The New York office of DBRS, a Toronto-based rating agency, has downgraded 298 classes from 63 residential mortgage-backed securitizations, citing serious delinquencies and losses in the collateral.First-lien collateral represents the primary backing for 227 of the downgraded classes and second-lien collateral is the primary support for the remaining 71 classes. In the classes backed primarily by second-lien collateral, "overcollateralization has been depleted in many transactions and excess spread continues to diminish," DBRS said. "Additionally in many cases subordinate classes have already been impaired, further weakening the available credit support for the remaining senior and mezzanine classes." Meanwhile, the classes backed primarily by first-lien collateral face the "potential for significant future losses" that are expected to erode excess spread to the point that wouldn't cover anticipated losses, the rating agency said.
