DBRS Places 442 Classes from 38 U.S. RMBS Transactions Under Review with Negative Implications

DBRS, Inc. has today placed 77 classes from 11 U.S. Residential Mortgage-Backed Securities (RMBS) transactions and 365 classes from 27 Re-Remic transactions Under Review with Negative Implications.

The outstanding securities are placed Under Review with Negative Implications because more than $1 Billion in losses were retroactively recognized on 170 U.S. Residential Mortgage Backed Securities (RMBS) by Ocwen Loan Servicing during the May remittance period. The losses represent principal forbearance modifications that were enacted by the previous servicer, Homeward Residential Inc., that were not properly recognized at the time they were issued. DBRS has reviewed its list of rated transactions and believes that the attached list of transactions are the only securities that will likely have their ratings impacted as a result of the significant increase in losses that were reported during in this period.

As the review process progresses, DBRS will disclose the subsequent rating actions and ratings taken on the outstanding classes. DBRS expects current ratings to be either confirmed or downgraded.

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.