Press Release

DBRS Takes Rating Actions on U.S. ReREMIC Securities

RMBS
December 28, 2012

DBRS, Inc. has today taken rating actions on 487 classes from 46 U.S. ReREMIC transactions. Of the 46 transactions reviewed, 229 classes from 28 transactions were upgraded, 186 classes from 38 transactions were confirmed and 72 classes from 11 transactions were downgraded. The 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.

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.

Ratings

ASG Resecuritization Trust 2009-2
ASG Resecuritization Trust 2010-1
BCAP LLC 2010-RR1 Trust
BCAP LLC 2010-RR10 Trust
BCAP LLC 2010-RR6 Trust
BCAP LLC 2011-RR10 Trust
BCAP LLC 2011-RR12 Trust
BCAP LLC 2011-RR2 Trust
BCAP LLC 2011-RR3 Trust
BCAP LLC 2011-RR6 Trust
BCAP LLC 2011-RR9 Trust
Banc of America Funding 2010-R8 Trust
Bank of Internet Resecuritization Trust 2008-1
CSMC Series 2007-3R
CSMC Series 2008-2R
CSMC Series 2010-12R
CSMC Series 2010-1R
CSMC Series 2010-4R
CSMC Series 2011-16R
CSMC Series 2011-17R
Show More Issuers
  • 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.