DBRS Takes Rating Actions on U.S. RMBS Securities

DBRS, Inc. (DBRS) has today reviewed 666 classes from 66 U.S. residential mortgage-backed security (RMBS) transactions. Of the 666 classes reviewed, 64 were upgraded, 578 classes were confirmed, three classes were downgraded and 21 classes were discontinued due to full principal repayment to the bondholders.

The rating upgrades reflect positive performance trends, and these classes 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 transactions consist of U.S. RMBS and re-securitization of real estate mortgage investment conduit (ReREMIC) transactions. The pools backing these transactions consist of prime, Alt-A and subprime 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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.