Sign in Subscribe
Moody's Investors Service Inc.

Moody's Upgrades Ratings of 25 US Residential Mortgage-backed Securities

Strategic Insights

— 1 min read

Moody's Investors Service has recently upgraded the ratings of 25 bonds from five US residential mortgage-backed transactions (RMBS), backed by Alt-A, Option-ARM, prime jumbo, and subprime mortgages issued by multiple issuers. The rating actions reflect the current levels of credit enhancement available to the bonds, recent performance, and analysis of the transaction structures. The upgrades are a result of the availability of additional credit protection, lower expected losses, and improved transaction governance.

Key Takeaways:

  • 25 bonds from five US RMBS transactions have been upgraded, including those backed by Alt-A, Option-ARM, prime jumbo, and subprime mortgages.
  • The rating upgrades reflect the current levels of credit enhancement available to the bonds, recent performance, and analysis of the transaction structures.
  • The upgrades are a result of the availability of additional credit protection, lower expected losses, and improved transaction governance.
  • The rating actions are as follows: Bear Stearns Alt-A 2006-1 Cl. I-1A-1, Bear Stearns ALT-A Trust 2005-1 Cl. M-2, Bear Stearns Asset Backed Securities I Trust 2005-HE6 Cl. M-3, CHL Mortgage Pass-Through Trust 2007-5 Cl. A-1, and HarborView Mortgage Loan Trust 2006-8 Cl. 1A-1.
  • The upgrades are limited to specific classes of bonds, with some classes experiencing upgrades and others remaining unchanged.
  • The rating upgrade process involves a comprehensive review of all credit ratings for the respective transactions.

Statistics:

  • 25 bonds have been upgraded, representing a total of 5 US RMBS transactions.
  • The upgraded bonds are backed by Alt-A, Option-ARM, prime jumbo, and subprime mortgages issued by various issuers.
  • The rating upgrades reflect a improvement in credit enhancement availability, recent performance, and transaction governance.
  • The upgraded bonds have an expected loss-given-default assessment that is lower than previously estimated.
  • The rating upgrades are a result of the combined effect of credit enhancement, recent performance, and transaction governance.

Sources:

  • Moody's Investors Service
  • "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024
  • "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in April 2024

Read more