bass XV”) is the sole defaulting party due to a Failure to Pay or Deliver as defined in section 5(a)(i) of the ISDA Master Agreement (“Agreement”) executed on February 16, 2006 between C-Bass XV and the Swap Counterparty.

The applicable public methodology is Rating US & European Structured Finance CDO Restructurings, which can be found on our website under Methodologies.

Note:
All figures are in dollars unless otherwise noted.

This rating did not involve issuer’s participation and is based solely on pre-existing available information.