DBRS Confirms BBB (low) (sf) Rating of the TRS Re: Grand Avenue CDO I, Ltd. Class A-1 Notes

DBRS has today confirmed the rating of BBB (low) (sf) to the total return swap (TRS) referencing Grand Avenue CDO I, Ltd.’s Class A-1 Notes. 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 Class A-1 Notes issued by Grand Avenue CDO I, Ltd. are collateralized by a pool of underlying assets that consists of collateralized debt obligations (CDOs), U.S. commercial mortgage-backed securities (CMBS) and U.S. residential mortgage-backed securities (RMBS), 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 Grand Avenue CDO I, Ltd. This rating is being provided at the request of the majority Class A-1 Noteholder.

The primary 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.