DBRS Takes Rating Actions on U.S. RMBS Securities

DBRS, Inc. has today taken rating actions on 442 classes from 25 U.S. RMBS transactions. Of the 25 transactions reviewed, 7 classes from 5 transactions were upgraded and 435 classes from 25 transactions were confirmed.

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