DBRS Upgrades Ratings on Basis Swaps Re: Kleros Preferred Funding Ltd. and removes Under Review with Developing Implications

DBRS, Inc. (“DBRS”) has today upgraded from AA (high) (sf) to AAA (sf) the ratings on Basis Swap I and Basis Swap III.

The rating action reflects the recent release of “RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Loss Model and Rating Methodology” (“RMBS Insight 1.2”), which DBRS uses to rate and monitor structured credit transactions with underlying RMBS assets.

This methodology supersedes “RMBS Insight: U.S. Residential Mortgage-Backed Securities Loss Model and Rating Methodology,” (“RMBS Insight”) published Jan 23, 2012.

While DBRS does not deem the methodology updates to be material as RMBS Insight 1.2 substantially retains the core conceptual and structural framework of RMBS Insight, the key updates to the methodology include:

• The inclusion of an agency model that covers 30-year fully amortizing fixed rate agency loans with documentations;
• Updated house price model and forecast, as well as state-by-state foreclosure timelines;
• Additional variables with respect to loan modification and documentation type;
• A more refined approach in assessing purchase money mortgages.

DBRS has also removed the Under Review with Developing Implications designation from the rating. The rating action reflects the conclusion of the review to determine the impact of “RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Loss Model and Rating Methodology.”

The principal methodology to be used to review the impact of the release of RMBS Insight 1.2 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.