Press Release

DBRS Assigns Rating to Jefferies Resecuritization Trust 2015-R1

RMBS
July 30, 2015

DBRS, Inc. (DBRS) has today assigned the following rating to the Resecuritization Trust Securities, Series 2015-R1 issued by Jefferies Resecuritization Trust 2015-R1 (the Trust):

-- $ 14.5 million Class A1 rated A (sf)

There is one group in this resecuritization trust. DBRS rates certificates from the Offered Securities, consisting of one seasoned senior residential mortgage-backed security (RMBS). The rating on the offered securities reflect the credit enhancement provided by subordination and the quality of the underlying assets.

Other than the class specified above, DBRS does not rate any other securities in this transaction.

Interest and principal payments on the securities will be made on the business day following the 25th of each month, commencing in August 2015. Interest payments will be distributed on a sequential basis. Principal payments will be distributed sequentially until the principal balances have been reduced to zero.

Losses on the underlying mortgage loans are not allocable to the underlying security and therefore will not be allocated to the offered securities. However, under certain loss scenarios, there may not be enough distributions on the underlying security to pay the offered securities all interest and principal amounts to which they are entitled.

The group is a resecuritization of one seasoned senior RMBS represented by a real estate mortgage investment conduit (REMIC). The REMIC is backed by a pool of seasoned subprime residential mortgages.

The rating assigned to the offered security addresses (1) the likelihood of the receipt by securityholders of all principal distributions to which such securityholders are entitled and (2) the likelihood of the receipt by securityholders 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 operative documents (as such interest received by the Trust may have been reduced as a result of any interest shortfalls allocated to the related underlying securities, and as such interest entitlement may be further reduced by the allocation of extraordinary trust expenses). For more details on the ratings, please refer to the offering and transaction legal documents.

DBRS ReREMIC METHODOLOGY EXCERPT:
Since a ReREMIC is a pass-through of interest, principal and losses from the underlying securities, its interest entitlement is usually capped at the actual interest amount collected on the underlying securities. In other words, a ReREMIC trust cannot pay out more interest than it receives from its collateral, and what is collected on the underlying securities can sometimes be as low as zero.

When rating ReREMICs, DBRS is assessing the ability of the trust making the full principal payment by the legal final maturity date of the transaction. These transactions typically define interest rate as the lesser of the bond coupon and the available interest funds. Hence, the DBRS rating does not provide an opinion on the timeliness or amount of interest payments the investor may receive. The trust’s only obligation is to pass through the interest proceeds net of fees from the underlying securities.

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

The applicable methodology is RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities 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.

The rating is endorsed by DBRS Ratings Limited for use in the European Union.

DBRS’s rating definitions and the terms of use of such ratings are available at www.dbrs.com.

Ratings

  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating