DBRS Takes Rating Actions on U.S. RMBS Securities

DBRS, Inc. has today taken rating actions on 44 classes from 34 U.S. Residential Mortgage-Backed Securities (RMBS) transactions. Of the 34 transactions reviewed, 32 classes from 22 transactions were confirmed and 12 classes from 12 transactions were discontinued due to repayment to note holders. Forty-two of 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).

For transactions where the rating has been confirmed, current asset performance and credit support levels were consistent with the current rating or linked to the rating of corporate entities providing credit support to the tranche or transaction.

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.