New York, February 20, 2009 -- Moody's Investors Service has downgraded 278 tranches from 20 CHL deals.
The collateral backing these transactions consists primarily of first-lien,
adjustable-rate, negative amortization, Alt-A
mortgage loans. Some of the transactions also have pools that are
backed by first-lien, adjustable-rate, non negative
amortization, Alt-A mortgage loans. The actions are
triggered by rapidly increasing delinquencies, higher severities,
slower prepayments and mounting losses in the underlying collateral.
Additionally, the continued deterioration of the housing market
has also contributed to the increased loss expectations for Option ARM
and Alt-A pools. The actions listed below reflect Moody's
updated expected losses on the Option ARM and Alt-A sectors announced
in press releases on February 5, 2009 (for Option ARM) and January
22, 2009 (for Alt-A), and are part of Moody's
on-going review process.
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, excess
spread, time tranching, and other structural features within
the senior note waterfalls.
For details regarding Moody's approach towards calculating updated
expected losses on Option ARM pools backed by collateral originations
between 2003 and 2007, please refer to the methodology publication
"Option ARMs RMBS Loss Projection Update: February 2009,"
available on Moodys.com. For details regarding Moody's
approach towards calculating updated expected losses on Alt-A non
Option ARM pools backed by collateral originations from 2006 and 2007,
please refer to the methodology publication "Alt-A RMBS Loss
Projection Update: January 2009," available on Moodys.com.
For 2005 Alt-A non Option ARM pools, Moody's followed
a similar approach to the 2006 and 2007 methodology, with appropriate
changes to certain key input parameters such as severity and the rate
of delinquency build up, which would be generally lower relative
to the 2006 and 2007 Alt-A vintages. These differences are
aimed at better capturing the specific characteristics of loans from the
2005 Alt-A non Option ARM vintage that were originated in an environment
of relatively tighter underwriting standards and also benefited from some
initial home price appreciation.
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.
Complete rating actions are as follows:
CHL Mortgage Pass-Through Trust 2004-12
Cl. 14-A-1, Downgraded to Baa1; previously
on 7/30/2004 Assigned Aaa
Cl. 14-A-3, Downgraded to Baa1; previously
on 7/30/2004 Assigned Aaa
Cl. 15-A-1, Downgraded to Baa1; previously
on 7/30/2004 Assigned Aaa
Cl. 16-A-1, Downgraded to A1; previously
on 7/30/2004 Assigned Aaa
Cl. 16-A-2, Downgraded to Baa1; previously
on 7/17/2007 Upgraded to Aaa
Cl. II-B-1, Downgraded to Caa1; previously
on 7/30/2004 Assigned A2
Cl. II-B-2, Downgraded to C; previously
on 7/17/2007 Upgraded to Baa1
Cl. II-M, Downgraded to Ba1; previously on 7/30/2004
Assigned Aa2
Cl. II-X, Downgraded to Baa1; previously on 7/30/2004
Assigned Aaa
CHL Mortgage Pass-Through Trust 2004-16
Cl. 1-A-1, Downgraded to Ba1; previously
on 9/20/2004 Assigned Aaa
Cl. 1-A-2, Downgraded to Ba1; previously
on 9/20/2004 Assigned Aaa
Cl. 1-A-3a, Downgraded to Baa3; previously
on 9/20/2004 Assigned Aaa
Cl. 1-A-3b, Downgraded to Ba1; previously
on 9/20/2004 Assigned Aaa
Cl. 1-A-4a, Downgraded to A1; previously
on 9/20/2004 Assigned Aaa
Cl. 1-A-4b, Downgraded to Ba1; previously
on 9/20/2004 Assigned Aaa
Cl. 2-A-1, Downgraded to Ba1; previously
on 9/20/2004 Assigned Aaa
Cl. B-1, Downgraded to C; previously on 9/22/2008
Downgraded to Baa1
Cl. B-2, Downgraded to C; previously on 9/22/2008
Downgraded to Ba1
Cl. B-3, Downgraded to C; previously on 9/22/2008
Downgraded to Caa1
Cl. M, Downgraded to Caa1; previously on 9/20/2004 Assigned
Aa2
Cl. X, Downgraded to Ba1; previously on 9/20/2004 Assigned
Aaa
CHL Mortgage Pass-Through Trust 2004-20
Cl. 1-A-1, Downgraded to B1; previously
on 9/28/2004 Assigned Aaa
Cl. 2-A-1, Downgraded to B1; previously
on 9/28/2004 Assigned Aaa
Cl. 2-A-2, Downgraded to B1; previously
on 9/28/2004 Assigned Aaa
Cl. 3-A-1, Downgraded to B1; previously
on 9/28/2004 Assigned Aaa
Cl. B-1, Downgraded to C; previously on 6/19/2008
Downgraded to A3
Cl. B-2a, Downgraded to C; previously on 6/19/2008
Downgraded to Ba1
Cl. B-2b, Downgraded to C; previously on 6/19/2008
Downgraded to Ba1
Cl. B-3, Downgraded to C; previously on 9/22/2008
Downgraded to Caa2
Cl. M, Downgraded to Ca; previously on 9/28/2004 Assigned
Aa2
Cl. X, Downgraded to B1; previously on 9/28/2004 Assigned
Aaa
CHL Mortgage Pass-Through Trust 2004-23
Cl. A, Downgraded to B2; previously on 10/6/2004 Assigned
Aaa
Cl. B-1, Downgraded to C; previously on 10/6/2004
Assigned A2
Cl. B-2, Downgraded to C; previously on 9/22/2008
Downgraded to Baa3
Cl. B-3, Downgraded to C; previously on 9/22/2008
Downgraded to B3
Cl. M, Downgraded to Ca; previously on 10/6/2004 Assigned
Aa2
Cl. X, Downgraded to B2; previously on 10/6/2004 Assigned
Aaa
CHL Mortgage Pass-Through Trust 2004-25
Cl. 1-A-2, Downgraded to Ba1; previously
on 1/7/2005 Assigned Aaa
Cl. 1-A-3, Downgraded to Baa3; previously
on 1/7/2005 Assigned Aaa
Cl. 1-A-4, Downgraded to Ba1; previously
on 1/7/2005 Assigned Aaa
Cl. 1-A-5, Downgraded to Ba1; previously
on 1/7/2005 Assigned Aaa
Cl. 1-A-6, Downgraded to B3; previously
on 1/7/2005 Assigned Aaa
Cl. 1-X, Downgraded to B3; previously on 1/7/2005
Assigned Aaa
Cl. 2-A-2, Downgraded to Ba1; previously
on 1/7/2005 Assigned Aaa
Cl. 2-A-3, Downgraded to Ba1; previously
on 1/7/2005 Assigned Aaa
Cl. 2-A-4, Downgraded to B3; previously
on 1/7/2005 Assigned Aaa
Cl. 2-X, Downgraded to B3; previously on 1/7/2005
Assigned Aaa
Cl. 3-A-1, Downgraded to B3; previously
on 1/7/2005 Assigned Aaa
Cl. B-1, Downgraded to C; previously on 9/22/2008
Downgraded to B3
Cl. M-1, Downgraded to Ca; previously on 1/7/2005
Assigned Aa1
Cl. M-2, Downgraded to C; previously on 9/22/2008
Downgraded to A1
Cl. M-3, Downgraded to C; previously on 9/22/2008
Downgraded to A2
Cl. M-4, Downgraded to C; previously on 9/22/2008
Downgraded to Baa1
Cl. M-5, Downgraded to C; previously on 9/22/2008
Downgraded to Baa2
Cl. M-6, Downgraded to C; previously on 9/22/2008
Downgraded to Baa3
Cl. M-7, Downgraded to C; previously on 9/22/2008
Downgraded to Ba1
Cl. M-8, Downgraded to C; previously on 9/22/2008
Downgraded to Ba2
Cl. M-X, Downgraded to B3; previously on 9/22/2008
Downgraded to Aa1
CHL Mortgage Pass-Through Trust 2004-29
Cl. 2-A-1, Downgraded to Baa1; previously
on 1/7/2005 Assigned Aaa
Cl. 2-A-2, Downgraded to B2; previously
on 1/7/2005 Assigned Aaa
Cl. 2-PO, Downgraded to B2; previously on 1/7/2005
Assigned Aaa
Cl. 2-X, Downgraded to Baa1; previously on 1/7/2005
Assigned Aaa
Cl. 3-A-1, Downgraded to B2; previously
on 1/7/2005 Assigned Aaa
Cl. 3-PO, Downgraded to B2; previously on 1/7/2005
Assigned Aaa
Cl. 3-X, Downgraded to B2; previously on 1/7/2005
Assigned Aaa
Cl. II-B-1, Downgraded to C; previously
on 9/22/2008 Downgraded to Baa2
Cl. II-B-2, Downgraded to C; previously
on 9/22/2008 Downgraded to B1
Cl. II-M-1, Downgraded to Ca; previously
on 9/22/2008 Downgraded to A1
CHL Mortgage Pass-Through Trust 2004-7
Cl. 5-A-1, Downgraded to Baa3; previously
on 8/12/2004 Assigned Aaa
Cl. 5-A-3, Downgraded to Baa3; previously
on 8/12/2004 Assigned Aaa
Cl. 6-A-1, Downgraded to Baa3; previously
on 8/12/2004 Assigned Aaa
Cl. II-A-M, Downgraded to Baa3; previously
on 8/12/2004 Assigned Aaa
Cl. II-B-1, Downgraded to Ca; previously
on 8/12/2004 Assigned A2
Cl. II-B-2, Downgraded to C; previously
on 7/17/2007 Upgraded to Baa1
Cl. II-B-3, Downgraded to C; previously
on 7/17/2006 Upgraded to Baa2
Cl. II-B-4, Downgraded to C; previously
on 7/17/2007 Upgraded to Ba3
Cl. II-M, Downgraded to B1; previously on 8/12/2004
Assigned Aa2
CHL Mortgage Pass-Through Trust 2004-HYB8
Cl. 1-A-1, Downgraded to Aa3; previously
on 1/7/2005 Assigned Aaa
Cl. 2-A-1, Downgraded to Aa3; previously
on 1/7/2005 Assigned Aaa
Cl. 4-A-1, Downgraded to Aa3; previously
on 1/7/2005 Assigned Aaa
Cl. 5-A-1, Downgraded to Aa3; previously
on 1/7/2005 Assigned Aaa
Cl. 6-A-1, Downgraded to Aa3; previously
on 1/7/2005 Assigned Aaa
Cl. 7-A-1, Downgraded to Aa3; previously
on 1/7/2005 Assigned Aaa
Cl. I-B-1, Downgraded to Ca; previously
on 1/7/2005 Assigned A2
Cl. I-B-2, Downgraded to C; previously
on 1/7/2005 Assigned Baa2
Cl. I-M-1, Downgraded to Baa3; previously
on 1/7/2005 Assigned Aa1
Cl. I-M-2, Downgraded to B1; previously
on 1/7/2005 Assigned Aa2
Cl. I-X, Downgraded to Aa3; previously on 1/7/2005
Assigned Aaa
CHL Mortgage Pass-Through Trust 2005-1
Cl. 1-A-1, Downgraded to Ba1; previously
on 2/11/2005 Assigned Aaa
Cl. 1-A-2, Downgraded to B3; previously
on 2/11/2005 Assigned Aaa
Cl. 1-X, Downgraded to B2; previously on 2/11/2005
Assigned Aaa
Cl. 2-A-1, Downgraded to Ba1; previously
on 2/11/2005 Assigned Aaa
Cl. 2-A-2, Downgraded to B3; previously
on 2/11/2005 Assigned Aaa
Cl. 2-A-3, Downgraded to B2; previously
on 2/11/2005 Assigned Aaa
Cl. 2-X, Downgraded to B2; previously on 2/11/2005
Assigned Aaa
Cl. M-1, Downgraded to C; previously on 9/22/2008
Downgraded to A2
CHL Mortgage Pass-Through Trust 2005-11
Cl. 1-A-1, Downgraded to B3; previously
on 6/15/2005 Assigned Aaa
Cl. 1-A-2, Downgraded to B3; previously
on 6/15/2005 Assigned Aaa
Cl. 1-X, Downgraded to B3; previously on 6/15/2005
Assigned Aaa
Cl. 2-A-1, Downgraded to B3; previously
on 6/15/2005 Assigned Aaa
Cl. 3-A-1, Downgraded to Baa3; previously
on 6/15/2005 Assigned Aaa
Cl. 3-A-2, Downgraded to Caa1; previously
on 9/22/2008 Downgraded to Aa2
Cl. 3-A-3, Downgraded to B3; previously
on 9/22/2008 Downgraded to Aa1
Cl. 3-X, Downgraded to Caa1; previously on 6/15/2005
Assigned Aaa
Cl. 4-A-1, Downgraded to Baa3; previously
on 6/15/2005 Assigned Aaa
Cl. 4-A-2, Downgraded to Caa1; previously
on 9/22/2008 Downgraded to Aa2
Cl. 4-X, Downgraded to Caa1; previously on 6/15/2005
Assigned Aaa
Cl. 5-A-1, Downgraded to Ba1; previously
on 6/15/2005 Assigned Aaa
Cl. 5-A-2, Downgraded to Ba2; previously
on 6/15/2005 Assigned Aaa
Cl. 5-X, Downgraded to Ba1; previously on 6/15/2005
Assigned Aaa
Cl. 6-A-1, Downgraded to Aa3; previously
on 6/15/2005 Assigned Aaa
Cl. 6-A-2, Downgraded to Ba1; previously
on 6/15/2005 Assigned Aaa
Cl. 6-X, Downgraded to Ba1; previously on 6/15/2005
Assigned Aaa
Cl. I-B-1, Downgraded to C; previously
on 6/19/2008 Downgraded to Ba1
Cl. I-B-2, Downgraded to C; previously
on 6/19/2008 Downgraded to B2
Cl. II-B-1, Downgraded to C; previously
on 9/22/2008 Downgraded to Baa3
Cl. II-B-2, Downgraded to C; previously
on 9/22/2008 Downgraded to B3
Cl. III-B-1, Downgraded to C; previously
on 6/15/2005 Assigned A2
Cl. III-B-3, Downgraded to C; previously
on 6/15/2005 Assigned Ba2
Cl. III-B-4, Downgraded to C; previously
on 6/15/2005 Assigned B2
Cl. III-M-1, Downgraded to Caa1; previously
on 6/15/2005 Assigned Aa2
Cl. II-M-1, Downgraded to C; previously
on 9/22/2008 Downgraded to A1
Cl. I-M-1, Downgraded to C; previously
on 6/19/2008 Downgraded to A2
CHL Mortgage Pass-Through Trust 2005-2
Cl. 1-A-1, Downgraded to B1; previously
on 2/21/2005 Assigned Aaa
Cl. 1-A-2, Downgraded to Caa1; previously
on 2/21/2005 Assigned Aaa
Cl. 1-X, Downgraded to Caa1; previously on 2/21/2005
Assigned Aaa
Cl. 2-A-1, Downgraded to A1; previously
on 2/21/2005 Assigned Aaa
Cl. 2-A-2, Downgraded to Ba2; previously
on 2/21/2005 Assigned Aaa
Cl. 2-A-3, Downgraded to Ba2; previously
on 2/21/2005 Assigned Aaa
Cl. 2-A-4, Downgraded to Caa1; previously
on 2/21/2005 Assigned Aaa
Cl. 2-X, Downgraded to Caa1; previously on 2/21/2005
Assigned Aaa
Cl. B-1, Downgraded to C; previously on 9/22/2008
Downgraded to B3 and Placed Under Review for Downgrade
Cl. M-1, Downgraded to C; previously on 2/21/2005
Assigned Aa1
Cl. M-2, Downgraded to C; previously on 2/21/2005
Assigned Aa2
Cl. M-3, Downgraded to C; previously on 2/21/2005
Assigned Aa3
Cl. M-4, Downgraded to C; previously on 6/19/2008
Downgraded to A2
Cl. M-5, Downgraded to C; previously on 6/19/2008
Downgraded to A3
Cl. M-6, Downgraded to C; previously on 9/22/2008
Downgraded to Baa3
Cl. M-7, Downgraded to C; previously on 9/22/2008
Downgraded to Ba1
Cl. M-8, Downgraded to C; previously on 9/22/2008
Downgraded to Ba2
Cl. M-X, Downgraded to C; previously on 9/22/2008
Downgraded to Aa1
CHL Mortgage Pass-Through Trust 2005-3
Cl. 1-A-1, Downgraded to B3; previously
on 5/31/2005 Assigned Aaa
Cl. 1-A-2, Downgraded to A1; previously
on 5/31/2005 Assigned Aaa
Cl. 1-A-4, Downgraded to Ba1; previously
on 5/31/2005 Assigned Aaa
Cl. 1-A-5, Downgraded to Caa1; previously
on 5/31/2005 Assigned Aaa
Cl. 1-X, Downgraded to B3; previously on 5/31/2005
Assigned Aaa
Cl. 2-A-1, Downgraded to Aa3; previously
on 5/31/2005 Assigned Aaa
Cl. 2-A-2, Downgraded to Caa1; previously
on 5/31/2005 Assigned Aaa
Cl. 2-X, Downgraded to B3; previously on 5/31/2005
Assigned Aaa
Cl. B-1, Downgraded to C; previously on 9/22/2008
Downgraded to Caa1
Cl. M-1, Downgraded to C; previously on 5/31/2005
Assigned Aa1
Cl. M-2, Downgraded to C; previously on 5/31/2005
Assigned Aa2
Cl. M-3, Downgraded to C; previously on 5/31/2005
Assigned Aa3
Cl. M-5, Downgraded to C; previously on 9/22/2008
Downgraded to Baa3
Cl. M-7, Downgraded to C; previously on 9/22/2008
Downgraded to B3
CHL Mortgage Pass-Through Trust 2005-4
Cl. 1-A-1, Downgraded to Ba1; previously
on 2/21/2005 Assigned Aaa
Cl. 1-X-1, Downgraded to Ba1; previously
on 2/21/2005 Assigned Aaa
Cl. 1-X-2, Downgraded to Ba1; previously
on 2/21/2005 Assigned Aaa
Cl. 2-A-1, Downgraded to Ba1; previously
on 2/21/2005 Assigned Aaa
Cl. 2-X, Downgraded to Ba1; previously on 2/21/2005
Assigned Aaa
Cl. 3-A-1, Downgraded to Ba1; previously
on 2/21/2005 Assigned Aaa
Cl. 3-X-1, Downgraded to Ba1; previously
on 2/21/2005 Assigned Aaa
Cl. 3-X-2, Downgraded to Ba1; previously
on 2/21/2005 Assigned Aaa
Cl. 4-A-1, Downgraded to A1; previously
on 2/21/2005 Assigned Aaa
Cl. 4-A-2, Downgraded to Ba1; previously
on 2/21/2005 Assigned Aaa
Cl. 4-X-1, Downgraded to Ba1; previously
on 2/21/2005 Assigned Aaa
Cl. 4-X-2, Downgraded to Ba1; previously
on 2/21/2005 Assigned Aaa
Cl. 5-A-1, Downgraded to Ba1; previously
on 2/21/2005 Assigned Aaa
Cl. 5-X, Downgraded to Ba1; previously on 2/21/2005
Assigned Aaa
Cl. 6-A-1, Downgraded to Ba1; previously
on 2/21/2005 Assigned Aaa
Cl. 6-A-2, Downgraded to Ba1; previously
on 2/21/2005 Assigned Aa1
Cl. 6-A-3, Downgraded to Ba1; previously
on 2/21/2005 Assigned Aaa
Cl. 6-X, Downgraded to Ba1; previously on 2/21/2005
Assigned Aaa
Cl. B-1, Downgraded to C; previously on 9/22/2008
Downgraded to Baa2
Cl. B-2, Downgraded to C; previously on 9/22/2008
Downgraded to Ba2
Cl. M, Downgraded to Caa1; previously on 2/21/2005 Assigned
Aa2
Cl. M-X, Downgraded to Caa1; previously on 2/21/2005
Assigned Aa2
CHL Mortgage Pass-Through Trust 2005-7
Cl. 1-A-1, Downgraded to Aa2; previously
on 2/21/2005 Assigned Aaa
Cl. 1-A-2, Downgraded to Aa3; previously
on 2/21/2005 Assigned Aaa
Cl. 1-X, Downgraded to Aa2; previously on 2/21/2005
Assigned Aaa
Cl. 2-A-1, Downgraded to A1; previously
on 2/21/2005 Assigned Aaa
Cl. 2-A-2, Downgraded to Ba1; previously
on 2/21/2005 Assigned Aaa
Cl. 2-X, Downgraded to Ba1; previously on 2/21/2005
Assigned Aaa
Cl. 3-A-1, Downgraded to Ba1; previously
on 2/21/2005 Assigned Aaa
Cl. 3-A-2, Downgraded to Ba1; previously
on 2/21/2005 Assigned Aaa
Cl. 3-A-3, Downgraded to Ba1; previously
on 2/21/2005 Assigned Aa1
Cl. 3-X, Downgraded to Ba1; previously on 2/21/2005
Assigned Aaa
Cl. I-B-1, Downgraded to Caa1; previously
on 6/19/2008 Downgraded to Ba2
Cl. I-B-2, Downgraded to C; previously
on 12/24/2008 Downgraded to Ca
Cl. II-B-1, Downgraded to C; previously
on 2/21/2005 Assigned A2
Cl. II-B-2, Downgraded to C; previously
on 2/21/2005 Assigned Baa2
Cl. II-M-1, Downgraded to Caa1; previously
on 2/21/2005 Assigned Aa2
Cl. I-M-1, Downgraded to Ba1; previously
on 12/24/2008 Downgraded to A1
CHL Mortgage Pass-Through Trust 2005-9
Cl. 1-A-1, Downgraded to A1; previously
on 6/14/2005 Assigned Aaa
Cl. 1-A-2, Downgraded to B3; previously
on 6/14/2005 Assigned Aaa
Cl. 1-A-3, Downgraded to A1; previously
on 6/14/2005 Assigned Aaa
Cl. 1-A-5, Downgraded to Ba2; previously
on 6/14/2005 Assigned Aaa
Cl. 1-A-6, Downgraded to B3; previously
on 6/14/2005 Assigned Aaa
Cl. 1-X, Downgraded to B1; previously on 6/14/2005
Assigned Aaa
Cl. 2-A-1, Downgraded to Ba1; previously
on 6/14/2005 Assigned Aaa
Cl. 2-A-2, Downgraded to Caa1; previously
on 6/14/2005 Assigned Aaa
Cl. 2-X, Downgraded to Ba1; previously on 6/14/2005
Assigned Aaa
Cl. B-1, Downgraded to C; previously on 9/22/2008
Downgraded to Ba2
Cl. M-1, Downgraded to Ca; previously on 6/14/2005
Assigned Aa1
Cl. M-2, Downgraded to C; previously on 6/14/2005
Assigned Aa2
Cl. M-3, Downgraded to C; previously on 6/14/2005
Assigned Aa3
Cl. M-5, Downgraded to C; previously on 9/22/2008
Downgraded to Baa2
CHL Mortgage Pass-Through Trust 2005-HYB1
Cl. 1-A-1, Downgraded to Baa1; previously
on 2/14/2005 Assigned Aaa
Cl. 1-A-2, Downgraded to B3; previously
on 2/14/2005 Assigned Aaa
Cl. 1-A-X, Downgraded to B3; previously
on 2/14/2005 Assigned Aaa
Cl. 2-A-1, Downgraded to B3; previously
on 2/14/2005 Assigned Aaa
Cl. 2-A-X, Downgraded to B3; previously
on 2/14/2005 Assigned Aaa
Cl. 3-A-1, Downgraded to B3; previously
on 2/14/2005 Assigned Aaa
Cl. 4-A-1, Downgraded to Baa3; previously
on 12/24/2008 Downgraded to Aa2
Cl. 4-A-2, Downgraded to Ba1; previously
on 12/24/2008 Downgraded to A2
Cl. 5-A-1, Downgraded to Ba1; previously
on 12/24/2008 Downgraded to A1
Cl. 6-A-1, Downgraded to Ba1; previously
on 12/24/2008 Downgraded to A1
Cl. I-B-1, Downgraded to C; previously
on 2/14/2005 Assigned A2
Cl. I-B-2, Downgraded to C; previously
on 6/19/2008 Downgraded to Ba1
Cl. II-B-1, Downgraded to Ca; previously
on 12/24/2008 Downgraded to Ba3
Cl. II-B-2, Downgraded to C; previously
on 12/24/2008 Downgraded to Ca
Cl. II-M, Downgraded to B2; previously on 12/24/2008
Downgraded to Baa1
Cl. I-M, Downgraded to Ca; previously on 2/14/2005
Assigned Aa2
CHL Mortgage Pass-Through Trust 2006-3
Cl. 1-A-1, Downgraded to Ba1; previously
on 3/6/2006 Assigned Aaa
Cl. 1-A-2, Downgraded to Caa2; previously
on 9/22/2008 Downgraded to Aa1
Cl. 1-A-3, Downgraded to Ca; previously
on 9/22/2008 Downgraded to Ba1
Cl. 1-M-1, Downgraded to C; previously
on 9/22/2008 Downgraded to Caa2
Cl. 1-M-2, Downgraded to C; previously
on 9/22/2008 Downgraded to Ca
Cl. 2-A-1, Downgraded to Baa1; previously
on 3/6/2006 Assigned Aaa
Cl. 2-A-2, Downgraded to B2; previously
on 3/6/2006 Assigned Aaa
Cl. 2-A-3, Downgraded to Caa1; previously
on 9/22/2008 Downgraded to Aa2
Cl. 2-M-1, Downgraded to C; previously
on 9/22/2008 Downgraded to B3 and Placed Under Review for Downgrade
Cl. 2-M-2, Downgraded to C; previously
on 9/22/2008 Downgraded to Ca
Cl. 2-M-3, Downgraded to C; previously
on 9/22/2008 Downgraded to Ca
Cl. 3-A-1, Downgraded to Ba2; previously
on 3/6/2006 Assigned Aaa
Cl. 3-A-2, Downgraded to Caa2; previously
on 9/22/2008 Downgraded to Baa3
Cl. 3-A-3, Downgraded to Ca; previously
on 9/22/2008 Downgraded to Ba3
Cl. 3-M-1, Downgraded to C; previously
on 9/22/2008 Downgraded to Ca
Cl. 3-M-2, Downgraded to C; previously
on 9/22/2008 Downgraded to Ca
CHL Mortgage Pass-Through Trust 2006-OA1
Cl. 1-A-1, Downgraded to Caa1; previously
on 3/10/2006 Assigned Aaa
Cl. 1-A-2, Downgraded to Ca; previously
on 3/10/2006 Assigned Aaa
Cl. 1-A-3, Downgraded to Ca; previously
on 9/22/2008 Downgraded to Ba2
Cl. 1-X, Downgraded to Caa3; previously on 3/10/2006
Assigned Aaa
Cl. 2-A-1, Downgraded to B3; previously
on 3/10/2006 Assigned Aaa
Cl. 2-A-2, Downgraded to Ca; previously
on 3/10/2006 Assigned Aaa
Cl. 2-A-3, Downgraded to Ca; previously
on 9/22/2008 Downgraded to Ba2
Cl. 2-X, Downgraded to Caa3; previously on 3/10/2006
Assigned Aaa
Cl. M-1, Downgraded to C; previously on 9/22/2008
Downgraded to B3 and Placed Under Review for Downgrade
Cl. M-2, Downgraded to C; previously on 9/22/2008
Downgraded to Caa1
Cl. M-3, Downgraded to C; previously on 9/22/2008
Downgraded to Caa3
Cl. M-4, Downgraded to C; previously on 9/22/2008
Downgraded to Ca
Cl. M-5, Downgraded to C; previously on 9/22/2008
Downgraded to Ca
Cl. M-6, Downgraded to C; previously on 9/22/2008
Downgraded to Ca
Cl. M-7, Downgraded to C; previously on 6/19/2008
Downgraded to Ca
Cl. M-8, Downgraded to C; previously on 6/19/2008
Downgraded to Ca
Cl. M-9, Downgraded to C; previously on 6/19/2008
Downgraded to Ca
CHL Mortgage Pass-Through Trust 2006-OA4
Cl. A-1, Downgraded to Caa3; previously on 9/22/2008
Downgraded to Ba2
Cl. A-2, Downgraded to Caa3; previously on 9/22/2008
Downgraded to Ba2
Cl. A-3, Downgraded to Caa3; previously on 9/22/2008
Downgraded to Ba2
Cl. M-1, Downgraded to C; previously on 9/22/2008
Downgraded to B3 and Placed Under Review for Downgrade
Cl. M-2, Downgraded to C; previously on 9/22/2008
Downgraded to Caa2
Cl. M-3, Downgraded to C; previously on 9/22/2008
Downgraded to Ca
Cl. M-4, Downgraded to C; previously on 9/22/2008
Downgraded to Ca
CHL Mortgage Pass-Through Trust 2006-OA5
Cl. 1-A-1, Downgraded to B3; previously
on 3/9/2006 Assigned Aaa
Cl. 1-A-2, Downgraded to Ca; previously
on 9/22/2008 Downgraded to Aa3
Cl. 1-A-3, Downgraded to Ca; previously
on 9/22/2008 Downgraded to Ba3
Cl. 2-A-1, Downgraded to Caa1; previously
on 3/9/2006 Assigned Aaa
Cl. 2-A-2, Downgraded to Ca; previously
on 9/22/2008 Downgraded to Aa3
Cl. 2-A-3, Downgraded to Ca; previously
on 9/22/2008 Downgraded to Ba3
Cl. 3-A-1, Downgraded to Ba1; previously
on 3/9/2006 Assigned Aaa
Cl. 3-A-2, Downgraded to Caa3; previously
on 3/9/2006 Assigned Aaa
Cl. 3-A-3, Downgraded to Ca; previously
on 9/22/2008 Downgraded to Aa2
Cl. II-M-1, Downgraded to C; previously
on 9/22/2008 Downgraded to B3 and Placed Under Review for Downgrade
Cl. II-M-2, Downgraded to C; previously
on 9/22/2008 Downgraded to Ca
Cl. II-M-3, Downgraded to C; previously
on 9/22/2008 Downgraded to Ca
Cl. I-M-1, Downgraded to C; previously
on 9/22/2008 Downgraded to B3 and Placed Under Review for Downgrade
Cl. I-M-2, Downgraded to C; previously
on 9/22/2008 Downgraded to Ca
Cl. X, Downgraded to Caa1; previously on 3/9/2006 Assigned
Aaa
The ratings on the notes were assigned by evaluating factors determined
to be applicable to the credit profile of the notes, such as i)
the nature, sufficiency, and quality of historical performance
information regarding the asset class as well as for the transaction sponsor,
ii) an analysis of the collateral, iii) an analysis of the policies,
procedures and alignment of interests of the key parties to the transaction,
most notably the originator and the servicer, iv) an analysis of
the transaction's allocation of collateral cashflow and capital structure,
v) an analysis of the transaction's governance and legal structure,
and (vi) a comparison of these attributes against those of other similar
transactions.
Other methodologies and factors that may have been considered in the process
of rating this issue can also be found at www.moodys.com
in the Credit Policy & Methodologies directory.
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF157509
For more information please see www.moodys.com.
A list of updated estimated pool losses is being updated twice weekly
and may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF154891
For more information please see www.moodys.com.
New York
John Park
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Trevor Harris
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Takes Action on Certain CHL Alt-A and Option ARM deals