DBRS Takes Rating Actions on U.S. RMBS Securities

DBRS, Inc. (DBRS) has today taken rating actions on 2,991 classes from 313 U.S. RMBS transactions. Of the 313 transactions reviewed, 21 classes from 18 transactions were upgraded, 2,952 classes from 313 transactions were confirmed, 17 classes from 5 transactions were downgraded, and 1 class from 1 transaction was set to Discontinued-Repaid. One of the confirmed classes was 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) and will be set to Discontinued-Repaid due to repayment of principal balance to noteholders.

The transactions affected by the rating actions consist of U.S. RMBS, ReREMIC, and NIM 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.

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.