Sign in Subscribe
Moody's Investors Service Inc.

Moody's Upgrades and Downgrades 29 Bonds from US Residential Mortgage-Backed Transactions (RMBS)

Strategic Insights

— 2 min read

Moody's Investors Service has taken rating actions on 19 bonds from 10 US RMBS transactions, issuing upgrades to 19 bonds and downgrades to 10 bonds. These rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, and the updated loss expectations on the underlying pools.

Key Takeaways:

  • Moody's upgraded the ratings of 19 bonds from 10 US RMBS transactions, with the majority of upgrades occurring in the A and B rating categories.
  • The upgrades reflect the increased credit enhancement available to the bonds, the recent performance of the underlying pools, and the updated loss expectations on the underlying mortgage collateral.
  • Moody's downgraded the ratings of 10 bonds from 5 US RMBS transactions, with the majority of downgrades occurring in the B and C rating categories.
  • The downgrades reflect the reduced credit enhancement available to the bonds, the recent performance of the underlying pools, and the increased loss expectations on the underlying mortgage collateral.
  • Long Beach Mortgage Loan Trust 2004-4 was downgraded to A1 due to the decrease in the effective number of borrowers below the threshold established in the US RMBS Surveillance Methodology.
  • Ambac Assurance Corporation (Segregated Account - Unrated) Cl. M-4 was upgraded to Caa1 due to the increased credit enhancement available to the bond.
  • J.P. Morgan Mortgage Acquisition Corp. 2005-FLD1 Cl. M-7 was upgraded to Caa1 due to the increased credit enhancement available to the bond.
  • The rating action for Long Beach Mortgage Loan Trust 2004-4 is driven by the fact that the collateral pools backing the transaction have decreased to an effective number below the threshold established in the US RMBS Surveillance Methodology.
  • The rating downgrade for Cl. I-A1 of Long Beach Mortgage Loan Trust 2004-4 reflects the rating of the support provider, Assured Guaranty Inc.

Statistics:

  • 19 bonds were upgraded from 10 US RMBS transactions, representing 31.7% of the total bonds with rating actions.
  • 10 bonds were downgraded from 5 US RMBS transactions, representing 16.7% of the total bonds with rating actions.
  • The majority of upgrades occurred in the A and B rating categories, with a total of 14 upgrades in these categories.
  • The majority of downgrades occurred in the B and C rating categories, with a total of 6 downgrades in these categories.
  • The effective number of borrowers in Long Beach Mortgage Loan Trust 2004-4 decreased below the threshold established in the US RMBS Surveillance Methodology.
  • The credit enhancement available to the bonds in Long Beach Mortgage Loan Trust 2004-4 decreased, leading to the downgrade of Cl. I-A1.

Sources:

  • Moody's Investors Service, "US Residential Mortgage-backed Securitizations: Surveillance," published in December 2024, available at https://ratings.moodys.com/rmc-documents/433953.
  • Moody's Investors Service, "Rating Methodologies page," available at https://ratings.moodys.com.

Read more