DBRS Rates TRS Referencing Bluegrass ABS CDO III, Ltd. Class A-1 Notes
Structured CreditDBRS has today assigned a rating of BBB (low) to the total return swap (TRS) referencing Bluegrass ABS CDO III, Ltd.’s Class A-1 Notes, pursuant to the TRS agreement dated April 28, 2009, with a current notional amount of $29,088,415. The TRS benefits from approximately 63.2% 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 Bluegrass ABS CDO III, 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 Bluegrass ABS CDO III, 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.