DBRS Confirms A (low) (sf) Rating to the Class A Notes Issued by SCUTE Bali B.V.

DBRS Ratings Limited (“DBRS”) has today confirmed the rating of A (low) (sf) to the Class A Senior Deferrable Interest Floating Rate Notes (the “Class A Notes”) for SCUTE Bali B.V. (the “Issuer”). The rating addresses the full and timely payment of interest and principal payable to the Class A Notes on or before the Final Maturity Date of July 2024. DBRS does not rate the Subordinated Notes.

The Issuer is a collateralized loan obligation (CLO) which closed in March 2008. The transaction is collateralized by a portfolio of secured and unsecured leveraged and corporate loans and other corporate debt obligations extended to European borrowers. Reinvestment of certain principal proceeds is permitted until the reinvestment period ends in July 2014. NIBC Bank N.V. acts as the investment manager.

DBRS has confirmed the rating on the Class A Notes based on its assessment of the credit quality of the investments permitted under the terms of transaction documents, and changes made to the transaction as part of the Extraordinary Resolution and Amendment Agreement dated 15 July 2011. The amendment reflects certain changes to the counterparty rating requirements and other changes to the operative and hedge documents. At the time of initial rating, DBRS conducted a rating mapping of NIBC’s internal risk score to DBRS ratings to determine the credit quality for investments permitted by SCUTE BALI B.V. The rating confirmation reflects the amendments, as well as the review of the eligibility criteria, reinvestment criteria and credit enhancements to withstand projected collateral loss rates under various cash flow stress scenarios.

The sources of information used for this rating include the parties involved in the rating including but not limited to NIBC Bank, N.V. as investment manager. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

The principal methodology is Rating Global High-Yield Loan Securitizations, Structured Loans and Tranched Credit Derivatives, which can be found on our website under Methodologies.

The rating was disclosed to the NIBC Bank N.V. and no amendments were made following the disclosure.

For additional information on DBRS European CLO and Tranched Credit Derivatives, please see European Discolure Requirements, located at http://www.dbrs.com/research/237794.

Lead Analyst: Glen Leppert
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 4 February, 2011

Note:
All figures are in Euros unless otherwise noted.