DBRS Takes Rating Actions on U.S. RMBS Securities

DBRS, Inc. (DBRS) has today reviewed 398 classes from 43 U.S. residential mortgage-backed security (RMBS) transactions. Of the 398 classes reviewed, 63 were upgraded, 311 classes were confirmed, two classes were downgraded and 22 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 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. 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.