Fitch Rates Jefferies Resecuritization Trust 2010-R4, Resecuritization Trust Certs, Series 2010-R4

NEW YORK--(BUSINESS WIRE)--Fitch rates Jefferies Resecuritization Trust 2010-R4, Resecuritization Trust Certificates, series 2010-R4. A full rating list is shown below.

This transaction contains certain classes designated as Initial Exchangeable certificates and others as Exchangeable Certificates. For Group 1, classes 1-A1 and 1-A4 are Initial Exchangeable Certificates, and classes 1-A2, 1-A3, 1-A5 and 1-A6 are Exchangeable Certificates.

This transaction consists of four non-crossed groups. Fitch did not rate group 2, 3 and 4. Each group is a resecuritization of an ownership interest in one or more mortgage-backed certificates. As resecuritizations, the certificates will receive their cash-flow from the underlying classes of certificates. The Fitch-rated group is backed by conventional Prime first-lien mortgage loans. The group-to-bond association for the Fitch-rated group is as follows:

Group 1 represents a 23.35% interest in the Wells Fargo Mortgage Backed Securities 2006-12 Trust, class A-3 certificate. Fitch's rating for the 1-A1, 1-A2 and 1-A3 is based on the credit enhancement provided by the structural support on the underlying transaction and by the 29.00% class 1-A4 bond. Fitch ran various prepayment speeds and loss timing scenarios in its analysis of the deal structure. This analysis was done in order to ensure that the cashflow to the senior bond rated by Fitch would not be exposed to losses as a result of potential alternative stress scenarios. Other key rating drivers are the underlying pool's performance as well as its collateral characteristics, such as product type and geographic concentration. The underlying collateral pool consisted of 100% 30-year fixed rate loans with a weighted average (WAVG) original FICO of 739 and a WAVG original combined loan to value ratio of 79.00%. The top three state concentrations are CA (34.5%), VA (6.8%) and NY (6.2%). The pool is currently 10% delinquent with an average net monthly roll of 0.84% as of July 25, 2010.

Fitch has rated Jefferies Resecuritization Trust 2010-R4, Resecuritization Trust Certificates, series 2010-R4, as follows:

Group 1 Certificates
--$31,240,000 class 1-A1 'Asf'; Outlook Stable;
--$28,116,000 class 1-A2 'Asf'; Outlook Stable;
--$3,124,000 class 1-A3 'Asf'; Outlook Stable;
--$12,760,000 class 1-A4 not rated;
--$31,240,000 notional class 1-A5 'Asf'; Outlook Stable;
--$12,760,000 class 1-A6 not rated

Additional information is available at www.fitchratings.com.

Sources of information:
In addition to the information sources identified in the criteria listed below, Fitch's analysis incorporated information from the LoanPerformance database including underlying loan level information, and from Intex for the underlying bond structure. The re-REMIC structure was provided by Jefferies & Company, Inc.

Related Research:

--'Global Structured Finance Rating Criteria,' dated Aug. 13, 2010;
--'U.S. RMBS Rating Criteria,' dated Dec. 3, 2009;
--'U.S. Residential Mortgage Re-REMIC Criteria,' dated March 8, 2010.

Related Research:
U.S. RMBS Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=489970
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=547326
U.S. Residential Mortgage Re-REMIC Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=503106

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