DBRS Confirms and Withdraws Rating on LNR CDO III Ltd.’s Potential Interest Rate Swap Termination Payments

DBRS, Inc. (DBRS) has today confirmed the AA (high) (sf) rating on the Interest Rate Swap payments that may be owed to the Interest Rate Swap counterparty (Swap Counterparty) under an Event of Default, where LNR CDO III Ltd. (LNR III) 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 (the Agreement) executed on January 20, 2005, between LNR III and the Swap Counterparty. For the avoidance of doubt, the Interest Rate Swap payments include any Potential Swap Termination Payment amounts, plus all interest due as determined by the Applicable Rate defined in the Agreement, on or before the maturity date of LNR III in February 2043.

The rating has also been discontinued at the request of the Swap Counterparty.

The DBRS rating addresses only the ultimate payment in full of the Interest Rate Swap payments plus all interest due, as determined by the Applicable Rate defined in the Agreement, owed by the Fixed-Rate Payer to the Floating-Rate Payer if a Termination Event occurs on or before the Termination Date.

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

The applicable methodology is Rating Global Structured Finance CDO Restructurings.

The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

This rating is endorsed by DBRS Ratings Limited for use in the European Union.