DBRS Confirms AA (high) (sf) Rating to Potential Swap Termination Payments Owed by Saybrook Point

DBRS has today confirmed a rating of AA (high) (sf) to any Interest Rate Swap Termination Payments, including all interest due (“Potential Termination Payments”), which may be owed to Natixis Financial Products, Inc. (“Natixis”) under an Event of Default, where Saybrook Point CBO, Limited (“Saybrook Point”) 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 February 6, 2001, between Saybrook Point and Natixis.

Saybrook Point is collateralized by a pool of seasoned underlying assets that consists of collateralized debt obligations (“CDOs”), U.S. commercial mortgage-backed securities (“CMBS”), U.S. residential mortgage-backed securities (“RMBS”) and other asset-backed securities (“ABS”).

The Potential Termination Payment benefits from being senior in the right of repayment to all Notes issued by Saybrook Point CBO, Limited.

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.

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 U.S. dollars unless otherwise noted.