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Moody's Investors Service Inc.

Moody's Upgrades Ratings of 46 Bonds in US Residential Mortgage-Backed Transactions

Strategic Insights

— 3 min read

Moody's Investors Service has upgraded the ratings of 46 bonds from three US residential mortgage-backed transactions (RMBS), backed by Alt-A and Option-ARM mortgages issued by multiple issuers. These upgrades reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, and Moody's updated loss expectations on the underlying pools.

The upgrades include ratings changes for bonds issued by CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-23CB, 2006-45T1, and 2006-OA10. Specifically, the upgraded ratings are:

  • CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-23CB: Cl. 1-A-1, Caa1 (sf) to Caa1 (sf); Cl. 1-A-4, Caa3 (sf) to Caa2 (sf); Cl. 1-A-5, Caa3 (sf) to Caa2 (sf); Cl. 1-A-6, Caa3 (sf) to Caa1 (sf); Cl. 1-A-7, Caa3 (sf) to Caa2 (sf); Cl. 1-A-8, Caa3 (sf) to Caa2 (sf); Cl. 1-A-9, Caa3 (sf) to Caa2 (sf); Cl. 1-A-11, Caa3 (sf) to Caa2 (sf); Cl. 1-X*, Caa3 (sf) to Caa2 (sf); Cl. 2-A-1, Ca (sf) to Caa3 (sf); Cl. 2-A-5, Ca (sf) to Caa3 (sf); Cl. 2-A-7, Ca (sf) to Caa3 (sf); Cl. 2-A-9, Ca (sf) to Caa3 (sf); Cl. 2-X*, Ca (sf) to Caa3 (sf); Cl. PO, Caa3 (sf) to Caa1 (sf)
  • CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-45T1: Cl. 1-A-1, Ca (sf) to Caa3 (sf); Cl. 1-A-2, Ca (sf) to Caa3 (sf); Cl. 1-A-3*, Ca (sf) to Caa3 (sf); Cl. 1-A-4, Ca (sf) to Caa3 (sf); Cl. 1-A-5*, Ca (sf) to Caa3 (sf); Cl. 1-A-6, Ca (sf) to Caa2 (sf); Cl. 1-A-7, Ca (sf) to Caa3 (sf); Cl. 1-A-10, Ca (sf) to Caa2 (sf); Cl. 1-A-16, Ca (sf) to Caa3 (sf); Cl. 1-X*, Ca (sf) to Caa3 (sf); Cl. 2-A-1, Ca (sf) to Caa3 (sf); Cl. 2-A-2, Ca (sf) to Caa3 (sf); Cl. 2-A-3, Ca (sf) to Caa3 (sf); Cl. 2-A-5, Ca (sf) to Caa2 (sf); Cl. 2-A-7, Ca (sf) to Caa3 (sf); Cl. 2-A-8*, Ca (sf) to Caa3 (sf); Cl. 2-A-9*, Ca (sf) to Caa3 (sf); Cl. 2-A-10, Ca (sf) to Caa3 (sf); Cl. 2-A-11, Ca (sf) to Caa2 (sf); Cl. 2-A-12, Ca (sf) to Caa3 (sf); Cl. 2-A-13, Ca (sf) to Caa3 (sf); Cl. 2-A-14, Ca (sf) to Caa2 (sf); Cl. 2-A-15, Ca (sf) to Caa2 (sf); Cl. 2-A-16, Ca (sf) to Caa2 (sf); Cl. 2-A-17, Ca (sf) to Caa3 (sf); Cl. 2-X*, Ca (sf) to Caa2 (sf); Cl. PO, Ca (sf) to Caa3 (sf)
  • CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA10: Cl. 1-A-1, Ca (sf) to Caa1 (sf); Cl. 2-A-1, Ca (sf) to Caa1 (sf); Cl. 3-A-1, Ca (sf) to Caa1 (sf); Cl. 4-A-1, Ca (sf) to Caa1 (sf)

These upgrades reflect an improvement in the credit quality of the underlying pools and a reduction in the expected losses for the bonds.

Key Takeaways:

  • 46 bonds from three US residential mortgage-backed transactions (RMBS) have been upgraded by Moody's Investors Service.
  • The upgrades reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, and Moody's updated loss expectations on the underlying pools.
  • The upgrades include ratings changes for bonds issued by CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-23CB, 2006-45T1, and 2006-OA10.
  • The upgrades reflect an improvement in the credit quality of the underlying pools and a reduction in the expected losses for the bonds.
  • The upgrades are based on Moody's principal methodology, "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.
  • Factors that could lead to an upgrade or downgrade of the ratings include changes in the credit protection available to the bonds, changes in the expected losses for the bonds, and changes in the performance of the transactions.

Statistics:

  • 46 bonds from three US residential mortgage-backed transactions (RMBS) have been upgraded by Moody's Investors Service.
  • 23 bonds from CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-23CB have been upgraded.
  • 45 bonds from CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-45T1 have been upgraded.
  • 10 bonds from CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA10 have been upgraded.
  • The upgrades reflect an improvement in the credit quality of the underlying pools and a reduction in the expected losses for the bonds.
  • The upgrades are based on Moody's principal methodology, "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.

Sources:

  • Moody's Investors Service, "Moody's Upgrades Ratings of 46 Bonds in US Residential Mortgage-Backed Transactions," [https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL508196](https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL508196)
  • Moody's Investors Service, "US Residential Mortgage-backed Securitizations: Surveillance," published in December 2024, [https://ratings.moodys.com/rmc-documents/433953](https://ratings.moodys.com/rmc-documents/433953)
  • Moody's Investors Service, "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities," published in April 2024, [https://ratings.moodys.com/rmc-documents/418262](https://ratings.moodys.com/rmc-documents/418262)

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