This study analyses the level of systematic risk for US mortgage portfolio securitisations based on the variation of default rates which cannot be explained by observed deterministic factors. Systematic risk is decomposed into general systemic risk, rating-class-specific systematic risk and their covariance structure. General systematic risk sensitivities increase from lower rating classes to medium rating classes and decreases to higher rating classes. Rating-class-specific systematic risk shows an opposite pattern. The methodology provides for more accurate probability of default and Value-at-Risk forecasts.