DBRS Confirms and Withdraws Ratings on the Potential Interest Rate Swap Payment Re: Kleros Preferred Funding Ltd.

DBRS, Inc. (“DBRS”) has today confirmed AA (high) (sf) ratings to the potential 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;

DBRS has also withdrawn ratings on Basis Swap V. This action reflects the maturity of basis swaps on 7/15/2013.

1. Basis Swap V - Trade Date 06/07/2007; Termination Date 7/15/2013; Initial Notional $3,020,927;

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.