Moody's Upgrades Ratings of Four Bonds Issued by Hundred Acre Wood Trust 2021-INV1

Strategic Insights -

Moody's Investors Service has upgraded the ratings of four bonds issued by Hundred Acre Wood Trust 2021-INV1, citing improved credit enhancement and recent performance. The collateral backing this deal consists of agency eligible mortgage loans, with cumulative losses under 0.01% and a small percentage of loans in delinquencies. The rating upgrades reflect the increased levels of credit enhancement available to the bonds, as well as Moody's updated loss expectations on the underlying pools.

Key Takeaways:

  • Moody's upgraded the ratings of four bonds issued by Hundred Acre Wood Trust 2021-INV1 to Aa1 (sf), Aa1 (sf), A2 (sf), and Aa1 (sf), respectively.
  • The rating upgrades reflect the increased levels of credit enhancement available to the bonds, with an average growth of 1.29x for the tranches upgraded.
  • The transaction continues to display strong collateral performance, with cumulative losses under 0.01% and a small percentage of loans in delinquencies.
  • The rating methodologies used were "Moody's Approach to Rating US RMBS Using the MILAN Framework" and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities".
  • Factors that could lead to an upgrade or downgrade of the ratings include changes in credit protection levels, loss expectations, and US macro economy and housing market performance.

Statistics:

  • Cumulative losses under 0.01% for the underlying pools.
  • A small percentage of loans in delinquencies.
  • Average growth of 1.29x for the tranches upgraded.
  • Ratings upgraded to Aa1 (sf), Aa1 (sf), A2 (sf), and Aa1 (sf), respectively.
  • Time of rating upgrades: August 26, 2024.

Sources:

  • Moody's Investments Service, "Moody's Ratings Upgrade of Four Bonds Issued by Hundred Acre Wood Trust 2021-INV1" (No date provided).
  • Moody's Investments Service, "Moody's Approach to Rating US RMBS Using the MILAN Framework" (July 2024).
  • Moody's Investments Service, "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" (April 2024).