Press Release

DBRS Takes Rating Actions on U.S. ReREMIC Securities

RMBS
November 20, 2012

DBRS, Inc. has today taken rating actions on 49 classes from 20 U.S. ReREMIC transactions. Of the 20 transactions reviewed, 18 classes from 10 transactions were upgraded, 26 classes from 11 transactions were confirmed and 5 classes from 5 transactions were downgraded. All 49 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. ReREMIC transactions affected by the rating actions are backed by residential mortgage backed securities from primarily prime and Alt-A residential transactions.

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 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 have been consistent with the current rating. 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.

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

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

Ratings

CSMC Series 2011-14R
CSMC Series 2011-8R
Canvas Securitization LLC
Deutsche ALT-A Securities, Inc. Re-REMIC Trust, Series 2007-RS1
Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2009-RS6
Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2010-RS1
J.P. Morgan Resecuritization Trust, Series 2009-8
J.P. Morgan Resecuritization Trust, Series 2011-1
Jefferies Resecuritization Trust 2009-R9
Jefferies Resecuritization Trust 2010-R8
  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

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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