DBRS Confirms and Removes from UR-Dev the rating on TRS Re: Gloucester Street ABS CDO I, Ltd.

DBRS, Inc. (“DBRS”) has today confirmed the rating of BBB (low) on the amended total return swap (TRS) notional balance of $225,000,000 referencing the Class A-1 Notes issued by Gloucester Street ABS CDO I, Ltd. The rating action reflects improved credit quality and performance of the underlying collateral pool and increased credit enhancement levels. In addition, the rating action addresses changes made to the transaction pursuant to the amendment dated November 16, 2012. 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 rating has also been removed from the Under Review with Developing Implications designation. This action reflects the conclusion of the review to determine the impact of the updated methodology “Rating Global Structured Finance CDO Restructurings”.

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

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