DBRS has downgraded 676 classes from 113 residential mortgage-backed securities transactions, reflecting higher serious delinquencies relative to the available credit enhancement. Among deals backed primarily by first-lien collateral, the Toronto-based rating agency said that given the potential for significant future losses, excess spread in the downgraded classes is not expected to cover anticipated losses. As a result, the principal balance of subordinate classes may suffer writedowns. Among second-lien transactions, DBRS said that the downgrades reflect the rapid deterioration in credit enhancement resulting from a significant increase in delinquencies and losses. That has depleted over-collateralization in many transactions.
Processing Content
