DBRS Assigns AA (sf) Rating to Potential IRS Termination Payments Re: Charles River CDO I, Ltd.

DBRS has today assigned a rating of AA (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 Charles River CDO I, Ltd. (“Charles River”) 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 November, 2002 between Charles River 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.

This rating is based on the information provided by the Swap Counterparty.

Note:
All figures are in dollars unless otherwise noted.