DBRS Downgrades Class I-B Swap and Confirms Class I-C Swap of Claris IV Limited - Series 28

DBRS, Inc. (“DBRS”) has today downgraded the Class I-B Swap, Series 28 issued by Claris IV Limited - Series 28 from a BBB (low) (sf) rating to a BB (sf).

DBRS has today confirmed the Class I-C Swap, Series 28 issued by Claris IV Limited - Series 28 at BB (low) (sf).

Claris IV Limited Series 28 is collateralized primarily by a portfolio of U.S. residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS) and other asset-backed securities (ABS). The DBRS ratings of the Class I-B Swap and the Class I-C Swap address the probability of breaching their respective attachment points as defined in the transaction documents at or prior to their maturity dates.

The actions reflect the deterioration in credit quality of the underlying collateral pool since the transaction was last assigned a DBRS rating on August 11, 2010.

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

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