DBRS Discontinues Rating on Potential Interest Rate Swap Termination Payment Referencing Kleros Preferred Funding, Ltd.

DBRS, Inc. (“DBRS”) has today discontinued the rating on the Interest Rate Swap Termination Payment including all 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.

The rating action reflects payment in full of the Interest Rate Swap Termination Payment plus all interest due.

The principal methodology used to analyze the transaction 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.