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

DBRS has today confirmed a 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 April 14, 2005 between Trinity CDO Ltd. (“Trinity”) and Natixis (“Potential Termination Payment”).

General Terms of the Interest Rate Swap Transaction:

Fixed Rate Payer: Trinity
Floating Rate Payer: Natixis
Trade Date: April 14, 2005
Effective Date: September 8, 2005
Termination Date: June 8, 2013
Current Notional Amount: $17,500,000
Fixed Rate: 7.34%

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

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

Note:
All figures are in US dollars unless otherwise noted.