Dock Street Awarded Replacement Manager for Robeco High Grade CDO I, Ltd.

May 20, 2009 (Fitch Ratings): Fitch has reviewed Dock Street Capital Management (DSCM) as a potential collateralized debt obligation (CDO) replacement asset manager for Robeco High Grade CDO I, Ltd., and determined the manager’s capabilities to be consistent with the current ratings assigned to the transaction.

On April 29, 2009 Fitch was notified of a proposal to assign collateral management responsibilities for Robeco High Grade CDO I, Ltd. to DSCM.  Fitch’s initial and on-going rating of CDO transactions includes a review of the CDO asset manager to determine whether they meet the appropriate standards. Fitch’s review procedure for asset manager replacement is outlined in the special report entitled ‘CDO Asset Manager Replacement Activity Update’, dated April 24, 2009 and available on Fitch’s website at www.fitchratings.com.

DSCM is a newly formed asset manager specializing in distressed CDO management and other advisory services related to the structured credit market. DSCM’s staff were formerly part of KBC Structured Investment Management (KBC SIM), which was a wholly owned subsidiary of KBC Financial Products (KBC FP). DSCM has for the most part retained its previous systems and analytic tools, and organizational structure with experience in transaction structuring, asset valuation, cash flow analysis, documentation and credit analysis. While at KBC FP, the team was the core part of a group that managed a structured credit asset portfolio of over $13 billion. In addition to Robeco High Grade CDO I, Ltd, DSCM is in the process of being assigned two non-Fitch-rated distressed CDOs, with an aggregate balance totaling $2.195bn. DSCM also serves as a liquidation agent for trustees and other parties liquidating CDOs and portfolios of structured credit assets, and advises large institutional clients on disposition and remediation strategies.

Fitch emphasizes that the scope of its review was solely to determine that DSCM meets Fitch’s guidelines to manage Robeco High Grade CDO I within the context of Fitch’s stated review procedure for replacement managers. Furthermore, this review was in the context of the current management responsibilities associated with Robeco High Grade CDO I and the current ratings assigned to the CDOs by Fitch. It remains the exclusive responsibility of the noteholders, or LaSalle Bank, National Association acting as trustee on behalf of the noteholders, to perform their own risk analysis and determine if DSCM is acceptable to them to manage Robeco High Grade CDO I, Ltd.  Fitch is not a party to the transaction and therefore does not provide consent or approval, as that remains the sole preserve of the transaction parties.  Fitch expects to be notified by the trustee when or if the proposed assignment of asset management responsibilities is completed.

Robeco High Grade CDO I, is a high grade cash flow CDO that closed June 1, 2007.  The collateral portfolio consists of approximately 43.6% U.S. subprime residential mortgage backed securities (RMBS), 32.3% U.S. prime RMBS, and 24.1% U.S. structured finance CDOs as of the trustee report dated May 1, 2009. The asset manager maintains the ability to sell defaulted or otherwise distressed securities along with credit improved securities at any time. In addition, the asset manager may perform discretionary sales up to 15% per annum and reinvest amortization and credit risk sale proceeds from fixed rate collateral through July 2015.

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