DBRS Confirms, Removes from UR-Developing, and Withdraws Rating on IRS Re: C-Bass CBO XV, Ltd.

DBRS, Inc. (“DBRS”) has today confirmed at BBB (high) (sf) and withdraws the rating on the Interest Rate Swap Termination Payments including all the interest due (“Potential Termination Payment”) which may be owed to the interest rate swap counterparty (“Swap Counterparty”) under an Event of Default where C-Bass CBO XV, Ltd. (“C-Bass XV”) is the sole defaulting party due to a Failure to Pay or Deliver as defined in section 5(a)(i) of the ISDA Master Agreement (“Agreement”) executed on February 16, 2006 between C-Bass XV and the Swap Counterparty.

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”.

The withdrawal rating action reflects payment in full of the amount payable by the Issuer (C-Bass XV) in respect of the Early Termination Date following the Event of Default that occurred February 16, 2011.

The principal methodology is Rating Global Structured Finance CDO Restructuringswhich 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.