DBRS Confirms AA (high) (sf) Rating to Potential IRS Termination Payments Re: Helios I CBO

DBRS has today confirmed a rating of AA (high) (sf) to the following Interest Rate Swap Termination Payments including all the interest due (“Potential Termination Payments”) which may be owed to Natixis Financial Products, Inc. (“Natixis”) under an Event of Default; Failure to Pay or Deliver as defined in section 5(a)(i) of the ISDA Master Agreement (“Agreement”) executed on December 13, 2001 between Helios Series I Multi Asset CBO, Ltd. (“Helios I CBO”) and Natixis.

General Terms of the Interest Rate Swap Transaction:

Fixed Rate Payer: Helios I CBO
Floating Rate Payer: Natixis
Trade Date: November 16, 2001
Effective Date: December 13, 2001
Termination Date: December 13, 2012
Initial Notional Amount: $358,000,000
Fixed Rate: 6.02%

The Potential Termination Payments benefits from being senior in the right of repayment to all Notes issued by Helios I CBO.

The DBRS rating addresses only the ultimate payment in full of the Potential Termination Payments, as determined by the Applicable Rate defined in the Agreement, owed by Helios I CBO to Natixis, if a Termination Event occurs on or before the Termination Date. It does not address: (a) the likelihood that a Potential Termination Payments occur on or before the Termination Date, (b) Potential Termination Payments owed by Natixis to Helios CBO I and (c) Potential Termination Payments owed by Helios CBO I to Natixis, if Natixis is the sole defaulting party.

Helios CBO I is collateralized by a pool of seasoned underlying assets that consists of high yield corporate bonds and various asset-backed securities.

The principal methodologies are: (i) The CDO Toolbox, (ii) Rating U.S. ABS CDO Restructurings and (iii) Rating Global High-Yield Loan Securitizations, Structured Loans and Tranched Credit Derivatives, which can be found on our website under Methodologies.

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