DBRS Discontinues Rating to a Tranched CDS Referencing the Class A-1 Notes issued by Mercury CDO II, Ltd.

DBRS, Inc. (“DBRS”) has today discontinued the rating on the Tranched Credit Default Swap (“CDS”) between Natixis Financial Products, Inc. (“Natixis”) and Halyard Securities, LLC (“Halyard”) referencing the Class A-1 Notes issued by Mercury CDO II, Ltd.

General Terms of the CDS

Trade Date: February 21, 2012
Effective Date: February 21, 2012
Fixed Rate Payer: Halyard
Floating Rate Payer: Natixis
Reference Entity: Mercury CDO II, Ltd.
Reference Obligation: Class A-1 Notes
CUSIP: 589368AA7
Original Swap Notional: $1,000,000
Attachment Point: 87%
Exhaustion Point: 100%

The rating action reflects liquidation of Mercury CDO II, Ltd. and payment in full of the CDS following the Accelerated Maturity Date that occurred on June 26, 2013.

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