DBRS Rates Restructured G Square Finance 2007-1 Ltd. Class A-1 Payments

DBRS has today assigned a rating of BBB (low) to the probability of repayment in full of an initial principal amount of $356,948,359 (the Obligation Amount) plus quarterly interest payable in arrear (collectively, the Restructured Obligations) on or before September 5, 2052 (the Maturity), using cumulative interest and principal payments from the Class A-1 notes issued by G Square Finance 2007-1 Ltd. (the Class A-1 Notes). The Obligation Amount is equal to 23% of the principal amount of the Class A-1 Notes on March 4, 2009. As such, the Restructured Obligations benefit from 77% subordination and excess spread (the Credit Enhancement). The assigned rating addresses ultimate repayment of the Restructured Obligations on or before the Maturity, taking into account the Credit Enhancement.

The Restructured Obligations are collateralized by the Class A-1 Notes that are in turn collateralized by a pool of underlying assets which consist of collateralized debt obligations and U.S. residential mortgage-backed securities, a majority of which are assessed by DBRS in the C range.

The Restructured Obligations are liabilities of the majority Class A-1 Noteholder only and are independent of (and do not amend) the obligations of G Square Finance 2007-1 Ltd. This rating is being provided at the request of the majority Class A-1 Noteholder.

Note:
All figures are in U.S. dollars unless otherwise noted.

The applicable public methodologies are Canadian Structured Credit Transactions Methodology and DBRS CDO Toolbox Methodology, which can be found on our website under Methodologies, as well as DBRS’s internal Rating U.S. ABS CDO Restructurings Methodology.

This is a Structured Finance rating.