MOODY'S REVIEWS FOR POSSIBLE UPGRADE THIRTY-SEVEN CLASSES AND REVEIWS FOR POSSIBLE DOWNGRADE FOUR CLASSES FROM COUNTRYWIDE'S 2003 SECURITIZATIONS
New York, July 18, 2006 -- Moody's Investors Service has placed under review for possible upgrade
thirty-seven mezzanine and subordinate tranches from seven mortgage
backed securitizations and has placed under review for possible downgrade
four mezzanine and subordinate tranches from three mortgage backed securitizations
all issued by Countrywide Home Loans, Inc. in 2003.
The pools are primarily backed by first and second lien adjustable-rate
and fixed-rate subprime mortgage loans. The underlying collateral
in the 2003-S2 deal consists of prime-quality fixed-rate
mortgages. The loans are serviced by Countrywide Home Loans Servicing,
LP.
The certificates are being placed on review for possible upgrade based
on the strong performance of the mortgage pools. The bonds' current
credit enhancement, provided by subordination, excess spread,
overcollateralization and mortgage insurance where applicable, is
high compared to the current projected losses on the underlying pools.
The certificates from the 2003-S&D deals are being placed on
review for possible downgrade based on the weaker than anticipated performance
of the mortgage pools and the resulting erosion of credit support.
At origination, the seasoned loans in these "scratch and dent"
transactions had either delinquency histories and/or missing loan documentation,
or were in non-compliance with sellers' underwriting guidelines.
Some of the current credit support deterioration in the 2003-S&D1
and 2003-S&D2 deals can be attributed to the deals passing
performance triggers and therefore releasing large amounts of overcollateralization.
Furthermore, existing credit enhancement levels may be low given
the current projected losses on the underlying pools.
The complete rating actions are as follows:
Issuer: CWABS, Inc. Asset-Backed Certificates
Review for Possible Upgrade
Series 2003-BC4, Class M-1, current rating Aa2,
under review for possible upgrade
Series 2003-BC4, Class M-2, current rating Aa3,
under review for possible upgrade
Series 2003-BC4, Class M-3, current rating A1,
under review for possible upgrade
Series 2003-BC4, Class M-4, current rating A2,
under review for possible upgrade
Series 2003-BC6, Class M-1, current rating Aa2,
under review for possible upgrade
Series 2003-BC6, Class M-2, current rating A2,
under review for possible upgrade
Series 2003-BC6, Class M-3, current rating A3,
under review for possible upgrade
Series 2003-BC6, Class M-4, current rating Baa1,
under review for possible upgrade
Series 2003-BC6, Class M-5, current rating Baa2,
under review for possible upgrade
Series 2003-BC6, Class B, current rating Baa3,
under review for possible upgrade
Series 2003-1, Class M-1, current rating Aa2,
under review for possible upgrade
Series 2003-1, Class M-2, current rating A2,
under review for possible upgrade
Series 2003-1, Class B, current rating Baa2,
under review for possible upgrade
Series 2003-4, Class M-1, current rating Aa2,
under review for possible upgrade
Series 2003-4, Class M-2, current rating Aa3,
under review for possible upgrade
Series 2003-4, Class M-3, current rating A2,
under review for possible upgrade
Series 2003-5, Class MF-1, current rating Aa2,
under review for possible upgrade
Series 2003-5, Class MF-2, current rating A2,
under review for possible upgrade
Series 2003-5, Class MF-3, current rating A3,
under review for possible upgrade
Series 2003-5, Class MF-4, current rating Baa1,
under review for possible upgrade
Series 2003-5, Class MF-5, current rating Baa2,
under review for possible upgrade
Series 2003-5, Class BF, current rating Baa3,
under review for possible upgrade
Series 2003-5, Class MV-1, current rating Aa2,
under review for possible upgrade
Series 2003-5, Class MV-2, current rating A2,
under review for possible upgrade
Series 2003-5, Class MV-3, current rating A3,
under review for possible upgrade
Series 2003-5, Class MV-4, current rating Baa1,
under review for possible upgrade
Series 2003-5, Class MV-5, current rating Baa2,
under review for possible upgrade
Series 2003-5, Class BV, current rating Baa3,
under review for possible upgrade
Series 2003-S2, Class M-1, current rating Aa2,
under review for possible upgrade
Series 2003-S2, Class M-2, current rating A2,
under review for possible upgrade
Series 2003-S2, Class B-1, current rating Baa2,
under review for possible upgrade
Series 2003-SC1, Class M-1, current rating Aa2,
under review for possible upgrade
Series 2003-SC1, Class M-2, current rating A2,
under review for possible upgrade
Series 2003-SC1, Class M-3, current rating A3,
under review for possible upgrade
Series 2003-SC1, Class M-4, current rating Baa1,
under review for possible upgrade
Series 2003-SC1, Class M-5, current rating Baa2,
under review for possible upgrade
Series 2003-SC1, Class B, current rating Baa3,
under review for possible upgrade
Issuer: Countrywide Home Loan Trust
Review for Possible Downgrade
Series 2003-S&D1, Class B-1, current rating
Baa2, under review for possible downgrade
Series 2003-S&D2, Class M-2, current rating
A2, under review for possible downgrade
Series 2003-S&D2, Class B-1, current rating
Baa2, under review for possible downgrade
Series 2003-S&D3, Class B-1, current rating
Baa2, under review for possible downgrade
New York
Nicolas S. Weill
Managing Director - Chief Credit
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Ilana Fried
Senior Associate
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653