DBRS Assigns Rating to Notes Issued by Jay Street Market Value CLO I

DBRS, Inc. (DBRS) has today published a new rating on certain classes of notes issued by Jay Street Market Value CLO I Ltd. (the Issuer) and Jay Street Market Value CLO I Inc. (together, the Co-Issuers) pursuant to the Indenture dated April 11, 2006:

• $210,000,000 Class A Variable Funding Notes Due 2016 at A (sf).

The DBRS ratings address the Co-Issuers’ ability to make timely payments of interest and ultimate payment of principal on or before the Stated Maturity (as defined in the Indenture). The rating reflects the following:

(1) The Indenture dated April 11, 2006, as well as other ancillary documentation;

(2) The integrity of the transaction structure;

(3) DBRS’s assessment of the portfolio market value risk;

(4) Adequate credit enhancement to withstand projected collateral loss rates under market value stress scenarios; and

(5) DBRS’s assessment of the CLO management capabilities of DA Capital LLC as the Manager for the Issuer.

The principal methodology is Rating Global CDOs and CLOs of Large Corporate Credit, which can be found on our website under Methodologies. In this transaction, the market value liquidation mechanics are the primary risk to this Note holders, as credit deterioration and defaults would cause significant pressure on the market value overcollateralization (OC) test above and beyond a standard par OC test mechanism. To assess the risk to the Notes, a Monte Carlo simulation model was constructed based on historical daily price data for loans and bonds and conservative assumptions around the liquidation value of other collateral in the transaction. The simulated collateral pool was based on the industry and obligor covenants from the transaction for loans and bonds as well as historical observed levels for other assets. DBRS considers the advance rates present in the transaction as well as the structural mechanics regarding market value and liquidation sufficient to pass DBRS stresses at an A (sf) level.

DBRS observed that the manager has a demonstrated history of maintaining a higher OC level than required and has made minimal use of many potential collateral types. DBRS may accelerate review of the ratings in the case that there are significant changes to portfolio composition or management strategy.

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