Press Release

DBRS Takes Rating Actions on U.S. RMBS Securities

RMBS
December 17, 2013

DBRS, Inc. has today taken rating actions on 492 classes from 132 U.S. RMBS transactions. Of the 492 ratings reviewed, 406 were confirmed, 40 classes were upgraded, 24 classes were downgraded, and 22 classes were set to Discontinued-Repaid due to a repayment of principal balances to noteholders.

The classes 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 classes 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, NIM, and ReREMIC transactions. A majority of the pools backing these transactions consist of primarily Prime, Subprime, and Alt-A 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.

Ratings

American General Mortgage Loan Trust 2009-1
Argent NIM Trust 2005-WN5
BCAP LLC 2009-RR3 Trust
BCAP LLC 2012-RR11 Trust
BCAP LLC 2012-RR12 Trust
BNC NIMS Trust 2007-3
Banc of America Funding 2011-SD1 Trust
Banc of America Funding 2012-R6 Trust
Bear Stearns Structured Products Inc. NIM Trust 2005-27
Bear Stearns Structured Products Inc. NIM Trust 2005-29
Bear Stearns Structured Products Inc. NIM Trust 2005-32
Bear Stearns Structured Products Inc. NIM Trust 2006-23
C-BASS 2004-CB4 Trust
C-BASS 2004-CB6 Trust
C-BASS 2004-CB7 Trust
C-BASS 2005-CB1 Trust
C-BASS 2005-CB3 Trust
C-BASS 2005-CB5 Trust
C-BASS 2005-CB7 Trust
C-BASS 2006-CB1 Trust
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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.