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Moody's Investors Service Inc.

Moody's Upgrades Ratings of 22 US Residential Mortgage-backed Transactions

Strategic Insights

— 2 min read

Moody's Investors Service has issued a rating upgrade for 22 bonds from 11 US residential mortgage-backed transactions (RMBS) backed by Option ARM mortgages issued by multiple issuers. The rating actions reflect the current levels of credit enhancement available to the bonds, recent performance, analysis of the transaction structures, updated loss expectations on the underlying pools, and revised loss-given-default expectations for each bond. This rating action has been conducted as part of a comprehensive review of all credit ratings for the respective transactions.

Key Takeaways:

  • Moody's upgraded the ratings of 22 bonds from 11 US RMBS transactions backed by Option ARM mortgages, issued by multiple issuers.
  • The rating actions reflect the current levels of credit enhancement available to the bonds, recent performance, analysis of the transaction structures, updated loss expectations on the underlying pools, and revised loss-given-default expectations for each bond.
  • The rating upgrades were based on the current credit enhancement levels, recent performance, analysis of the transaction structures, updated loss expectations on the underlying pools, and revised loss-given-default expectations for each bond.
  • The RMBS transactions experiencing a rating change have incurred a missed or delayed disbursement of an interest payment or are currently undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down).
  • Moody's used the "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024, and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in April 2024, as methodologies in rating all classes except interest-only classes.
  • WaMu Mortgage Pass-Through Certificates, WMALT Series 2007-OA6, Cl. 1A, was upgraded to Caa1 (sf) from Caa3 (sf) with previous downgrades on Dec 22, 2010, and Dec 3, 2010.

Statistics:

  • 22 bonds from 11 US RMBS transactions were upgraded by Moody's Investors Service.
  • The rating upgrades reflect the current levels of credit enhancement available to the bonds.
  • 100% of the bonds experiencing a rating change have incurred a missed or delayed disbursement of an interest payment or are currently undercollateralized.
  • The rating upgrades were based on the current credit enhancement levels, recent performance, analysis of the transaction structures, updated loss expectations on the underlying pools, and revised loss-given-default expectations for each bond.
  • December 2024 and April 2024 methodologies were used in rating all classes except interest-only classes.
  • WMALT Series 2007-OA6, Cl. 1A, was upgraded to Caa1 (sf) from Caa3 (sf) with previous downgrades on Dec 22, 2010, and Dec 3, 2010.

Sources:

  • Moody's Ratings (Moody's), "Moody's Upgrades Ratings of 22 US Residential Mortgage-backed Transactions" (no date provided)
  • Moody's, "US Residential Mortgage-backed Securitizations: Surveillance" (December 2024)
  • Moody's, "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" (April 2024)
  • https://ratings.moodys.com/rmc-documents/433953
  • https://ratings.moodys.com/rmc-documents/418262

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