An in-depth rating migration study from Moody's Investors Service, reports that the rating transitions on the more than 11,000 deals it has rated since the emergence of the ABS market in 1986 have been "stable."

The study is a historical look at the rating changes in the asset-backed securities market and is the first of its kind to track and calculate the rating transitions. "One thing to take away from it [the study] is that even though it has been stable, there have been changes," said Joseph Snailer, senior credit officer at Moody's. "A lot of times people in the asset-backed market seem to think asset-backed securities ratings don't change and in fact they do, it's just not that frequently."

While Moody's has been tracking the rating changes for many years, this study is more detailed. "We have actually calculated these ratings transitions, whereas before, what we did is tell about which securities had their ratings changed, how many there were, and looked at rating volatility for the market as a whole as opposed to by different rating levels," Snailer said.

On average the study noted that of the securities rated Aa1 at the beginning of the year 75.9% were still rated Aa1 at the end of the year, and 3.2% were upgraded to Aaa. Additionally, of those rated Aa1 at the beginning of a year, 4.1% were downgraded to Aa2 by year-end, 5.5% were downgraded to Aa3 and 11.3% had their ratings withdrawn after reaching maturity during the year.

The inclusive study will be available on Moody's Web site beginning Jan. 22, 2001.

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