DBRS Takes Rating Actions on U.S. RMBS Securities

DBRS, Inc. (DBRS) has today taken rating actions on 765 classes from 46 U.S. RMBS transactions. Of the 765 ratings reviewed, 680 were confirmed, 45 classes were upgraded, 25 classes were downgraded and 15 classes were set to Discontinued-Repaid due to a repayment of principal balances to noteholders.

The transactions were reviewed in response to approximately $1 Billion in losses that were retroactively recognized on certain U.S. RMBS transactions serviced by Nationstar Mortgage LLC. The losses represent principal forbearance modifications that were enacted by the previous servicer, Aurora Loan Services LLC, which were not previously categorized as losses. DBRS analysis and resulting rating actions reflect the transaction performance to date and also the additional losses that were passed through retroactively in the July and early August remittances.

Generally, 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, and ReREMIC transactions. A majority of the pools backing these transactions consist of primarily Prime, Alt-A. and Subprime residential loans

Notes:
The applicable methodologies 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.

These ratings are endorsed by DBRS Ratings Limited for use in the European Union.