DBRS Slashes Ratings on 231 Non-Prime RMBS Deals
Independent rating agency DBRS downgraded certain classes within 231 residential mortgage-backed security (RMBS) deals. Most of the downgrades involve pre-2007 vintages backed by primarily first-lien fixed- and adjustable-rate subprime and Alt-A collateral. DBRS said it downgraded the classes because of continued increases in serious delinquencies and losses relative to available credit enhancement levels. "Additionally, the prolonged negative trend in the US 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," DBRS said in regard to the downgrades. Current credit support is not likely to cover anticipated losses under expected future default and delinquency volumes. Subordinate classes in many cases have already been impaired, putting pressure on available credit support for senior and mezzanine classes, DBRS said. The rating agency lists the RMBS issuers involved with the downgrades on its website. Write to Diana Golobay.