DBRS Confirms and Withdraws Ratings on Potential Interest Rate Swap Payment Re: Broderick CDO 2 Ltd.

DBRS, Inc. (“DBRS”) has today confirmed the AA (sf) ratings to the Interest Rate Swap Termination Payments including all interest due (“Potential Termination Payment”) which may be owed to the interest rate swap counterparty (“Swap Counterparty”) under an Event of Default, where Broderick CDO 2 Ltd. (“Broderick 2”) 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 September 1, 2006 between Broderick 2 and the Swap Counterparty.

1. Interest Rate Swap - Trade Date 09/01/2006; Termination Date 05/01/2015; Initial Fixed Rate 4.575%; Initial Notional $300,000,000;

DBRS has also withdrawn ratings on Basis Swap I, II, III, and IV. This action reflects the maturity of basis swaps on 11/06/2013, 11/01/2013, 06/20/2013, and 12/06/2014 respectively.

1. Basis Swap I - Trade Date 01/12/2007; Termination Date 11/06/2013; Initial Notional $29,500,000;
2. Basis Swap II - Trade Date 01/12/2007; Termination Date 11/01/2013; Initial Notional $51,100,000;
3. Basis Swap III - Trade Date 01/12/2007; Termination Date 06/20/2013; Initial Notional $29,000,000;
4. Basis Swap IV - Trade Date 01/12/2007; Termination Date 12/06/2013; Initial Notional $90,300,000;

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.