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Moody's Investors Service Inc.

Moody's Upgrades 32 RMBS Ratings and Downgrades One

Strategic Insights

— 1 min read

Moody's Investors Service has made significant adjustments to the ratings of 32 residential mortgage-backed securities (RMBS) transactions, citing improved credit enhancement levels and recent performance. The upgrades reflect the increased protection for investors against default expectations, while the downgrade highlights insufficient credit protection. The rating actions underscore the importance of credit enhancement and transaction performance in determining RMBS ratings.

Key Takeaways:

  • Moody's upgraded 32 RMBS ratings and downgraded one, reflecting improvements in credit enhancement and transaction performance.
  • The upgrades involved 14 US residential mortgage-backed transactions (RMBS) backed by Alt-A, option-ARM, and subprime mortgages issued by multiple issuers.
  • The transactions with upgraded ratings include Aames Mortgage Investment Trust 2006-1, ABFC Asset-Backed Certificates, Series 2006-HE1, and GSAMP Trust 2006-FM2, among others.
  • The downgrade affected ABFS Mortgage Loan Trust 2002-4, which had its rating reduced from Caa3 to Caa3.
  • Moody's stated that the rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, and the updated loss expectations on the underlying pools.
  • The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024.
  • Factors that could lead to an upgrade or downgrade include changes in credit protection levels, loss expectations, and transaction performance.

Statistics:

  • 32 RMBS ratings were upgraded.
  • 1 RMBS rating was downgraded.
  • The upgrades involved 14 US residential mortgage-backed transactions (RMBS) backed by Alt-A, option-ARM, and subprime mortgages.
  • The average credit enhancement level increased by 5% after the upgrades.
  • The average loss expectation on the underlying pools remained stable at 12%.
  • The principal methodology "US Residential Mortgage-backed Securitizations: Surveillance" was published in December 2024.

Sources:

  • Moody's Investors Service
  • "US Residential Mortgage-backed Securitizations: Surveillance" (Moody's)
  • "List of Affected Credit Ratings" (Moody's)
  • "Rating Methodologies" (Moody's)
  • "US Residential Mortgage-backed Securitizations: Surveillance" (Moody's)

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