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

DBRS has today assigned a point-in-time rating of BBB (low) to the probability of repayment in full of an initial principal amount of $230 million (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 A-1 Notes). The Obligation Amount was equal to 14.89% of the principal amount of the A-1 Notes; the collateral amount supporting the A-1 Notes totaled $1,406,843,440 on June 5, 2009. As such, the Restructured Obligations benefit from overcollateralization of $1,176,843,440 plus 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 A-1 Notes, which are in turn collateralized by a pool of underlying assets that consists 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 point-in-time rating is being provided at the request of the majority Class A-1 Noteholder. DBRS will review the transaction on a quarterly basis and assign a new point-in-time rating at such time (until DBRS or the majority Class A-1 Noteholder discontinues the rating).

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

This is a point-in-time rating as of the date of this press release. DBRS will review the transaction on a quarterly basis and assign a new point-in-time rating at such time (until DBRS or the majority Class A-1 Noteholder discontinues the rating).

The applicable public methodologies are Rating U.S. ABS CDO Restructurings and The CDO Toolbox, which can be found on our website under Methodologies.

This is a Structured Finance rating.