DBRS Removes from UR-Developing and Discontinues Rating of IRS Re: Belle Haven ABS CDO 2006-1

DBRS, Inc. (“DBRS”) has today removed from Under Review with Developing Implications and discontinued the rating on the Interest Rate Swap Termination Payments which may be owed to the interest rate swap counterparty (“Swap Counterparty”) under an Event of Default, where Belle Haven ABS CDO 2006-1, Ltd. (“Belle Haven”) is the sole defaulting party due to a Failure to Pay or Deliver (the “Specified Event of Default”) as defined in section 5(a)(i) of the ISDA Master Agreement (“Agreement”) executed on May 24, 2006 between Belle Haven and the Swap Counterparty (“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 Belle Haven to the Swap Counterparty if the Specified Event of Default occurs on or before the Termination Date.

The above rating actions reflect early termination of the Interest Rate Swap and satisfaction of the Issuer’s payment obligation via the amount payable by Belle Haven in respect of the Early Termination Date.

The principal methodology is Rating Global Structured Finance CDO Restructurings, which can be found on our website under Methodologies.

Notes:
All figures are in U.S. dollars unless otherwise noted.