DBRS Assigns AA (high) Rating to Potential Interest Rate Swap Termination Payments Re: Helios I CBO

DBRS has today assigned a rating of AA (high) to the payment of any Interest Rate Swap Termination Payments which may be owed to Natixis Financial Products, Inc. (“Natixis”) under an Event of Default; 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. (“Potential Termination Payment”)

General Terms of the Interest Rate Swap Transaction:

Fixed Rate Payer: Helios
Floating Rate Payer: Natixis
Trade Date: November 16, 2001
Effective Date: December 13, 2001
Termination Date: December 13, 2012
Initial Notional Amount: $358,000,000
Fixed Rate: 6.02%

The Potential Termination Payment benefits from being senior in the right of repayment to all Notes issued by Helios.

The DBRS rating addresses only 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. It does not address (a) the likelihood that a Potential Termination Payment occurs on or before the Termination Date, (b) the payment of any Potential Termination Payments owed by Natixis to Helios, and (c) Potential Termination Payments owed by Helios to Natixis if Natixis is the sole defaulting party.

Helios is collateralized by a pool of seasoned underlying assets that consists of high yield corporate bonds and various asset-backed securities.

The applicable public methodologies are The CDO Toolbox Methodology and Rating U.S. ABS CDO Restructurings Methodology which can be found on our website under Methodologies.

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

This is a Structured Finance rating.