DBRS Confirms Rating to Potential Interest Rate Swap Termination Payments Re: Prado CDO Ltd.

DBRS, Inc. (“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 November 20, 2003 between Prado CDO Ltd. (“Prado”) and Natixis (“Potential Termination Payment”).

The confirmation of the AA (high) (sf) rating reflects the observed performance of the collateral pool and the structural mechanics. The rating action also reflects the February 7, 2012 release of an updated methodology (Rating Methodology for CLOs and CDOs of Large Corporate Credit) to rate and monitor collateralized loan obligations and collateralized debt obligations backed by non-granular portfolios of large corporate credits. The rating has also been removed from Under Review with Developing Implications

The principal methodology is Rating Methodology for CLOs and CDOs of Large Corporate Credit, which can be found on our website under Methodologies.

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 credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.

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