DBRS Confirms BBB (low) (sf) Rating to the TRS Referencing G Square Finance 2007-1 Ltd. Class A-1 Notes

DBRS has today confirmed a rating of BBB (low) (sf) to the total return swap (TRS) referencing G Square Finance 2007-1 Ltd. Class A-1 Notes. The Restructured Obligations are collateralized by the Class A-1 Notes that are in turn collateralized by a pool of underlying assets which consist of collateralized debt obligations and U.S. residential mortgage-backed securities, a majority of which are assessed by DBRS in the C range.

The rating reflects the satisfactory credit enhancements to withstand projected collateral loss rates under various cash flow stress scenarios.

The review of these transactions is based on information provided by the latest trustee reports.

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

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