DBRS Takes Rating Actions on U.S. ReREMIC Securities

DBRS reviewed all of its outstanding U.S. ReREMIC transactions rated through December 31, 2010. Of the 117 transactions reviewed, 53 classes were downgraded, 1880 classes were confirmed and 64 classes were discontinued due to repayment of the notes.

A majority of the ReREMIC transactions affected by the downgrades are backed by prime and Alt-A residential mortgages.

The rating actions taken reflect a combination of the recent updates to the U.S. RMBS Surveillance Methodology published in January 2011, 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.