New York, March 13, 2009 -- Moody's Investors Service has downgraded 19 tranches from 5 Countrywide
deals.
The collateral backing these transactions consists primarily of first-lien,
fixed-rate, 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 Alt-A
pools. The actions listed below reflect Moody's updated expected
losses on the Alt-A sector announced in a press release on January
22, 2009,
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.
General loss estimation methodology is outlined below.
For details regarding Moody's approach towards calculating updated expected
losses on Alt-A 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.
Moody's followed a similar approach for deals from the 2005 vintage 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 vintages. These
differences are aimed at better capturing the specific characteristics
of loans from the 2005 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:
Alternative Loan Trust 2005-11CB
Cl. M, Downgraded to B3; previously on 5/31/2005 Assigned
Aa3
Cl. B-1, Downgraded to Ca; previously on 5/31/2005
Assigned A3
Cl. B-2, Downgraded to C; previously on 5/31/2005
Assigned Baa2
Alternative Loan Trust 2005-42CB
Cl. B-2, Downgraded to C; previously on 4/22/2008
Downgraded to Ba2
Alternative Loan Trust 2005-54CB
Cl. M, Downgraded to C; previously on 10/14/2005 Assigned
Aa3
Cl. B-1, Downgraded to C; previously on 4/22/2008
Downgraded to Baa2
Cl. B-2, Downgraded to C; previously on 4/22/2008
Downgraded to Ba3
Alternative Loan Trust 2005-80CB
Cl. M, Downgraded to C; previously on 8/11/2008 Downgraded
to B1
Cl. B-1, Downgraded to C; previously on 8/11/2008
Downgraded to Ca
Cl. B-2, Downgraded to C; previously on 4/22/2008
Downgraded to Ca
Alternative Loan Trust 2006-39CB
Cl. M-1, Downgraded to C; previously on 4/22/2008
Downgraded to Ba3
Cl. M-2, Downgraded to C; previously on 4/22/2008
Downgraded to B1
Cl. M-3, Downgraded to C; previously on 8/11/2008
Downgraded to Caa1
Cl. M-4, Downgraded to C; previously on 8/11/2008
Downgraded to Caa3
Cl. M-5, Downgraded to C; previously on 8/11/2008
Downgraded to Ca
Cl. M-6, Downgraded to C; previously on 4/22/2008
Downgraded to Ca
Cl. M-7, Downgraded to C; previously on 4/22/2008
Downgraded to Ca
Cl. B-1, Downgraded to C; previously on 4/22/2008
Downgraded to Ca
Cl. B-2, Downgraded to C; previously on 4/22/2008
Downgraded to Ca
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_SF159640
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
Ola Hannoun-Costa
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Takes Action on Certain CWALT CB Alt-A deals