DBRS RMBS ratings now includes loan-level default data

Ratings agency DBRS enhanced its loss model and rating methodology for residential mortgage-backed securities this week to include RMBS Insight, which measures default probability statistics at the loan level. The method that DBRS rolled out is similar to its old RMBS rating method, except for its inclusion of  loan level data. This updated methodology includes scoring methods for both originators and mortgage servicers. RMBS Insight provides data on loan-level default probability, loss severity and expected losses on pools of mortgages. The product provides analytics on newly originated loans, seasoned loans, liquidating trusts, as well as the resecuritizations of real estate mortgage investment conduits, swap termination payments and securitizations of government-guaranteed loans. The final rating method was published by DBRS Oct. 11. The company is currently requesting comments. Write to Kerri Panchuk.

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