Press Release

DBRS Downgrades 497 Classes from 122 RMBS Transactions

RMBS
December 18, 2009

DBRS has today downgraded 497 classes from 122 Residential Mortgage-Backed Securities (RMBS) transactions.

A majority of these downgraded transactions are from the pre-2006 vintages. The collateral backing these transactions consists primarily of first-lien, fixed and adjustable-rate Subprime and Alt-A mortgages.

The classes have been downgraded as a result of the continued increase in serious delinquencies and losses relative to the available credit enhancement.

Additionally, the prolonged negative trend in the housing market and unemployment rates have contributed significantly to the increased default expectations in more seasoned vintages, as well as to the considerably lower prepayment expectations.

Given the combination of current delinquencies and corresponding potential significant losses, along with expectations for future delinquencies and defaults, current credit support is not expected to sufficiently cover the anticipated losses. In many cases, subordinate classes have already been impaired, further weakening the available credit support for the remaining senior and mezzanine classes.

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

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

The applicable methodology is U.S. RMBS Surveillance, which can be found on our website under Methodologies.

Ratings

ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4
ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE1
ACE Securities Corp. Home Equity Loan Trust, Series 2005-RM1
ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE2
ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC3
Accredited Mortgage Loan Trust 2004-4
Accredited Mortgage Loan Trust 2005-1
Accredited Mortgage Loan Trust 2005-2
Accredited Mortgage Loan Trust 2005-3
Accredited Mortgage Loan Trust 2005-4
Aegis Asset Backed Securities Trust 2005-2
Aegis Asset Backed Securities Trust 2005-3
Ameriquest Mortgage Securities Inc. Series 2004-R11
Ameriquest Mortgage Securities Inc. Series 2004-R7
Ameriquest Mortgage Securities Inc. Series 2004-R8
Ameriquest Mortgage Securities Inc. Series 2004-R9
Ameriquest Mortgage Securities Inc., Series 2005-R2
Argent Securities Inc. Series 2004-W11
Argent Securities Inc. Series 2005-W4
Asset Backed Funding Corporation Series 2004-OPT5
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  • 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

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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