DBRS Confirms Rating on the Notes Issued by Jay Street Market Value CLO I and Removes Status from Under Review with Positive Implications

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

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).

DBRS has also removed the Under Review with Positive Implications status from the Notes. The rating action reflects the conclusion of the impact review of the updates to the “Rating CLOs and CDOs of Large Corporate Credit” methodology. Updates to the methodology include (a) additional recovery rates for non-investment-grade rating categories and (b) minor updates to country tiers.

In this transaction, market value liquidation mechanics are the primary risk to the noteholders, 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 to be sufficient to pass DBRS stresses at an A (sf) level.

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

The applicable methodology is Rating CLOs and CDOs of Large Corporate Credit (April 2015), which can be found on our website under Methodologies.

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

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.