DBRS Confirms BBB (low) (sf) Rating to the TRS Referencing Bluegrass ABS CDO III, Ltd. Class A-1 Notes

DBRS has today confirmed the rating of BBB (low) (sf) to the total return swap (TRS) referencing Class A-1 Notes issued by Bluegrass ABS CDO III, Ltd. 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.

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 principal methodology is the Rating US & European Structured Finance CDO Restructurings, which can be found on our website under Methodologies.

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