DBRS Downgrades Ratings on Swaps for Claris IV Series 36

DBRS, Inc. (“DBRS”) has today downgraded the ratings on the Class I-A Swap, Class I-B Swap, and Class I-C Swap issued by Claris IV Limited – Series 36. Claris IV Limited – Series 36 is collateralized primarily by a portfolio of U.S. residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS), collateralized loan obligations (CLOs) and other asset-backed securities (ABS). The DBRS ratings of the Class I-A Swap, Class I-B Swap, and 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 confirmed on October 15, 2010.

The principal methodology is Rating US & European 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.