DBRS Takes Rating Actions on U.S. RMBS Securities

DBRS, Inc. has today taken rating actions on 616 classes from 27 U.S. RMBS transactions. Of the 27 transactions reviewed, 135 classes from 7 transactions were upgraded, 245 classes from 26 transactions were confirmed and 61 classes from 17 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). Of the classes confirmed, 6 classes from 2 transactions will be set to Discontinued-Repaid due to repayment of principal balance to noteholders. In addition, 175 classes from 1 transaction will remain on Under Review with Developing Implications while DBRS seeks clarification from the trustee regarding historical performance metrics.

The transactions affected by the rating actions consist of U.S. RMBS, ReREMIC, Seasoned, NIM and Synthetic transactions. A majority of these transactions affected by the rating actions are backed by primarily prime, Alt-A, and subprime residential pools.

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.