Press Release
DBRS Downgrades U.S. RMBS Securities
RMBSDBRS has today downgraded select classes from 46 U.S. Residential Mortgage-Backed Securities (RMBS) transactions.
A majority of the transactions affected by the downgrades are 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 2006-ASAP1
ASG Resecuritization Trust 2009-1
Alliance NIM Trust 2007-OA1
Ameriquest NIM Trust 2006-M3
BCAP LLC 2008-RR2 Trust
Bear Stearns Structured Products Inc. NIM Trust 2006-24
Bear Stearns Structured Products Inc. NIM Trust 2007-N2
Bear Stearns Structured Products Inc. RAMP 2004-RZ4 NIM Trust, Series BSSP 2005-25
C-BASS 2005-CB8 Trust
CHL Mortgage Pass-Through Trust Resecuritization 2008-3R
CSMC Series 2007-3R
CSMC Series 2008-2R
CSMC Series 2009-3R
CWALT, Inc. Alternative Loan Trust 2005-60T1
CWALT, Inc. Alternative Loan Trust 2006-6CB
Citigroup Mortgage Loan Trust 2008-2
Citigroup Mortgage Loan Trust 2008-3
Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-10
Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2007-1
DSLA NIM CI-3 Corp.
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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Methodology Used:
