DBRS Assigns BBB (sf) Rating to Tranched CDS Ref: Class A-1 Notes issued by Mercury CDO II

DBRS, Inc. (“DBRS”) has today assigned a rating of BBB (sf) to the Tranched Credit Default Swap (“CDS”) between Natixis Financial Products, Inc. (“Natixis”) and Halyard Securities, LLC (“Halyard”), referencing the Class A-1 Notes issued by Mercury CDO II, Ltd.

General Terms of the CDS:

Trade Date: February 21, 2012
Effective Date: February 21, 2012
Ref No: 1359881CF
Fixed Rate Payer: Natixis
Floating Rate Payer: Halyard
Reference Entity: Mercury CDO II, Ltd.
Reference Obligation: Class A-1 Notes
CUSIP: 589368AA7
Original Swap Notional: $1,000,000
Attachment Point: 87.000%
Exhaustion Point: 100.000%

The rating above addresses the likelihood that any Cash Settlement Amount as defined in the CDS, if it shall so occur, will be no greater than zero.

Mercury CDO II, Ltd. is collateralized by a pool of underlying assets that consists of primarily of U.S. residential mortgage-backed securities (RMBS), collateralized debt obligations (CDOs), and U.S. commercial mortgage-backed securities (CMBS).

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

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.