DBRS Rates Jefferies Resecuritization Trust 2011-R2

DBRS has today assigned the following ratings to the Resecuritization Trust Certificates, Series 2011-R2 issued by Jefferies Resecuritization Trust 2011-R2 (the Trust).

-- $9.2 million Class A-1 rated at A (sf)

This resecuritization trust consists of one seasoned senior residential mortgage-backed securities (RMBS). The rating on the certificate reflects the credit enhancement provided by subordination within the trust. 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 underlying certificate or any other cause, and as such interest entitlement may be further reduced by the allocation of Extraordinary Trust Expenses). The rating on the Class A-1 Certificate does not address the likelihood or frequency of the payment of Basis Risk Shortfall Amounts. For more details on the ratings, please refer to the offering and transaction legal documents.

Within this trust, 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 November 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.

For this transaction the trust is not the holder of record of the underlying certificate on October 31, 2011 and is not entitled to distributions in November 2011. Instead, the seller as the holder of record will be obligated to remit any amounts received in November 2011 to the Trustee. The transaction also has a fully funded reserve account (approx. 1 month’s interest) to cover the risk that the seller does not remit to the trust the first month distribution and pay the certificate holders the interest amounts they are entitled.

Losses on the Underlying Mortgage Loans are not allocable to the underlying certificate and
therefore will not be allocated to the offered certificates.

This Trust is a resecuritization of one senior RMBS represented by one real estate mortgage investment conduit (REMIC). The REMIC trust is backed by a pool of Alt-A, fixed-rate, first lien, one- to four-family residential mortgages.

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

The applicable methodology is RMBS Insight: U.S. Residential Mortgage-Backed Securities Loss Model and Rating Methodology, which can be found on our website under Methodologies.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link or by contacting us at info@dbrs.com.