DBRS Takes Rating Action on U.S. RMBS Securities
RMBSDBRS has today reviewed 177 classes from 42 U.S. residential mortgage-backed security (RMBS) transactions. Of the 177 classes reviewed, 126 classes were upgraded, 50 classes were confirmed and one class was downgraded. Of the confirmed classes, one of the classes was placed as Discontinued – Repaid, due to full principal repayment to bondholders. All of the classes reviewed were also removed from Under Review with Developing Implications (see “DBRS Publishes Updated U.S. RMBS Surveillance Methodology and Places Ratings Under Review with Developing Implications,” published on March 3, 2014).
The transactions that have been upgraded have exhibited positive performance trends and have experienced increases in credit support sufficient to withstand stresses at their new rating level. For transactions where the rating has been confirmed, current asset performance and credit support levels have been consistent with the current rating. 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 rating actions are the result of DBRS applying its updated U.S. RMBS Surveillance Methodology and RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology.
The transactions affected by the rating actions consist of U.S. ReREMIC transactions. The majority of the pools backing these transactions consist primarily of prime and Alt-A residential loans.
Notes:
The applicable methodologies are U.S. RMBS Surveillance Methodology and RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities 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.
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