DBRS Confirms and Places the AA (sf) Rating of the CDS Entered into by Static Residential CDO 2005-A Ltd. Under Review with Developing Implications

DBRS, Inc. (DBRS) has today confirmed the rating of AA (sf) to the counterparty credit risk of Static Residential CDO 2005-A Ltd. (START 2005-A) with respect to its ability to make any and all payments due under the credit default swap (CDS) confirmation governed by the ISDA Master Agreement, dated June 28, 2005, between Deutsche Bank AG (Deutsche Bank) and START 2005-A.

This rating reflects the various forms of cash collateralization held by START 2005-A, as well as the position of Deutsche Bank as CDS Counterparty within the legal structure of START 2005-A. The DBRS rating addresses the ultimate payment of the above-referenced payments until the Scheduled Termination Date of the CDS.

The rating is being placed Under Review with Developing Implications as a result of the Total Return Swap Asset Balance having insufficient collateral to support the rated liability. Upon reaching out to the trustee, U.S. Bank Global Corporate Trust Services, DBRS was informed that the account balance in question reflected a calculation error that is expected to be remedied before the next payment date in April 2015. The CDS will remain Under Review with Developing Implications while the trustee resolves this reporting error. DBRS will take an appropriate rating action upon receiving the updated balances.

Notes:
The applicable methodology is Rating Global Structured Finance CDO Restructurings, which can be found on our website under Methodologies.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.