DBRS Confirms 4 and Places 1 CDS Under Review Positive for Figaro II and Terra II

DBRS has today confirmed and placed Under Review with Positive Implications the following ratings to the credit default swaps (“CDS”) entered into between Figaro II Mezzanine CLO LLC (the “Company”), a Delaware limited liability company, and Citibank, N.A., London Branch (“Citibank”), and between Terra II Mezzanine CLO II LLC (the “Company”), a Delaware limited liability company, and Citibank.

The ratings are as follow:

• Credit Default Swap by Figaro II Mezzanine CLO LLC at AA (low) (sf);
• Class B1 CDS by Terra II Mezzanine CLO LLC at AA (low) (sf);
• Class B2 CDS by Terra II Mezzanine CLO LLC at A (low) (sf);
• Class B3 CDS by Terra II Mezzanine CLO LLC at BB (low) (sf) and Under Review with Positive Implications.

The rating addresses the probability of this credit default swap breaching its attachment point as defined in the transaction documents on or before the legal final maturity date.

The rating reflects:

1) The integrity of the transaction structure;
2) DBRS’ assessment of the portfolio quality;
3) The adequacy of the credit enhancement for the credit default swap.

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 sources of information used for this rating include performance data relating to the underlying collateral provided by Citigroup. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

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

Lead Analyst: Joseph Priolo
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: August 17, 2010

Notes:
All figures are in Euros unless otherwise noted.