New York, May 26, 2009 -- Moody's Investors Service has downgraded the ratings of 37 tranches from
6 Alt-A RMBS transactions issued by Countrywide. The collateral
backing these transactions consists primarily of first-lien,
fixed and adjustable-rate, Alt-A residential mortgage
loans.
These actions are a result of updated loss expectations on the underlying
collateral relative to available credit enhancement.
Moody's methodology for rating securities for more seasoned Alt-A
pools, takes into account the annualized loss rate from last 12
months ("Recent Losses") and the projected loss rate over
next 12 months ("Pipeline Losses"), and then translates
these measures into lifetime losses based on a deal's expected remaining
life. Recent Losses are calculated by assessing cumulative losses
incurred over the past 12-months as a percentage of the average
pool factor in the last year. For Pipeline Losses, Moody's
uses an annualized roll rate of 15%, 30%, 65%
and 90% for loans that are delinquent 60-days, 90+
days, are in foreclosure, and REO respectively. Moody's
then applies deal-specific severity assumptions ranging from 40%
to 55%. The results of these two calculations - Recent
Losses and Pipeline Losses - are weighted to arrive at the lifetime
cumulative loss projection.
Once expected losses have been determined, Moody's assesses
available credit enhancement from subordination, overcollateralization,
excess spread and any external support (mortgage insurance, pool
policy, etc.). The available enhancement is weighed
against projected future losses to ultimately arrive at an updated rating.
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 and Methodologies directory.
List of actions:
Alternative Loan Trust 2004-J13
Cl. M-1, Downgraded to Aa3; previously on 1/10/2005
Assigned Aa2
Cl. M-2, Downgraded to Ba1; previously on 11/5/2008
Downgraded to Baa2
Alternative Loan Trust 2004-J4
Cl. 1-A-5, Downgraded to Aa2; previously
on 5/21/2004 Assigned Aaa
Cl. 1-A-6, Downgraded to Aa2; previously
on 5/21/2004 Assigned Aaa
Cl. 1-A-7, Downgraded to Aa2; previously
on 5/21/2004 Assigned Aaa
Cl. 2-A-1, Downgraded to Aa2; previously
on 5/21/2004 Assigned Aaa
Cl. M-1, Downgraded to A3; previously on 5/21/2004
Assigned Aa2
Cl. M-2, Downgraded to Ba1; previously on 5/21/2004
Assigned A2
Cl. B, Downgraded to B1; previously on 5/21/2004 Assigned
Baa2
Alternative Loan Trust 2004-J5
Cl. 1-A-5, Downgraded to Aa1; previously
on 7/14/2004 Assigned Aaa
Cl. 1-A-6, Downgraded to Aa1; previously
on 7/14/2004 Assigned Aaa
Cl. 2-A-1, Downgraded to Aa1; previously
on 7/14/2004 Assigned Aaa
Cl. 2-A-3, Downgraded to Aa1; previously
on 7/14/2004 Assigned Aaa
Cl. 2-A-4, Downgraded to Aa2; previously
on 7/14/2004 Assigned Aa1
Cl. M-1, Downgraded to A3; previously on 7/14/2004
Assigned Aa2
Cl. M-2, Downgraded to B1; previously on 11/5/2008
Downgraded to Baa1
Cl. B, Downgraded to Ca; previously on 11/5/2008 Downgraded
to Caa1
Alternative Loan Trust 2004-J7
Cl. 1-A-3, Downgraded to Aa2; previously
on 11/5/2008 Downgraded to Aa1
Cl. 2-A-1, Downgraded to Baa1; previously
on 11/5/2008 Downgraded to Aa2
Cl. 3-A-1, Downgraded to Baa1; previously
on 11/5/2008 Downgraded to Aa2
Cl. M-1, Downgraded to B1; previously on 11/5/2008
Downgraded to Baa2
Cl. M-2, Downgraded to Caa3; previously on 11/5/2008
Downgraded to Caa1
Cl. B, Downgraded to C; previously on 11/5/2008 Downgraded
to Ca
Alternative Loan Trust 2004-J8
Cl. 1-A-1, Downgraded to A2; previously
on 9/14/2004 Assigned Aaa
Cl. 1-X, Downgraded to A2; previously on 9/14/2004
Assigned Aaa
Cl. 2-A-1, Downgraded to A2; previously
on 9/14/2004 Assigned Aaa
Cl. 2-X, Downgraded to A2; previously on 9/14/2004
Assigned Aaa
Cl. 3-A-1, Downgraded to Aa3; previously
on 9/14/2004 Assigned Aaa
Cl. 3-X, Downgraded to Aa3; previously on 9/14/2004
Assigned Aaa
Cl. 4-A-1, Downgraded to Aa3; previously
on 9/14/2004 Assigned Aaa
Cl. 4-X, Downgraded to Aa3; previously on 9/14/2004
Assigned Aaa
Cl. PO-A, Downgraded to A2; previously on 9/14/2004
Assigned Aaa
Cl. PO-B, Downgraded to A2; previously on 9/14/2004
Assigned Aaa
Cl. M-IO, Downgraded to A2; previously on 9/14/2004
Assigned Aaa
Alternative Loan Trust 2004-J9
Cl. M-1, Downgraded to Baa2; previously on 10/7/2004
Assigned Aa2
Cl. M-2, Downgraded to Caa1; previously on 10/14/2008
Downgraded to Baa2
Cl. B, Downgraded to C; previously on 10/14/2008 Downgraded
to Caa1
A list of these actions including CUSIP identifiers may be found at:
www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF167004
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 CWALT Alt-A Seasoned Deals