Moody’s Investors Service has added information related to deficiencies, international securities identification and credit enhancement to performance overview reports on residential mortgage- and asset-backed securities in Europe, the Middle East and Africa.
Annick Poulain, a Moody’s managing director, said in a statement Monday that in response to investor feedback the reports will, going forward, consistently contain the principal deficiency ledger of transactions, the international securities identification number and the original and current credit enhancement of each tranche.
Moody’s said it is calculating the credit enhancement in the reports as a percentage of the sum of all collateralized notes in a transaction. The calculations used to do this are based on the internal support provided by all collateralized subordinated notes, any overcollateralization, including excess spread, and external support such as a reserve fund or cash collateral account.
