DBRS Confirms AA (high) (sf) Rating of Interest Rate Swap Termination Payments Re: Prado CDO Ltd.

DBRS has today confirmed the rating of AA (high) (sf) to the payment of any Interest Rate Swap 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 November 20, 2003, between Prado CDO Ltd. (“Prado”) and Natixis (“Potential Termination Payment”).

General Terms of the Interest Rate Swap Transaction:

Fixed Rate Payer: Prado
Floating Rate Payer: Natixis
Trade Date: October 31, 2003
Effective Date: November 20, 2003
Termination Date: November 14, 2014
Initial Notional Amount: $97,000,000
Fixed Rate: 4.98%

This rating did not include issuer participation and is based solely on publicly available information.

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.

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