DBRS Assigns BBB (sf) Rating to the Credit Default Swap Entered Into by Collenswood Limited

DBRS, Inc. (“DBRS”) has today assigned a rating of BBB (sf) to the credit default swap entered into by Collenswood Limited (“QED”) and Deutsche Bank AG, referencing a €7,012,736,895 portfolio of static Dutch small- to medium-sized enterprise loans (SME loans). As of 31 December 2010, the referenced portfolio included 20,666 loans across 12,306 borrowers with a weighted average seasoning of approximately 38 months and a weighted average time to maturity of approximately 10 yrs.

This rating is based upon DBRS’s review of the following analytical considerations:
• Transaction structure, the form and sufficiency of available credit enhancement.

• The ability of the transaction to withstand stressed portfolio loss assumptions and repay the protection seller according to the terms of the credit default swap.

• The quality of origination, underwriting and servicing practices with regard to the portfolio of SME loans.

• Soundness of the legal structure, as well as the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

The principal public methodology is Master European Granular Corporate Securitisations (SME CLOs), which can be found on www.dbrs.com under Methodologies.

DBRS determined key inputs used in our analysis based on historical performance data provided for the originator and servicer as well as analysis of the current economic environment. The sources of information used for these ratings include parties involved in the rating, including but not limited to Deutsche Bank AG and ABN AMRO Bank N.V. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

The above DBRS rating addresses the likelihood that the cumulative amount of net payments from the protection seller to the protection buyer from the effective date to the legal maturity in respect of Credit Events is not greater than zero in accordance with the terms of the Credit Default Swap.

This is the first DBRS rating on this financial contract. This rating concerns a new financial instrument. This press release has been disclosed to the credit default swap counterparties to review for factual inaccuracies or for the presence of confidential information. No amendments to this press release were made as a result.

For additional information on DBRS European SME CLOs, please see European Disclosure Requirements, located at http://www.dbrs.com/research/235269.

Note:
All figures are in Euro unless otherwise noted.