DBRS Assigns A (low) (sf) Rating to the Class A Senior Deferrable Interest Floating Rate Notes for SCUTE BALI B.V.

DBRS has today assigned a rating of A (low) (sf) to the Class A Senior Deferrable Interest Floating Rate Notes (the “Class A Notes”) for SCUTE BALI B.V. (the “Issuer”). The rating addresses the full and timely payment of interest and principal payable to the Class A Notes on or before the Final Maturity Date of July 2024. On 1 February 2011, the Issuer committed to purchase and cancel €333,600,000 of the Class A Notes, and €23,500,000 of the Subordinated Notes. After such purchase and cancellation, the €551,400,000 of the remaining Class A Notes will be supported by €396,500,000 Subordinated Notes. DBRS does not rate the Subordinated Notes.

The Issuer is a collateralized loan obligation (CLO) which closed in March 2008. The transaction is collateralized by a portfolio of secured and unsecured leveraged and corporate loans and other corporate debt obligations extended to European borrowers. Reinvestment of certain principal proceeds is permitted until the reinvestment period ends in July 2014. NIBC Bank N.V. acts as the investment manager.

DBRS has assigned a rating to the Class A Notes based on its assessment of the credit quality of the investments permitted under the terms of transaction documents, the commitment by the Issuer to purchase and cancel certain Class A Notes and Subordinated Notes, and changes made to the transaction as part of the Extraordinary Resolution and Amendment Agreement dated 1 February 2011 which reflect the addition of DBRS to the transaction. DBRS conducted a rating mapping of NIBC’s internal risk score to DBRS ratings to determine the credit quality for investments permitted by SCUTE BALI B.V.. The rating reflects a review of the eligibility criteria, reinvestment criteria, as well as credit enhancements to withstand projected collateral loss rates under various cash flow stress scenarios.

As part of DBRS’s review of counterparty risk, DBRS accepted a lower rating of potential swap counterparties than outlined in the European Structured Finance Legal Criteria as the current criteria contemplates achievement of the highest investment grade ratings of AAA. This transaction contemplates any potential swap counterparty to maintain a rating of at least BBB (high) in order to be eligible without posting additional collateral.

The review of these transactions is based on information provided by the latest trustee reports as of January 2011. The rating was disclosed to the Issuer and no amendments were made following the disclosure.

Note:
All figures are in Euros unless otherwise noted.

The principal methodology applicable is Rating Global High-Yield Loan Securitizations, Structured Loans and Tranched Credit Derivatives, and Legal Criteria for European Structured Finance Transactions, which can be found on www.dbrs.com under Methodologies.

This is the first DBRS rating on this financial instrument. This rating concerns an existing financial instrument; the Class A Notes were originally issued in March 2008.

The sources of information used for this rating include the parties involved in the rating including but not limited to NIBC Bank, N.V. as investment manager. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS will publish a full report shortly that will provide additional analytical detail on this rating action. For additional information on this rating, please see http://www.dbrs.com/research/237794.