Press Release

DBRS Places 55 Ratings from 37 Structured Finance CDO Restructurings Under Review Developing

Structured Credit

October 10, 2012

DBRS, Inc. (“DBRS”) has today placed fifty-five ratings from the following thirty-seven structured finance CDO restructurings (“SF CDOs) Under Review with Developing Implications:

• Altius III Funding, LTD.
• Banc of America Funding 2012-R4 Trust
• Belle Haven ABS CDO 2006-1, Ltd.
• Blue Edge ABS CDO Ltd.
• Bluegrass ABS CDO III, Ltd.
• Broderick CDO 2 Ltd.
• C-Bass CBO XV LTD.
• Charles River CDO I, Ltd.
• Claris IV Limited - Series 25
• Claris IV Limited - Series 28
• Claris IV Limited - Series 36
• Claris IV Limited - Series 37
• Commodore CDO IV LTD.
• Currus XX Limited
• Diogenes CDO I LTD.
• Duke Funding VII, Ltd.
• Fulton Street CDO, Ltd.
• G Square Finance 2006-1 Ltd
• G Square Finance 2007-1 Ltd
• Gloucester Street ABS CDO I, LTD
• Grand Avenue CDO I, LTD.
• Helios Series I Multi Asset CBO, LTD.
• Kleros Preferred Funding Ltd.
• Lincoln Avenue ABS CDO, LTD
• LNR CDO III Ltd.
• Mercury CDO II, Ltd.
• Metropolis II, LLC Series 2010-16
• Metropolis II, LLC Series 2010-4
• Metropolis II, LLC Series 2010-6
• Millstone III CDO, LTD
• Mount Skylight Repackaging Trust
• Mulberry Street CDO I, Ltd.
• Mulberry Street CDO II, Ltd.
• Oceanview CBO I, Ltd.
• Static Residential CDO 2005-A Ltd.
• Static Residential CDO 2005-B Ltd.
• Static Residential CDO 2005-C Ltd.

The rating actions reflect the October 10, 2012 release of an updated methodology to rate and monitor restructured tranches of existing CDOs, new SF CDOs that contain an existing pool of structured finance assets, and the likelihood of ultimate payment of amounts due on interest rate swaps and other cash flow streams from SF CDOs.

DBRS will undertake a review to determine the impact of the updated methodology on a transaction-by-transaction basis and will publish updated rating actions that may either result in an upgrade, confirmation or downgrade.

The principal methodology that will be used is “Rating Global Structured Finance CDO Restructurings”, which can be found on the DBRS website under Methodologies.

These credit ratings have 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.

Ratings

Altius III Funding Ltd.

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
10-Oct-12	Interest Rate Swap	BBB (low) (sf)	--	UR-Dev.	US E

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
10-Oct-12	Class A Notes	BBB (sf)	--	UR-Dev.	US

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
10-Oct-12	Interest Rate Swap	AA (high) (sf)	--	UR-Dev.	US E

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
10-Oct-12	Interest Rate Swap	BBB (sf)	--	UR-Dev.	US E

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
10-Oct-12	Basis Swap I	AA (sf)	--	UR-Dev.	US E
10-Oct-12	Basis Swap II	AA (sf)	--	UR-Dev.	US E
10-Oct-12	Basis Swap III	AA (sf)	--	UR-Dev.	US E
10-Oct-12	Basis Swap IV	AA (sf)	--	UR-Dev.	US E
10-Oct-12	Interest Rate Swap	AA (sf)	--	UR-Dev.	US E

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
10-Oct-12	Interest Rate Swap	BBB (high) (sf)	--	UR-Dev.	US E

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
10-Oct-12	Interest Rate Swap	AA (sf)	--	UR-Dev.	US E

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
10-Oct-12	Class I-A Swap, Series 25	AA (low) (sf)	--	UR-Dev.	US E
10-Oct-12	Class I-B Swap, Series 25	BBB (low) (sf)	--	UR-Dev.	US E
10-Oct-12	Class I-C Swap, Series 25	BB (low) (sf)	--	UR-Dev.	US E

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
10-Oct-12	Class I-B Swap, Series 28	BB (sf)	--	UR-Dev.	US E
10-Oct-12	Class I-C Swap, Series 28	BB (low) (sf)	--	UR-Dev.	US E

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
10-Oct-12	Class I-A Swap, Series 36	BBB (sf)	--	UR-Dev.	US E
10-Oct-12	Class I-B Swap, Series 36	BB (high) (sf)	--	UR-Dev.	US E
10-Oct-12	Class I-C Swap, Series 36	B (high) (sf)	--	UR-Dev.	US E

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
10-Oct-12	Class I-A Swap, Series 37	AA (low) (sf)	--	UR-Dev.	US E
10-Oct-12	Class I-B Swap, Series 37	A (low) (sf)	--	UR-Dev.	US E
10-Oct-12	Class I-C Swap, Series 37	BBB (high) (sf)	--	UR-Dev.	US E

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
10-Oct-12	Credit Default Swap	AA (sf)	--	UR-Dev.	US

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
10-Oct-12	Senior Loan	AA (low) (sf)	--	UR-Dev.	US E
10-Oct-12	Subordinate Loan	BBB (low) (sf)	--	UR-Dev.	US E

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
10-Oct-12	Credit Default Swap	AA (sf)	--	UR-Dev.	US

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
10-Oct-12	Interest Rate Swap	BBB (sf)	--	UR-Dev.	US E

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
10-Oct-12	Interest Rate Swap	A (low) (sf)	--	UR-Dev.	US E

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
10-Oct-12	Interest Rate Swap	AA (high) (sf)	--	UR-Dev.	US E

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
10-Oct-12	Basis Swap I	AA (high) (sf)	--	UR-Dev.	US E
10-Oct-12	Basis Swap II	AA (high) (sf)	--	UR-Dev.	US E
10-Oct-12	Basis Swap III	AA (high) (sf)	--	UR-Dev.	US E
10-Oct-12	Basis Swap IV	AA (high) (sf)	--	UR-Dev.	US E
10-Oct-12	Basis Swap V	AA (high) (sf)	--	UR-Dev.	US E
10-Oct-12	Basis Swap VI	AA (high) (sf)	--	UR-Dev.	US E
10-Oct-12	Interest Rate Swap	AA (high) (sf)	--	UR-Dev.	US E

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
10-Oct-12	Interest Rate Swap	AA (sf)	--	UR-Dev.	US E

Date Issued	Debt Rated	Rating	Trend	Action	Attributesi
10-Oct-12	Credit Default Swap	BBB (sf)	--	UR-Dev.	US E

Show More Issuers

Altius III Funding Ltd.

Interest Rate Swap

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:BBB (low) (sf)
Trend:--
Rating Recovery:
Issued:USE

Banc of America Funding 2012-R4 Trust

Class A Notes

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:BBB (sf)
Trend:--
Rating Recovery:
Issued:US

Belle Haven ABS CDO 2006-1, Ltd.

Interest Rate Swap

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:USE

Blue Edge ABS CDO Ltd.

Interest Rate Swap

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:BBB (sf)
Trend:--
Rating Recovery:
Issued:USE

Broderick CDO 2 Ltd.

Basis Swap I

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:AA (sf)
Trend:--
Rating Recovery:
Issued:USE

Basis Swap II

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:AA (sf)
Trend:--
Rating Recovery:
Issued:USE

Basis Swap III

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:AA (sf)
Trend:--
Rating Recovery:
Issued:USE

Basis Swap IV

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:AA (sf)
Trend:--
Rating Recovery:
Issued:USE

Interest Rate Swap

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:AA (sf)
Trend:--
Rating Recovery:
Issued:USE

C-Bass CBO XV, Ltd.

Interest Rate Swap

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:BBB (high) (sf)
Trend:--
Rating Recovery:
Issued:USE

Charles River CDO I, Ltd.

Interest Rate Swap

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:AA (sf)
Trend:--
Rating Recovery:
Issued:USE

Claris IV Limited - Series 25

Class I-A Swap, Series 25

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:AA (low) (sf)
Trend:--
Rating Recovery:
Issued:USE

Class I-B Swap, Series 25

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:BBB (low) (sf)
Trend:--
Rating Recovery:
Issued:USE

Class I-C Swap, Series 25

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:BB (low) (sf)
Trend:--
Rating Recovery:
Issued:USE

Claris IV Limited - Series 28

Class I-B Swap, Series 28

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:BB (sf)
Trend:--
Rating Recovery:
Issued:USE

Class I-C Swap, Series 28

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:BB (low) (sf)
Trend:--
Rating Recovery:
Issued:USE

Claris IV Limited - Series 36

Class I-A Swap, Series 36

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:BBB (sf)
Trend:--
Rating Recovery:
Issued:USE

Class I-B Swap, Series 36

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:BB (high) (sf)
Trend:--
Rating Recovery:
Issued:USE

Class I-C Swap, Series 36

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:B (high) (sf)
Trend:--
Rating Recovery:
Issued:USE

Claris IV Limited - Series 37

Class I-A Swap, Series 37

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:AA (low) (sf)
Trend:--
Rating Recovery:
Issued:USE

Class I-B Swap, Series 37

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:A (low) (sf)
Trend:--
Rating Recovery:
Issued:USE

Class I-C Swap, Series 37

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:BBB (high) (sf)
Trend:--
Rating Recovery:
Issued:USE

Commodore CDO IV, Ltd.

Credit Default Swap

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:AA (sf)
Trend:--
Rating Recovery:
Issued:US

Currus XX Limited

Senior Loan

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:AA (low) (sf)
Trend:--
Rating Recovery:
Issued:USE

Subordinate Loan

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:BBB (low) (sf)
Trend:--
Rating Recovery:
Issued:USE

Diogenes CDO I, Ltd.

Credit Default Swap

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:AA (sf)
Trend:--
Rating Recovery:
Issued:US

Duke Funding VII, Ltd.

Interest Rate Swap

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:BBB (sf)
Trend:--
Rating Recovery:
Issued:USE

Fulton Street CDO, Ltd.

Interest Rate Swap

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:A (low) (sf)
Trend:--
Rating Recovery:
Issued:USE

Helios I CBO

Interest Rate Swap

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:USE

Kleros Preferred Funding Ltd.

Basis Swap I

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:USE

Basis Swap II

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:USE

Basis Swap III

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:USE

Basis Swap IV

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:USE

Basis Swap V

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:USE

Basis Swap VI

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:USE

Interest Rate Swap

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:AA (high) (sf)
Trend:--
Rating Recovery:
Issued:USE

LNR CDO III Ltd.

Interest Rate Swap

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:AA (sf)
Trend:--
Rating Recovery:
Issued:USE

Mercury CDO II, Ltd.

Credit Default Swap

Date Issued:Oct 10, 2012
Rating Action:UR-Dev.
Ratings:BBB (sf)
Trend:--
Rating Recovery:
Issued:USE

Show More Issuers

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