DBRS Upgrades and Removes from UR-Developing the IRS Termination Rating Re: Charles River CDO I, Ltd.

DBRS, Inc. (“DBRS”) has today upgraded from AA (sf) to AA (high) (sf) the rating on the Interest Rate Swap Termination Payments including all interest due (“Potential Termination Payment”) which may be owed to the interest rate swap counterparty (“Swap Counterparty”) under an Event of Default, where Charles River CDO I, Ltd. (“Charles River”) 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 November, 2002 between Charles River 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 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 dollars unless otherwise noted.