DBRS Confirms and Removes from UR-Dev the Rating to IRS Termination Payments Re: Helios I CBO

DBRS, Inc. (“DBRS”) has today confirmed the rating of AA (high) to the payment of any Interest Rate Swap Termination Payments which may be owed to Natixis Financial Products, Inc. (“Natixis”) under an Event of Default; Failure to Pay or Deliver as defined in section 5(a)(i) of the ISDA Master Agreement (“Agreement”) executed on December 13, 2001 between Helios Series I Multi Asset CBO, Ltd. (“Helios”) and Natixis (“Potential Termination Payment”). The DBRS rating addresses only the ultimate payment in full of the Potential Termination Payment plus all interest due, as determined by the Applicable Rate defined in the Agreement, owed by Helios to Natixis if a Termination Event occurs on or before the Termination Date. It does not address (a) the likelihood that a Potential Termination Payment occurs on or before the Termination Date, (b) the payment of any Potential Termination Payments owed by Natixis to Helios, and (c) Potential Termination Payments owed by Helios to Natixis if Natixis is the sole defaulting party.

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 U.S. dollars unless otherwise noted.