Press Release

DBRS Takes Rating Actions on U.S. RMBS Securities

RMBS
January 18, 2013

DBRS, Inc. (DBRS) has today taken rating actions on 598 classes from 109 U.S. RMBS transactions. Of the 109 transactions reviewed, 34 classes from 18 transactions were upgraded, 559 classes from 108 transactions were confirmed, 4 classes from 3 transactions were downgraded, and 1 class from 1 transaction was Discontinued-Repaid.

The transactions affected by the rating actions consist of U.S. RMBS, Seasoned, Non-Performing, 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.

Ratings

ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE1
ACE Securities Corp. Home Equity Loan Trust, Series 2005-RM1
ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP1
ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC3
ACE Securities Corp. Home Equity Loan Trust, Series 2007-HE2
Accredited Mortgage Loan Trust 2005-1
Ameriquest Mortgage Securities Inc. Series 2004-R9
Asset Backed Funding Corporation Series 2004-OPT5
Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2
Bayview Opportunity Master Fund II Trust 2010-1NPL
Bear Stearns Mortgage Funding Trust 2007-AR2
Bear Stearns Structured Products Inc. NIM Trust 2006-10
Bear Stearns Structured Products Inc. NIM Trust 2006-21
Bear Stearns Structured Products Inc. NIM Trust 2007-N1
Bear Stearns Structured Products Inc. NIM Trust 2007-N5
Bear Stearns Structured Products Inc. RAMP 2005-RZ4 NIM Trust, Series BSSP 2005-33
C-BASS 2006-CB3 Trust
C-BASS Mortgage Loan Trust 2007-CB2
CWABS Asset-Backed Certificates Trust 2006-SPS1
Citigroup Mortgage Loan Trust 2006-NC1
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  • 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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