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Moody's Investors Service Inc.

Moody's Upgrades Ratings of 51 Bonds in 12 US Residential Mortgage-Backed Transactions

Strategic Insights

— 1 min read

Moody's Investors Service has recently upgraded the ratings of 51 bonds from 12 US residential mortgage-backed transactions (RMBS), backed by subprime 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 the updated loss expectations on the underlying pools. The rating actions have been made based on the principal methodology used, "US Residential Mortgage-backed Securitizations: Surveillance," published in December 2024.

Key Takeaways:

  • Moody's upgraded the ratings of 51 bonds from 12 US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers.
  • The upgrades reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, and the updated loss expectations on the underlying pools.
  • The rating actions have been made based on the principal methodology used, "US Residential Mortgage-backed Securitizations: Surveillance," published in December 2024.
  • Morgan Stanley ABS Capital I Inc. Trust 2006-HE3 was upgraded from Ca (sf) to Caa1 (sf) after being downgraded on July 15, 2010.
  • Morgan Stanley ABS Capital I Inc. Trust 2007-HE5 was upgraded from Ca (sf) to Caa3 (sf) after being downgraded on July 15, 2010.
  • Morgan Stanley Home Equity Loan Trust 2007-2 was upgraded from Ca (sf) to Caa1 (sf) after being downgraded on December 31, 2013.
  • Morgan Stanley IXIS Real Estate Capital Trust 2006-2 was upgraded from Ca (sf) to Caa1 (sf) after being downgraded on January 9, 2013.
  • The upgrades were made following a comprehensive review of all credit ratings for the respective transactions.

Statistics:

  • 51 bonds were upgraded in total from 12 US residential mortgage-backed transactions (RMBS).
  • The upgrades reflect a total of $12.8 billion in outstanding bonds.
  • Moody's upgraded the ratings of 12 deals, including Morgan Stanley ABS Capital I Inc. Trust 2006-HE3, Morgan Stanley ABS Capital I Inc. Trust 2007-HE5, Morgan Stanley Home Equity Loan Trust 2007-2, and Morgan Stanley IXIS Real Estate Capital Trust 2006-2.
  • The upgrades were based on the current levels of credit enhancement available to the bonds, recent performance, analysis of the transaction structures, and updated loss expectations on the underlying pools.

Sources:

  • Moody's Investors Service, "Moody's Upgrades Ratings of 51 Bonds in 12 US Residential Mortgage-Backed Transactions" (2024)
  • Moody's Investors Service, "US Residential Mortgage-backed Securitizations: Surveillance" (December 2024)
  • Moodys.com, "List of Affected Credit Ratings" (2024)

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