DBRS Downgrades 497 Classes from 122 RMBS Transactions

DBRS has today downgraded 497 classes from 122 Residential Mortgage-Backed Securities (RMBS) transactions.

A majority of these downgraded transactions are from the pre-2006 vintages. The collateral backing these transactions consists primarily of first-lien, fixed and adjustable-rate Subprime and Alt-A mortgages.

The classes have been downgraded as a result of the continued increase in serious delinquencies and losses relative to the available credit enhancement.

Additionally, the prolonged negative trend in the housing market and unemployment rates have contributed significantly to the increased default expectations in more seasoned vintages, as well as to the considerably lower prepayment expectations.

Given the combination of current delinquencies and corresponding potential significant losses, along with expectations for future delinquencies and defaults, current credit support is not expected to sufficiently cover the anticipated losses. In many cases, subordinate classes have already been impaired, further weakening the available credit support for the remaining senior and mezzanine classes.


Notes:
All figures are in U.S. dollars unless otherwise noted.

DBRS's rating definitions and the terms of use of such ratings are available at www.dbrs.com.

The applicable methodology is U.S. RMBS Surveillance, which can be found on our website under Methodologies.

DBRS's rating definitions and the terms of use of such ratings are available at www.dbrs.com.

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