DBRS Rates Jefferies Resecuritization Trust 2011-R1

DBRS has today assigned the following ratings to the Resecuritization Trust Certificates, Series 2011-R1 issued by Jefferies Resecuritization Trust 2011-R1 (the Trust).

-- $17.3 million Class 1-A1 rated at A (sf)
-- $33.4 million Class 2-A1 rated at A (sf)

There are two groups in this resecuritization trust. DBRS rates both groups, each consisting of one or two seasoned senior residential mortgage-backed securities (RMBS). The ratings on the certificates reflect the credit enhancement provided by subordination within each group. The ratings also reflect the quality of the underlying securities.

The ratings of DBRS assigned to asset-backed securities address (i) the likelihood of the receipt by certificateholders of all principal distributions to which such certificateholders are entitled and (ii) the likelihood of the receipt by certificateholders of the amount of interest actually received by the Trust to the extent payable to each class in accordance with the priorities described in the offering documents (as such interest received by the trust may have been reduced as a result of any interest shortfalls allocated to the related underlying certificates or any other cause, and as such interest entitlement may be further reduced by the allocation of Extraordinary Trust Expenses).

Within each DBRS-rated group, interest and principal payments on the certificates will generally be made one business day following the underlying distribution date (the 25th day of each month) commencing in June 2011. Interest payments will be distributed on a sequential basis to the certificates. Principal payments will also be distributed on a sequential basis to the certificates until their certificate principal balances have been reduced to zero.

Any losses realized from the underlying securities will be allocated reverse sequentially to the certificates within each group until their principal balances have been reduced to zero.

Each DBRS-rated group within the Trust is a resecuritization of one senior RMBS represented by one real estate mortgage investment conduit (REMIC). The REMIC trusts are backed by pools of prime or Alt-A, fixed- or adjustable-rate, first lien, one- to four-family residential mortgages.

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

The applicable methodology is Rating U.S. Residential Mortgage-Backed Securities Transactions, which can be found on the DBRS website under Methodologies.