Moody's Upgrades Ratings of 58 Bonds Issued by Connecticut Avenue Securities Trust 2024-R05

Moody's Investors Service has upgraded the ratings of 58 bonds issued by Connecticut Avenue Securities Trust 2024-R05, a credit risk transfer (CRT) RMBS issued by Fannie Mae. The upgrade reflects the increased levels of credit enhancement available to the bonds, recent performance, and Moody's updated loss expectations on the underlying pool. The transaction displays strong collateral performance, with no cumulative loss to date and low delinquency. The credit enhancement since closing has grown, on average, by 10.6% for the tranches upgraded.

Key Takeaways:

• Moody's upgraded the ratings of 58 bonds issued by Connecticut Avenue Securities Trust 2024-R05 to reflect increased credit enhancement and strong collateral performance.
• The transaction has no cumulative loss to date and low delinquency, with credit enhancement growing on average by 10.6% for the tranches upgraded.
• The upgrade reflects Moody's updated loss expectations on the underlying pool, which has continued to display strong performance.
• The ratings of the subordinate bonds could be driven up by higher levels of credit protection or a decline in expected losses.
• The ratings could be driven down by insufficient levels of credit protection or a rise in expected losses due to higher obligor defaults or property value deterioration.

Statistics:

• 58 bonds were upgraded by Moody's.
• The credit enhancement has grown, on average, by 10.6% for the tranches upgraded.
• The transaction has no cumulative loss to date.
• The delinquency rate is low.
• The US macro economy and housing market remain significant factors in transaction performance.

Sources:

• Moody's Investors Service, "Moody's Ratings," July 26, 2024
• Moody's Investors Service, "Moody's Approach to Rating US RMBS Using the MILAN Framework," July 2024
• Moody's Investors Service, "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities," April 2024