DBRS Upgrade the Amended TRS Re: Gloucester Street ABS CDO I, Ltd. Class A-1 Notes

DBRS, Inc. (“DBRS”) has today upgraded the rating on the total return swap (TRS) referencing the Class A-1 Notes issued by Gloucester Street ABS CDO I, Ltd from BBB (low) (sf) to A (low) (sf). The rating action reflects improved credit quality and performance of the underlying collateral pool and increased credit enhancement levels. 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 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.