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For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.įor ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.

As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. Moody's Rating Symbols and Definitions can be found on. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud.įor further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Transaction performance also depends greatly on the US macro economy and housing market. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down.

Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up.

Alternatively, please see the Rating Methodologies page on for a copy of this methodology.įactors that would lead to an upgrade or downgrade of the ratings: The principal methodology used in these ratings was 'Moody's Approach to Rating US RMBS Using the MILAN Framework' published in July 2022 and available at. Moody's expected loss on the pool's aggregate exposed principal balance in a baseline scenario-mean is 3.40%, in a baseline scenario-median is 2.99% and reaches 19.80% at a stress level consistent with Moody's Aaa ratings. The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the operational strength of the ceding insurer, the third-party review, and the representations and warranties framework. The complete rating actions are as follows: The securities reference a pool of mortgage insurance policies issued by Essent Guaranty, Inc., the ceding insurer, on a portfolio of mortgage loans predominantly acquired by Fannie Mae and Freddie Mac, and originated and serviced by multiple entities.

New York, Septem- Moody's Investors Service ('Moody's') has assigned provisional ratings to 2 classes of mortgage insurance-linked notes issued by Radnor Re 2022-1 Ltd.

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