DBRS Assigns BBB (sf) Rating to Potential IRS Termination Payments Re: Blue Edge ABS CDO Ltd.

DBRS has today assigned a rating of BBB (sf) to the Interest Rate Swap Termination
Payments including all the interest due (“Potential Termination Payments”) which may be owed to the interest rate swap counterparty (“Swap Counterparty”) under an Event of Default, where Blue Edge ABS CDO Ltd. (“Blue Edge”) is the sole defaulting party due to a Failure to Pay or Deliver as defined in section 5(a)(i) of the ISDA Master Agreement (“Agreement”) executed on December 7, 2006 between Blue Edge and the Swap Counterparty.

General Terms of the Interest Rate Swap Transaction:

Fixed Rate Payer: Blue Edge ABS CDO Ltd.
Trade Date: December 5, 2006
Effective Date: December 7, 2006
Termination Date: September 5, 2015
Initial Notional Amount: $299,200,000.00
Fixed Rate: 4.995%

The Potential Termination Payments benefits from being senior in the right of repayment to all Notes issued by Blue Edge.

The DBRS rating addresses only the ultimate payment in full of the Potential Termination Payment plus all interest due, as determined by the Applicable Rate defined in the Agreement, owed by the Fixed Rate Payer to the Floating Rate Payer if a Termination Event occurs on or before the Termination Date.

Blue Edge is collateralized primarily by a pool of Residential Mortgage Backed Securities (RMBS).

The principal methodology is Rating US & European Structured Finance CDO Restructurings, which can be found on our website under Methodologies.

This rating is based on information provided by the Swap Counterparty.

Note:
All figures are in dollars unless otherwise noted.