Press Release

DBRS Downgrades U.S. RMBS Securities

RMBS
July 30, 2010

DBRS has today downgraded select classes from 231 U.S. Residential Mortgage-Backed Securities (RMBS) transactions.

A majority of the downgrades are classes of debt backed by residential mortgages from pre-2007 vintages with the collateral consisting primarily of first-lien, fixed and adjustable-rate subprime and Alt-A products.

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

Additionally, the prolonged negative trend in the U.S. housing market and unemployment rates have contributed significantly to the increased default expectations in more seasoned vintages, as well as to 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 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:
DBRS' 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
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:A (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
ACE Securities Corp. Home Equity Loan Trust, Series 2005-RM1
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:BBB (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP1
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:BBB (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:BB (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE2
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:BBB (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:B (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE4
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC3
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
ACE Securities Corp. Home Equity Loan Trust, Series 2007-HE2
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
ACE Securities Corp. Home Equity Loan Trust, Series 2007-WM1
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
Accredited Mortgage Loan Trust 2006-1
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
Ameriquest Mortgage Securities Inc. Series 2004-R11
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
Ameriquest Mortgage Securities Inc. Series 2004-R7
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:A (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:BBB (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
Ameriquest Mortgage Securities Inc. Series 2004-R8
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
Ameriquest Mortgage Securities Inc. Series 2004-R9
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:BBB (low) (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
Ameriquest Mortgage Securities Inc., Series 2005-R2
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:BBB (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
Argent Securities Inc. Series 2004-W11
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:BB (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:B (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
Argent Securities Inc. Series 2005-W4
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:BB (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:B (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
Asset Backed Funding Corporation Series 2004-OPT5
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:BBB (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:BBB (low) (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
Asset Backed Securities Corporation Home Equity Loan Trust, Series AMQ 2006-HE7
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:BBB (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:BB (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:B (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
BCAP LLC Trust 2007-AA1
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Jul 30, 2010
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
Show More Issuers
  • 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
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  • 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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DBRS Downgrades U.S. RMBS Securities

Jul 30, 2010

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