Press Release

DBRS Takes Rating Actions on U.S. RMBS Securities

RMBS
January 24, 2012

DBRS, Inc. has today taken rating actions on 2,034 classes from 305 U.S. Residential Mortgage-Backed Securities (RMBS) transactions. Of the 2,034 classes reviewed, 198 RMBS classes from 89 transactions were downgraded, 66 classes from 47 transactions were upgraded and the ratings of 1,770 classes from 304 transactions were confirmed. These classes were also removed from Under Review with Developing Implications (see “DBRS Places 6,566 Classes from 576 U.S. RMBS Transactions Under Review”, published on January 23, 2012).

A majority of the U.S. RMBS transactions affected by the rating actions are backed by residential mortgages from collateral consisting primarily of subprime, prime and Alt-A products.

The rating actions are a result of DBRS applying its updated U.S. RMBS Surveillance methodology dated January 23, 2012. The methodology describes the application of the DBRS RMBS Insight model in the surveillance process (see “RMBS Insight: U.S. Residential Mortgage-Backed Securities Loss Model and Rating Methodology” on www.dbrs.com).

The downgrades taken reflect a combination of the continued erosion of credit support in these transactions as a result of negative trends in delinquency and projected loss activity. The transactions that have been upgraded have exhibited positive performance trends and experienced increases in credit support sufficient to withstand stresses at their new rating level or linked to the rating of corporate entities providing credit support to the tranche or transaction. For transactions where the rating has been confirmed, current asset performance and credit support levels were consistent with the current rating.

The principal methodologies applicable are U.S. RMBS Surveillance Methodology, dated January 2012 and RMBS Insight: U.S. Residential Mortgage-Backed Securities Loss Model and Rating Methodology, dated January 2012, which can be found on our website under Methodologies.

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

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-ASAP1
ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE4
ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC3
ACE Securities Corp. Home Equity Loan Trust, Series 2007-HE2
ACE Securities Corp. Home Equity Loan Trust, Series 2007-WM1
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
Accredited Mortgage Loan Trust 2006-1
Aegis Asset Backed Securities Trust 2005-2
Aegis Asset Backed Securities Trust 2005-3
Alliance NIM Trust 2007-OA1
Ameriquest Mortgage Securities Inc. Series 2004-R11
Ameriquest Mortgage Securities Inc. Series 2004-R7
Ameriquest Mortgage Securities Inc. Series 2004-R8
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  • U = UK endorsed
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