DBRS Downgrades U.S. RMBS Securities

DBRS has today downgraded select classes from 231 U.S. Residential Mortgage-Backed Securities (RMBS) transactions.

A majority of the downgrades are classes of debt backed by residential mortgages from pre-2007 vintages with the collateral consisting primarily of first-lien, fixed and adjustable-rate subprime and Alt-A products.

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

Additionally, the prolonged negative trend in the U.S. housing market and unemployment rates have contributed significantly to the increased default expectations in more seasoned vintages, as well as to 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 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:
DBRS' 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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