DBRS Upgrades Class B1, Class B2 and Class B3 of Terra II Mezzanine CLO LLC Credit Default Swap

DBRS Ratings Limited (“DBRS”) has today upgraded the ratings of the Class B1, Class B2 and Class B3 Credit Default Swaps (“CDS”) entered into by Terra II Mezzanine CLO LLC (the “Company”), a Delaware limited liability company, and Citibank, N.A., London Branch (“Citibank”) as follows:
• Class B1 CDS: From AA (low) (sf) to AA (high) (sf)
• Class B2 CDS: From A (low) (sf) to A (high) (sf)
• Class B3 CDS: From BB (low) (sf) to BBB (high) (sf)

The rating action reflects the 7 February 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 principal methodology is Rating Methodology for CLOs and CDOs of Large Corporate Credit, which can be found on www.dbrs.com.

The sources of information used for this rating include Citigroup. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

Lead Analyst: Simon Ross
Surveillance Analyst: Orest Gavrylak
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 17 August 2010
Most Recent Rating Update: 8 February 2012

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Notes:
All figures are in EUR unless otherwise noted.