DBRS Takes Rating Actions on U.S. RMBS and ReREMIC Securities

DBRS has today taken rating actions on 188 U.S. Residential Mortgage-Backed Securities (RMBS) and ReREMIC transactions. Of the 188 transactions reviewed, 171 comprise RMBS and 17 comprise ReREMIC transactions, respectively. As a result of the review, 415 RMBS classes were downgraded, 309 classes were confirmed, and 31 classes were discontinued due to repayment of the notes. In addition, 66 ReREMIC classes were downgraded.

A majority of the RMBS transactions affected by the downgrades are backed by residential mortgages from pre-2006 vintages with the collateral consisting primarily of first-lien, fixed and adjustable-rate prime and subprime and Alt-A products. A majority of the ReREMIC transactions affected by the downgrades are backed by prime and Alt-A products.

The rating actions taken reflect a combination of the recent updates to the U.S. RMBS Surveillance Methodology published earlier today, which is found by accessing the link below. The updates relate to loss severity, default timing curves and the number of cash flow stress scenarios run, which are based on a combination of prepayment speeds, interest rates and loss timing.

Additionally, the negative rating actions reflect the prolonged negative trend in the U.S. housing market and unemployment rates, which have contributed significantly to the increased default expectations in more seasoned vintages and significantly 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, dated April 2009, which can be found on our website under Methodologies.

The press release providing detail on the updated assumptions and additional cash flow scenarios is available by clicking on the link below or by contacting us at info@dbrs.com.