DBRS Upgrades Ratings on the Potential Interest Rate Swap Termination Payments Referencing Kodiak CDO I, Ltd. and Removes Under Review with Developing Implications

DBRS, Inc. (“DBRS”) has today upgraded the following ratings to the Potential Interest Rate Swap Termination Payments including all the interest due (“Potential Termination Payment”), which may be owed to the interest rate swap counterparty (“Swap Counterparty”) under an Event of Default, where Kodiak CDO I Ltd. (“Kodiak”) 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 19, 2006.

DBRS has also removed the Under Review with Developing Implications designation from the rating. The rating action reflects the conclusion of the review to determine the impact of the updated methodology “Rating CLOs and CDOs of Large Corporate Credit.”

Key changes to the methodology include (a) updates to the Stressed Default Rate calculations, including a new DBRS CLO Asset Model that replaces the DBRS Large Pool Model (b) increased recovery rates for senior secured loans, reflecting an increased expectation for recovery, particularly at the A (sf) through BB (sf) stress levels (c) decreased recovery rates for senior unsecured bonds (d) new stress for covenant-lite loans at the AAA (sf) and AA (sf) stress levels and (e) the removal of regional correlation factors

The principal methodology applicable to this transaction is “Rating CLOs and CDOs of Large Corporate Credit” 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.