Moody's Upgrades Ratings of 23 Bonds in US Residential Mortgage-Backed Transactions

Moody's Investors Service has upgraded the ratings of 23 bonds from seven US residential mortgage-backed transactions (RMBS), backed by seasoned performing and modified re-performing residential mortgage loans (RPL), issued by multiple issuers. The upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools.

Key Takeaways:

• Moody's upgraded the ratings of 23 bonds from seven US RMBS transactions, citing improved loss coverage and collateral performance.
• The upgrades reflect a continued growth of credit enhancement, averaging 1.03x for the tranches, and a steady improvement of collateral performance in recent years.
• The deals reviewed have an average loan seasoning of over 200 months, with fewer delinquencies and lower realized losses than originally anticipated.
• Cumulative net losses for all deals reviewed are currently below 1.6%, with five of the seven deals seeing cumulative net losses of less than 1%.
• Moody's lowered its loss projection for each deal compared to its prior review in 2024.
• Principal methodologies used in these ratings included "Non-performing and Re-performing Loan Securitizations" and "US Residential Mortgage-backed Securitizations: Surveillance".

Statistics:

• 23 bonds were upgraded from seven US RMBS transactions.
• The average loan seasoning for the deals reviewed was over 200 months.
• Cumulative net losses for all deals reviewed were below 1.6%.
• Five of the seven deals reviewed had cumulative net losses of less than 1%.
• The credit enhancement since last year has grown, on average, 1.03x for the tranches upgraded.

Sources:

• "Non-performing and Re-performing Loan Securitizations" (Moody's, April 2024)
• "US Residential Mortgage-backed Securitizations: Surveillance" (Moody's, December 2024)
• Moody's Ratings Report (Moody's, [no date])