DBRS Assigns BBB (sf) Rating to Potential IRS Termination Payments Re: Duke Funding VII, Ltd.

DBRS has today assigned a rating of BBB (sf) to the Interest Rate Swap Termination
Payments including all the interest due (“Potential Termination Payments”) which may be owed to the interest rate swap counterparty (“Swap Counterparty”) under an Event of Default, where Duke Funding VII, Ltd. (“Duke VII”) is the sole defaulting party due to a Failure to Pay or Deliver as defined in section 5(a)(i) of the ISDA Master Agreement (“Agreement”) executed on August 12, 2004 between Duke VII and the Swap Counterparty.

General Terms of the Interest Rate Swap Transaction:

Fixed Rate Payer: Duke Funding VII, Ltd.
Trade Date: August 12, 2004
Effective Date: December 8, 2004
Termination Date: June 8, 2013
Initial Notional Amount: $233,100,000.00
Fixed Rate: 5.032%

The Potential Termination Payments benefits from being senior in the right of repayment to all Notes issued by Duke VII.

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 the Fixed Rate Payer to the Floating Rate Payer if a Termination Event occurs on or before the Termination Date.

Duke VII is collateralized primarily by a pool of Residential Mortgage Backed Securities (RMBS).

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

This rating is based on information provided by the Swap Counterparty.