DBRS Assigns Ratings to Potential IRS Termination Payments Re: Kleros Preferred Funding Ltd.

DBRS has today assigned AA (high) (sf) ratings to the following 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 Kleros Preferred Funding Ltd. (“Kleros”) is the sole defaulting party due to a Failure to Pay or Deliver as defined in section 5(a)(i) of the ISDA Novation Agreement (“Agreement”) executed on May 19, 2011 between Kleros and the Swap Counterparty.

1. Interest Rate Swap - Trade Date 06/03/2005; Termination Date 07/06/2014; Initial Fixed Rate 3.70%; Initial Notional $180,000,000;
2. Basis Swap I - Trade Date 06/07/2007; Termination Date 11/07/2014; Initial Notional $9,900,000;
3. Basis Swap II - Trade Date 06/07/2007; Termination Date 3/10/2014; Initial Notional $39,079,261;
4. Basis Swap III - Trade Date 06/07/2007; Termination Date 1/5/2015; Initial Notional $26,181,220;
5. Basis Swap IV - Trade Date 06/07/2007; Termination Date 12/13/2011; Initial Notional $7,471,945;
6. Basis Swap V - Trade Date 06/07/2007; Termination Date 7/15/2013; Initial Notional $3,020,927;
7. Basis Swap VI - Trade Date 06/07/2007; Termination Date 11/9/2011; Initial Notional $9,000,000;

The principal methodology is Rating US & European Structured Finance CDO Restructurings, which can be found on our website under Methodologies.

This rating is based on information provided by the Swap Counterparty.

Note:
All figures are in dollars unless otherwise noted.