DBRS Takes Rating Actions on U.S. RMBS Securities

DBRS, Inc. (DBRS) has today taken rating actions on 443 classes from 38 U.S. RMBS transactions. Of the 443 ratings reviewed, 425 classes were confirmed, 14 classes were upgraded, three classes were downgraded and one class was set to Discontinued-Repaid due to a repayment of principal balances to noteholders.

The rating actions mentioned above were partially in response to the DBRS press release on June 6, 2013 that placed 442 classes from 38 U.S. RMBS transactions under Review with Negative Implications (see link
http://www.dbrs.com/research/257911/dbrs-places-442-classes-from-38-u-s-rmbs-transactions-under-review-with-negative-implications for detail). Not all classes in the 38 transactions were impacted by the loss recognition error noted in the June 6, 2013 press release.

The transactions that have been upgraded exhibited positive performance trends that have led to increases in credit support sufficient to withstand stresses at their new rating level or are linked to the rating of corporate entities providing credit support to the tranche or transaction. For transactions where ratings have been confirmed, current asset performance and credit support levels have been consistent with the current ratings. 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 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 primarily by Prime, Alt-A, and Subprime residential pools.

Notes:
The applicable methodology are U.S. RMBS Surveillance Methodology 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.