DBRS Upgrades Interest Rate Swap for Belle Haven ABS CDO 2006-1, Ltd. to AA (high) (sf)

DBRS has today upgraded the rating of Interest Rate Swap to a AA (high) (sf) from AA (sf), which may be owed to the interest rate swap counterparty (“Swap Counterparty”) under an Event of Default, where Belle Haven ABS CDO 2006-1, Ltd. (“Belle Haven”) is the sole defaulting party due to a Failure to Pay or Deliver (the “Specified Event of Default”) as defined in section 5(a)(i) of the ISDA Master Agreement (“Agreement”) executed on May 24, 2006 between Belle Haven and the Swap Counterparty (“Potential Termination Payment”).

General Terms of the Interest Rate Swap Transaction:

Fixed Rate Payer: Belle Haven
Floating Rate Payer: Swap Counterparty
Trade Date: May 10th, 2006
Effective Date: October 5th, 2006
Termination Date: April 7th, 2015
Initial Notional Amount: $160,000,000
Fixed Rate: 7.474%

The Potential Termination Payment benefits from being senior in the right of repayment to all Notes issued by Belle Haven.

The DBRS rating addresses only the ultimate payment in full of the Potential Termination Payment plus all interest due, as determined by the Applicable Rate defined in the Agreement, owed by Belle Haven to the Swap Counterparty if the Specified Event of Default occurs on or before the Termination Date. It does not address: (a) the likelihood that a Potential Termination Payment occurs on or before the Termination Date, (b) the payment of any Potential Termination Payments owed by the Swap Counterparty to Belle Haven, and (c) Potential Termination Payments owed by Belle Haven to the Swap Counterparty if the Swap Counterparty is the sole defaulting party.

Belle Haven is collateralized by a pool of U.S. residential mortgage-backed securities (RMBS), U.S. commercial mortgage-backed securities (CMBS) and collateralized debt obligations (CDO).

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.