New York, July 24, 2009 -- Moody's Investors Service has downgraded 97 tranches and confirmed 7 tranches
from 11 Countrywide FHA - VA deals issued from 2002 to 2007 due
to higher expected pool losses in relation to available credit enhancement.
The collateral backing these transactions consists primarily of first-lien,
fixed and adjustable rate, mortgage loans guaranteed by the FHA
or the VA (typically 80% FHA and 20% VA.) As economic
conditions have deteriorated; performance of these loans have worsened
with serious delinquencies (that is, loans more than 60 days past
due, in foreclosure or held for sale) as a percentage of current
balance increasing from 33.5% 12 months ago, to 35.6%
as of May 2009 for FHA -- VA pools issued in 2006. While for
FHA -- VA pools issued in 2007, serious delinquencies as a
percentage of current balance have risen from 41.0% 12 months
ago, to 44.5% as of May 2009. Cumulative losses
on FHA -- VA pools, however, are low in absolute terms
due to the FHA - VA guarantee. Nevertheless, for FHA
- VA pools issued in 2006, cumulative losses have risen from
0.31% in May 2008 to 0.45% one year later.
For FHA - VA pools issued in 2007, cumulative losses have
more than doubled from 0.16% a year earlier to 0.34%
as of May 2009.
Moody's expects loss levels on FHA -- VA pools to rise further
as the general level of remaining delinquencies remain elevated and loss
severities increase. Due to the FHA - VA guarantee,
loss severities on these pools have been historically low at 2.0%
-- 4.0%. However, with recent house price
depreciation, increase in foreclosure costs and timelines and change
in the debenture rate applied by FHA to pay interest claims, future
loss severities on these pools are expected to be higher. Moody's
now expects loss severities on FHA loans originated before 2004 to average
5.0% and on FHA loans originated in 2004 and after to average
6.5% (this is due to change in debenture rate application
by FHA for loans originated after 2004 which results in a lower interest
expense being paid by the FHA and a higher severity to the trust).
Loss severities on VA loans are expected to average 20%.
As a result, Moody's now projects cumulative losses on FHA
-- VA pools issued between 2002 and 2007 to average 1.42%
as a percentage of original balance securitized (3.00% as
a percentage of current balance) versus our original expected loss estimates
of 0.40% - 0.50%. For details
regarding Moody's approach to estimating losses on FHA - VA pools
originated from 2002 till 2007, please refer to the methodology
publication "FHA - VA RMBS Loss Projection Methodology:
July 2009 "available on Moodys.com.
Loss estimates are subject to variability and are sensitive to assumptions
used; as a result, realized losses could ultimately turn out
higher or lower than our current expectations. Moody's will continue
to evaluate performance data as it becomes available and will assess the
pattern of potential future defaults and adjust loss expectations accordingly
as necessary.
Moody's final rating actions are based on current ratings, level
of credit enhancement, collateral performance and updated pool-level
loss expectations relative to current level of credit enhancement.
Moody's took into account credit enhancement provided by seniority,
cross-collateralization, time tranching, and other
structural features within the priority of payments.
Other methodologies and factors that may have been considered in the process
of monitoring this issue can also be found at www.moodys.com
in the Credit Policy & Methodologies directory in the Rating Methodologies
subdirectory.
Complete rating actions are as follows:
CWMBS Re-Performing Loan REMIC Trust Certificates, Series
2002-1
Cl. 1A-4, Confirmed at Aaa; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 2A, Confirmed at Aaa; previously on 5/15/2009 Aaa
Placed Under Review for Possible Downgrade
Cl. 2A-IO, Confirmed at Aaa; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 3A, Confirmed at Aaa; previously on 5/15/2009 Aaa
Placed Under Review for Possible Downgrade
Cl. 3A-IO, Confirmed at Aaa; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. M, Confirmed at Aa2; previously on 5/15/2009 Aa2
Placed Under Review for Possible Downgrade
Cl. B-1, Confirmed at A2; previously on 5/15/2009
A2 Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ba1; previously on 5/15/2009
Baa2 Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to B1; previously on 5/15/2009
Ba2 Placed Under Review for Possible Downgrade
Cl. B-4, Downgraded to C; previously on 5/15/2009
B2 Placed Under Review for Possible Downgrade
CWMBS Reperforming Loan REMIC Trust Certificates, Series 2004-R1
Cl. 1A-F, Downgraded to Baa1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 1A-S, Downgraded to Baa1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 2A, Downgraded to Baa1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 3A, Downgraded to Baa1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. PT, Downgraded to Baa1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 1M, Downgraded to Ba2; previously on 5/15/2009 Aa2
Placed Under Review for Possible Downgrade
Cl. 2M, Downgraded to Ba2; previously on 5/15/2009 Aa2
Placed Under Review for Possible Downgrade
Cl. 1B-1, Downgraded to B2; previously on 5/15/2009
A2 Placed Under Review for Possible Downgrade
Cl. 1B-2, Downgraded to Ca; previously on 5/15/2009
Baa2 Placed Under Review for Possible Downgrade
Cl. 1B-3, Downgraded to C; previously on 5/15/2009
Caa2 Placed Under Review for Possible Downgrade
Cl. 1B-4, Downgraded to C; previously on 5/15/2009
Ca Placed Under Review for Possible Downgrade
Cl. 2B-1, Downgraded to Caa1; previously on 5/15/2009
A2 Placed Under Review for Possible Downgrade
Cl. 2B-2, Downgraded to Ca; previously on 5/15/2009
Baa2 Placed Under Review for Possible Downgrade
Cl. 2B-3, Downgraded to C; previously on 5/15/2009
Caa1 Placed Under Review for Possible Downgrade
Cl. 2B-4, Downgraded to C; previously on 5/15/2009
Ca Placed Under Review for Possible Downgrade
CWMBS Reperforming Loan REMIC Trust Certificates, Series 2004-R2
Cl. 1A-F1, Downgraded to Ba1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 1A-F2, Downgraded to Ba1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 1A-S, Downgraded to Ba1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. M, Downgraded to B2; previously on 5/15/2009 Aa2
Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca; previously on 5/15/2009
A2 Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca; previously on 5/15/2009
Baa3 Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to C; previously on 5/15/2009
B3 Placed Under Review for Possible Downgrade
Cl. B-4, Downgraded to C; previously on 5/15/2009
Ca Placed Under Review for Possible Downgrade
CWMBS Reperforming Loan REMIC Trust Certificates, Series 2005-R1
Cl. 1A-F1, Downgraded to B1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 1A-F2, Downgraded to B1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 1A-S, Downgraded to B1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 2A-1, Downgraded to B1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 2A-2, Downgraded to B1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 2A-IO, Downgraded to B1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 2A-PO, Downgraded to B1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. M, Downgraded to Ca; previously on 5/15/2009 Aa2
Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca; previously on 5/15/2009
A2 Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca; previously on 5/15/2009
Baa2 Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to C; previously on 5/15/2009
Ba2 Placed Under Review for Possible Downgrade
Cl. B-4, Downgraded to C; previously on 5/15/2009
B2 Placed Under Review for Possible Downgrade
CWMBS Reperforming Loan REMIC Trust Certificates, Series 2005-R2
Cl. 1A-F1, Downgraded to Aa3; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 1A-F2, Downgraded to B1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 1A-S, Downgraded to B1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 2A-1, Downgraded to B1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 2A-2, Downgraded to B1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 2A-3, Downgraded to B1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 2A-4, Downgraded to B1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 2A-IO, Downgraded to B1; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. M, Downgraded to Ca; previously on 5/15/2009 Aa2
Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca; previously on 5/15/2009
A2 Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca; previously on 5/15/2009
Baa2 Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to Ca; previously on 5/15/2009
Ba2 Placed Under Review for Possible Downgrade
Cl. B-4, Downgraded to C; previously on 5/15/2009
B2 Placed Under Review for Possible Downgrade
CWMBS Reperforming Loan REMIC Trust Certificates, Series 2005-R3
Cl. A-F, Downgraded to Ba3; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. A-S, Downgraded to Ba3; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. M, Downgraded to B2; previously on 5/15/2009 Aa2
Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca; previously on 5/15/2009
A2 Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca; previously on 5/15/2009
Baa2 Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to Ca; previously on 5/15/2009
Ba2 Placed Under Review for Possible Downgrade
Cl. B-4, Downgraded to C; previously on 5/15/2009
B2 Placed Under Review for Possible Downgrade
CWMBS Reperforming Loan REMIC Trust Certificates, Series 2006-R1
Cl. A-F-1, Downgraded to B3; previously
on 5/15/2009 Aaa Placed Under Review for Possible Downgrade
Cl. A-F-2, Downgraded to B3; previously
on 5/15/2009 Aaa Placed Under Review for Possible Downgrade
Cl. A-S, Downgraded to B3; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. M, Downgraded to Ca; previously on 5/15/2009 Aa2
Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca; previously on 5/15/2009
A2 Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca; previously on 5/15/2009
Baa2 Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to Ca; previously on 5/15/2009
Ba2 Placed Under Review for Possible Downgrade
Cl. B-4, Downgraded to C; previously on 5/15/2009
B2 Placed Under Review for Possible Downgrade
CWMBS Reperforming Loan REMIC Trust Certificates, Series 2006-R2
Cl. A-F-1, Downgraded to B3; previously
on 5/15/2009 Aaa Placed Under Review for Possible Downgrade
Cl. A-F-2, Downgraded to B3; previously
on 5/15/2009 Aaa Placed Under Review for Possible Downgrade
Cl. A-S, Downgraded to B3; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. M, Downgraded to Ca; previously on 5/15/2009 Aa2
Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca; previously on 5/15/2009
A2 Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca; previously on 5/15/2009
Baa2 Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to Ca; previously on 5/15/2009
Ba2 Placed Under Review for Possible Downgrade
Cl. B-4, Downgraded to C; previously on 5/15/2009
B2 Placed Under Review for Possible Downgrade
CWMBS, Inc. Structured pass-Through Certificates Series
2003-R3.
Cl. M, Downgraded to Baa2; previously on 5/15/2009 Aa2
Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to B1; previously on 5/15/2009
A2 Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca; previously on 5/15/2009
Baa2 Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to Ca; previously on 5/15/2009
B1 Placed Under Review for Possible Downgrade
Cl. B-4, Downgraded to C; previously on 5/15/2009
Caa3 Placed Under Review for Possible Downgrade
Reperforming Loan REMIC Trust 2003-R2
Cl. M, Downgraded to Ba1; previously on 5/15/2009 Aa2
Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to B2; previously on 5/15/2009
A2 Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca; previously on 5/15/2009
Baa2 Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to C; previously on 5/15/2009
B2 Placed Under Review for Possible Downgrade
Cl. B-4, Downgraded to C; previously on 5/15/2009
Caa3 Placed Under Review for Possible Downgrade
Reperforming Loan REMIC Trust 2003-R4
Cl. 1A-1X, Downgraded to Aa3; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 1A-2S, Downgraded to Aa3; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 1A-3, Downgraded to Aa3; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 1A-4, Downgraded to Aa3; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 1A-IO, Downgraded to Aa3; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 1A-PO, Downgraded to Aa3; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. 2A, Downgraded to Aa3; previously on 5/15/2009 Aaa
Placed Under Review for Possible Downgrade
Cl. 2A-IO, Downgraded to Aa3; previously on 5/15/2009
Aaa Placed Under Review for Possible Downgrade
Cl. M, Downgraded to Baa3; previously on 5/15/2009 Aa2
Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to B1; previously on 5/15/2009
A2 Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca; previously on 5/15/2009
Baa2 Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to C; previously on 5/15/2009
B2 Placed Under Review for Possible Downgrade
Cl. B-4, Downgraded to C; previously on 5/15/2009
Ca Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: <A href="http://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF173969">http://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF173969</A>
A list of updated estimated pool losses is being updated weekly and may
be found at:
http://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF174120
For more information please see www.moodys.com.
San Francisco
Eric Fellows
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Deepika Kothari
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Takes Action on $1.9 Billion of bonds issued by Countrywide FHA - VA deals