DBRS Assigns BBB (low) Rating to TRS Referencing Lincoln Avenue ABS CDO, Ltd. Class A-1 Notes

DBRS has today assigned a 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 a current notional amount of $82,860,028. 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 TRS benefits from approximately 92.2% 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.

The applicable public methodologies are The CDO Toolbox Methodology and Rating U.S. ABS CDO Restructurings Methodology which can be found on our website under Methodologies.

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

This is a Structured Finance rating.