Press Release

DBRS Rates TRS Referencing Bluegrass ABS CDO III, Ltd. Class A-1 Notes

Structured Credit
October 07, 2009

DBRS 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.

Ratings

  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating