DBRS Rates TRS Referencing Lincoln Avenue ABS CDO, Ltd. Class A-1 Notes

DBRS has today assigned a point in time rating of BBB (low) to the total return swap (TRS) referencing Lincoln Avenue ABS CDO, Ltd.’s Class A-1 Notes, pursuant to the transaction documents dated April 28, 2009, with an initial notional amount of $92 million. The transaction documents include the TRS and a commitment letter evidencing the transfer of early termination payments under the Lincoln Avenue ABS CDO, Ltd. interest rate hedge agreement to the Class A-1 Noteholder. The notional of the TRS is equal to 9% of the principal amount of the Class A-1 Notes in March 2009. The TRS benefits from 91% subordination from the referenced Class A-1 Notes and payments under the commitment letter (the Credit Enhancement). 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 Lincoln Avenue ABS CDO, Ltd. Class A-1 Notes are collateralized by a pool of underlying assets that consists of collateralized debt obligations (CDOs), U.S. commercial mortgage-backed securities 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 Lincoln Avenue ABS CDO, Ltd. This rating is being provided at the request of the majority Class A-1 Noteholder.

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

The applicable public methodologies are DBRS CDO Toolbox methodology, which can be found on our website under Methodologies, as well as DBRS’s internal Rating U.S. ABS CDO Restructurings Methodology, which outlines DBRS approach to analyzing asset-backed securities (ABS) CDO restructurings in terms of portfolio, legal and cash flow analysis.

This is a Structured Finance rating.