DBRS Confirms BBB (high) (sf) to the TRS Referencing Millstone III CDO Class A-1A Notes

DBRS has today confirmed the rating of BBB (high) (sf) to the total return swap (TRS) referencing Class A-1A Notes issued by Millstone III CDO. The DBRS rating addresses the ultimate return of interest and principal of the TRS on or before the legal final maturity of the Class A-1A Notes.

The Millstone III CDO Class A-1A Notes are collateralized by a pool of underlying assets that consists of collateralized debt obligations (CDOs), U.S. commercial mortgage-backed securities (CMBS) and U.S. residential mortgage-backed securities (RMBS), a majority of which are assessed by DBRS in the C range.

The TRS obligations are liabilities of the majority Class A-1A Noteholder only and are independent of (and do not amend) the obligations of Millstone III CDO. This rating is being provided at the request of the majority Class A-1A Noteholder.

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

Notes:
All figures are in U.S. dollars unless otherwise noted.