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

DBRS has today confirmed its 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 amended on April 9, 2010, with a current notional amount of $192,000,000. 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 amended TRS benefits from approximately 81.9% 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 actions reflect (a) the improvement in credit quality of the underlying collateral pool since the transaction was initially assigned a DBRS rating on October 1, 2009 and (b) amendments to the transaction, including a decrease in the amount of 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 (CMBS) 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 methodology is Rating U.S. ABS CDO Restructurings Methodology, which can be found on our website under Methodologies.

This is a Structured Finance rating.