DBRS Upgrades and Discontinues Rating on TRS Referencing Millstone III CDO

DBRS has upgraded the rating on the total return swap (TRS) referencing the Class A-1A Notes issued by Millstone III CDO, pursuant to the TRS agreement dated April 28, 2009, from BBB (high) (sf) to A (low) (sf). This rating action reflects the recent performance of the underlying transaction. The DBRS rating addresses the ultimate return of interest and principal of the TRS on or before the legal final maturity of the Class A-1A Notes.

The rating has also been removed from the Under Review with Developing Implications designation. This action reflects the conclusion of the review to determine the impact of the updated methodology “Rating Global Structured Finance CDO Restructurings”.

Following the above rating actions, DBRS has discontinued the rating on the TRS referencing the Class A-1A Notes issued by Millstone III CDO. This rating action reflects early termination of the TRS pursuant to the Termination Notice dated November 2, 2012.

The principal methodology is Rating Global Stuctured 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.