DBRS Downgrades and Removes from UR-Developing the Rating on the TRS Re: Grand Avenue CDO I, Ltd

DBRS, Inc. (“DBRS”) has today downgraded the rating on the total return swap (TRS) referencing Grand Avenue CDO I, Ltd.’s Class A-1 Notes from BBB (low) to BB (sf). The rating action reflects the recent performance of the underlying transaction. 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 Global Structured Finance CDO Restructurings, which can be found on our website under Methodologies.

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