DBRS Assigns BBB (low) Rating to TRS Referencing Gloucester Street ABS CDO I, Ltd. Class A-1 Notes

DBRS has today assigned rating of BBB (low) to the total return swap (TRS) referencing Gloucester Street ABS CDO I, Ltd.’s Class A-1 Notes, pursuant to the TRS agreement dated April 28, 2009, with a current notional amount of $370,754,682. The TRS benefits from approximately 58.25% subordination from the referenced Class A-1 Notes (the Credit Enhancement). The DBRS rating addresses the ultimate return of interest and principal of the TRS on or before the legal final maturity of the Class A-1 Notes, taking into account the Credit Enhancement.

The Gloucester Street ABS CDO I, Ltd. Class A-1 Notes are collateralized by a pool of underlying assets that consists of collateralized debt obligations (CDOs), U.S. commercial mortgage-backed securities (CMBS), U.S. residential mortgage-backed securities (RMBS) and other U.S. asset-backed securities (ABS), a majority of which are assessed by DBRS in the C range.

The TRS obligations are liabilities of the majority Class A-1 Noteholder only and are independent of (and do not amend) the obligations of Gloucester Street ABS CDO I, Ltd. This rating is being provided at the request of the majority Class A-1 Noteholder.

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

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

This is a Structured Finance rating.