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

DBRS has today confirmed a 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 amended on May 4, 2010, with a current notional amount of $185,000,000. The TRS benefits from approximately 78.1% 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 actions reflect (a) the deterioration in credit quality of the underlying collateral pool since the transaction was initially assigned a DBRS rating on April 30, 2009 and (b) amendments to the transaction, including an increase in the amount of 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.

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

The applicable public methodology is Rating U.S. ABS CDO Restructurings Methodology, which can be found on our website under Methodologies.

This is a Structured Finance rating.