DBRS Upgrades and Removes from UR-Dev the Rating on Tranched CDS Re: Mercury CDO II, Ltd. Class A-1 Notes

DBRS, Inc. (“DBRS”) has today upgraded the rating on the Tranched Credit Default Swap (“CDS”) between Natixis Financial Products, Inc. (“Natixis”) and Halyard Securities, LLC (“Halyard”) referencing the Class A-1 Notes issued by Mercury CDO II, Ltd from BBB (sf) to A (sf). The rating addresses the likelihood that any Cash Settlement Amount as defined in the CDS, if it shall so occur, will be no greater than zero.

The rating has also been removed from the Under Review with Developing Implications designation. This action reflects the conclusion of the review to determine the impact of the updated methodology “Rating Global Structured Finance CDO Restructurings”.

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.