DBRS Confirms and Removes from UR-Developing the Rating to IRS Payments Re: LNR CDO III Ltd.

DBRS, Inc. (“DBRS”) has today confirmed the rating of AA (sf) to the Interest Rate Swap payments which may be owed to the Interest Rate Swap counterparty (“Swap Counterparty”) under an Event of Default, where LNR CDO III Ltd. (“LNR III”) 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 January 20, 2005, between LNR III and the Swap Counterparty. For the avoidance of doubt, the Interest Rate Swap payments include any Potential Swap Termination Payment amounts (“Potential Termination Payment”), plus all interest due as determined by the Applicable Rate defined in the Agreement, on or before the maturity date of LNR III in February 2043. The DBRS rating addresses only the ultimate payment in full of the interest rate swap payments plus all interest due, as determined by the Applicable Rate defined in the Agreement, owed by the Fixed Rate Payer to the Floating Rate Payer if a Termination Event occurs on or before the Termination Date.

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.