Our RMBS approach

Our current and proposed methodological approaches incorporate both asset and liability analysis, including the associated modeling, as well as other considerations.
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Current and Proposed Methodologies

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Proposed Methodologies

OTHER GLOBAL MARKETS

Residential Mortgage-Backed Securitizations: Proposed Methodology Update

See the end of the page for the countries with proposed updates to their country specific supplements.

The proposed update to our Lenders Mortgage Insurance approach applies to all countries under the Residential Mortgage-Backed Securitizations methodology.

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Current Methodologies

OTHER GLOBAL MARKETS

Residential Mortgage-Backed Securitizations »

See end of page for the countries this methodology applies to.

 

Moody’s Approach to Rating RMBS Using the MILAN Framework »
See end of page for the countries this methodology applies to.

U.S.

Moody's Approach to Rating US RMBS Using the MILAN Framework »  

Portfolio Analysis

We use various versions of the MILAN model in assessing the credit risks of residential mortgage portfolios. External versions of two of the models are available below including a newly released version for certain markets outside of the US.

OTHER GLOBAL MARKETS

U.S.

External Global MILAN Model Version 3.1 »

External Global MILAN Model Version 3.2 RFC »

External US MILAN Model »

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Structural Analysis

We use cashflow models to evaluate the cashflows derived from portfolios of assets and the associated liability structure when we rate transactions. A new external version of one of these models, which employs our proposed updated approach to using portfolio-related assumptions in the form of a portfolio expected loss and a stressed loss (MILAN) assumption to calibrate a lognormal collateral loss distribution, is available below.

OTHER GLOBAL MARKETS

External ABSROM Model Version 3.1 »

External ABSROM Model Version 3.2 RFC »

Counterparty Default Risk

Our cashflow analysis is complemented with counterparty default risks assessments. Including in connection to any swap counterparty exposures.

ALL MARKETS

Swap Linkage Tool »

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Supporting Material

Supporting material discussing some of the key elements in modeling the performance of residential mortgage loan portfolios.

OTHER GLOBAL MARKETS

U.S.

 

Residential Mortgage-Backed Securitizations: Default Probability Scoring » 

 

Residential Mortgage-Backed Securitizations: House Price Stress Rate Approach »

 

Calibrating a Lognormal Distribution »

US RMBS Analytics: Modeling the Probability of Default »

 

US RMBS Analytics: Modeling Loss Severity Given Default »

Global Overview

Canada
United States
Mexico
EMEA Markets

Austria, Czech Republic, Denmark, Finland, Germany, Ireland, Italy, Luxembourg, Norway, Poland, Portugal, Slovakia, Spain, Sweden, Switzerland & United Kingdom

Belgium, Cyprus, Israel, Estonia, Latvia, Lithuania, France, Georgia, Netherlands, Greece, Romania, South Africa, Hungary, Turkiye and Iceland

APAC Markets

Australia, New Zealand, Korea & Singapore

China, Hong Kong and India

Japan