DBRS Discontinues Rating on Notes Issued by Jay Street Market Value CLO I

DBRS, Inc. (DBRS) has today discontinued the rating on the Class A Variable Funding Notes Due 2016 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.

The rating action reflects repayment in full of the outstanding Class A Variable Funding Notes Due 2016. The DBRS ratings addressed 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).

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

The applicable 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 was 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 considered 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.

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