Moody's Upgrades Ratings of 14 US Residential Mortgage-Backed Transactions

Strategic Insights -

Moody's Investors Service has issued a press release announcing the upgrade of ratings for 14 US residential mortgage-backed transactions, backed by second liens and scratch & dent mortgages issued by multiple issuers. The affected transactions include bonds from Bear Stearns Mortgage Funding Trust, Bear Stearns Second Lien Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Citigroup Mortgage Loan Trust, CWABS Asset-Backed Certificates Trust, and IndyMac Home Equity Mortgage Loan Asset-Backed Trust. The upgrades reflect the current levels of credit enhancement available to the bonds, recent performance, and analysis of the transaction structures. Moody's has also provided a comprehensive review of all credit ratings for the respective transactions and conducted a rating committee to determine the complete rating actions.

Key Takeaways:

  • 14 US residential mortgage-backed transactions have been upgraded by Moody's Investors Service
  • The upgrades are based on the current levels of credit enhancement available to the bonds, recent performance, and analysis of the transaction structures
  • Affected transactions include bonds from Bear Stearns Mortgage Funding Trust, Bear Stearns Second Lien Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Citigroup Mortgage Loan Trust, CWABS Asset-Backed Certificates Trust, and IndyMac Home Equity Mortgage Loan Asset-Backed Trust
  • The upgrades reflect the reduced expected losses on the underlying pools, as well as the increased credit enhancement available to the bonds
  • The rating actions were determined through a comprehensive review of all credit ratings for the respective transactions and a rating committee
  • Moody's has also provided information on the underlying collateral losses and the associated underlying collateral losses

Statistics:

  • 14 US residential mortgage-backed transactions have been upgraded by Moody's Investors Service
  • 10 US residential mortgage-backed transactions are from multiple issuers
  • The upgrades are based on the current levels of credit enhancement available to the bonds, recent performance, and analysis of the transaction structures
  • The upgraded ratings range from Caa1 to Caa3
  • 10 of the upgraded transactions have had a change in financial guarantor ratings, with Ambac Assurance Corporation (Segregated Account - Unrated) having the most significant upgrades
  • Moody's has conducted a comprehensive review of all credit ratings for the respective transactions, resulting in 10 upgrades and 4 non-rated classes

Sources:

  • Moodys.com, "Moody's Releases Research on US Residential Mortgage-Backed Securitizations: Surveillance"
  • Moodys.com, "List of Affected Credit Ratings" - https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL506905
  • Moodys.com, "Rating Methodologies" - https://ratings.moodys.com
  • Moody's Investors Service, "US Residential Mortgage-backed Securitizations: Surveillance" - published in December 2024