DBRS Assigns Ratings to Claris IV Limited - Series 35

DBRS has assigned ratings to the Class I Swaps and Class II Notes issued by Claris IV Limited - Series 35 as follows:

– $72.5 million Class I-A Swap, Series 35 at AA (low)
– $8.5 million Class I-B Swap, Series 35 at A (low)
– $15 million Class I-C Swap, Series 35 at BBB
– $8 million Class II-A Notes, Series 35 at BBB (low)
– $31 million Class II-B Notes, Series 35 at BB (low)

The obligations are collateralized primarily by a portfolio of U.S. residential mortgage-backed securities (RMBS). The ratings of the Class I-A Swaps, Class I-B Swaps and Class I-C Swaps only address the probability of these classes breaching their respective attachment points as defined in transaction documents at or prior to their maturity dates. The ratings of the Class II-A Notes and Class II-B Notes address the timely payments of interest and ultimate payments of principal at their maturity dates.

The ratings reflect the following:

(1) The integrity of the transaction structure.

(2) DBRS’s assessment of portfolio quality.

(3) Adequate credit enhancement of the notes and swaps to withstand projected collateral loss rates under various cash flow stress scenarios.

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

The applicable public methodology is The CDO Toolbox methodology, which can be found on our website under Methodologies, as well as DBRS’s internal Rating U.S. ABS CDO Restructurings Methodology.

This is a Structured Finance rating.