DBRS Discontinues Rating on Potential Interest Rate Swap Termination Payments Re: Helios I CBO

DBRS, Inc. (“DBRS”) has today discontinued the rating on the payment of any Interest Rate Swap Termination Payments including all interest due (“Potential Termination Payment”) which may be owed to Natixis Financial Products, Inc. (“Natixis”) under an Event of Default or 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. The DBRS rating addressed 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.

This rating action reflects payment in full of any amounts owed under the Agreement and maturity of the Interest Rate Swap.

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.