New York, July 13, 2010 -- Moody's Investors Service has downgraded the ratings of 270 tranches and
confirmed the ratings of 4 tranches from 8 RMBS transactions, backed
by Alt-A loans, issued by CSFB Mortgage-Backed Pass-Through
Securities in 2005.
The collateral backing these transactions consists primarily of first-lien,
fixed-rate, Alt-A residential mortgage loans.
The actions are a result of the rapidly deteriorating performance of Alt-A
pools in conjunction with macroeconomic conditions that remain under duress.
The actions reflect Moody's updated loss expectations on Alt-A
pools issued from 2005 to 2007. For details regarding Moody's approach
to estimating losses on Alt-A pools originated in 2005, 2006,
and 2007, please refer to the methodology publication "Alt-A
RMBS Loss Projection Update: February 2010" available on Moodys.com.
To assess the rating implications of the updated loss levels on Alt-A
RMBS, each individual pool was run through a variety of scenarios
in the Structured Finance Workstation® (SFW), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the different
pools and the structural features of the transaction including priorities
of payment distribution among the different tranches, average life
of the tranches, current balances of the tranches and future cash
flows under expected and stressed scenarios. The scenarios include
ninety-six different combinations comprising of six loss levels,
four loss timing curves and four prepayment curves. The volatility
in losses experienced by a tranche due to small increments in losses on
the underlying mortgage pool is taken into consideration when assigning
ratings.
The above mentioned approach "Alt-A RMBS Loss Projection Update:
February 2010" is adjusted slightly when estimating losses on pools left
with a small number of loans. To project losses on pools with fewer
than 100 loans, Moody's first estimates a "baseline"
average rate of new delinquencies for the pool that is dependent on the
vintage of loan origination (10%, 19% and 21%
for the 2005, 2006 and 2007 vintage respectively). This baseline
rate is higher than the average rate of new delinquencies for the vintage
to account for the volatile nature of small pools. Even if a few
loans in a small pool become delinquent, there could be a large
increase in the overall pool delinquency level due to the concentration
risk.Once the baseline rate is set, further adjustments are
made based on 1) the number of loans remaining in the pool and 2) the
level of current delinquencies in the pool. The fewer the number
of loans remaining in the pool, the higher the volatility and hence
the stress applied. Once the loan count in a pool falls below 75,
the rate of delinquency is increased by 1% for every loan less
than 75. For example, for a pool with 74 loans from the 2005
vintage, the adjusted rate of new delinquency would be 10.10%.
If current delinquency levels in a small pool is low, future delinquencies
are expected to reflect this trend. To account for that,
the rate calculated above is multiplied by a factor ranging from 0.2
to 2.0 for current delinquencies ranging from less than 2.5%
to greater than 50% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the approach described
in the methodology publication.
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 Rating Methodologies sub-directory under the Research &
Ratings tab. In addition, Moody's publishes a weekly summary
of structured finance credit, ratings and methodologies, available
to all registered users of our website, at www.moodys.com/SFQuickCheck
Complete rating actions are as follows:
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2005-10
Cl. I-A-1, Downgraded to Caa1; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to B3; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. III-A-1, Downgraded to Caa1; previously
on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade
Cl. III-A-2, Downgraded to Caa1; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. III-A-3, Downgraded to Caa3; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. III-A-4, Downgraded to C; previously
on Jan 14, 2010 Caa3 Placed Under Review for Possible Downgrade
Cl. IV-A-1, Downgraded to Ca; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. IV-A-2, Downgraded to C; previously
on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade
Cl. V-A-1, Downgraded to Caa2; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. V-A-2, Downgraded to Caa2; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. V-A-3, Downgraded to Caa2; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. V-A-4, Downgraded to Caa2; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. V-A-5, Confirmed at Caa2; previously
on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. V-A-6, Downgraded to Caa2; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. V-A-7, Downgraded to Caa2; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. V-A-8, Downgraded to Caa2; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. V-A-9, Downgraded to Caa2; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. V-A-10, Downgraded to C; previously
on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade
Cl. VI-A-1, Downgraded to Caa2; previously
on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. VI-A-2, Downgraded to Caa2; previously
on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. VI-A-3, Downgraded to Caa2; previously
on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. VI-A-4, Downgraded to Caa2; previously
on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. VI-A-5, Downgraded to Caa2; previously
on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. VI-A-6, Downgraded to Caa1; previously
on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. VI-A-7, Downgraded to Caa2; previously
on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. VI-A-8, Downgraded to Caa2; previously
on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. VI-A-9, Downgraded to Caa2; previously
on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. VI-A-10, Downgraded to Caa2; previously
on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade
Cl. VI-A-11, Downgraded to Caa2; previously
on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. VI-A-12, Downgraded to Caa2; previously
on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. VI-A-13, Downgraded to Caa2; previously
on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. VI-A-14, Downgraded to Caa1; previously
on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. VI-A-15, Downgraded to C; previously
on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. VII-A-1, Downgraded to B2; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. VIII-A-1, Downgraded to Caa3; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. VIII-A-2, Downgraded to Caa3; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. VIII-A-3, Downgraded to Caa3; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. VIII-A-4, Downgraded to C; previously
on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade
Cl. IX-A-1, Downgraded to Caa3; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. X-A-1, Downgraded to Ca; previously
on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. X-A-2, Downgraded to Ca; previously
on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. X-A-3, Downgraded to Caa3; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. X-A-4, Downgraded to Ca; previously
on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. X-A-5, Downgraded to C; previously
on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade
Cl. XI-A-1, Downgraded to Caa1; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. XII-A-1, Downgraded to Caa1; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. A-X, Downgraded to Caa1; previously on Jan
14, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. A-P, Downgraded to Caa2; previously on Jan
14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. C-X, Downgraded to B2; previously on Jan
14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. C-P, Downgraded to Caa1; previously on Jan
14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. D-X-1, Downgraded to Caa1; previously
on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade
Cl. D-X-2, Downgraded to Caa3; previously
on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2005-11
Cl. 1-A-1, Downgraded to Caa3; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Caa2; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. 3-A-1, Downgraded to Ca; previously
on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. 3-A-2, Downgraded to Ca; previously
on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. 3-A-3, Downgraded to Ca; previously
on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. 3-A-4, Downgraded to C; previously
on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade
Cl. 3-A-5, Downgraded to Ca; previously
on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. 3-A-6, Downgraded to Caa1; previously
on Jan 14, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. 3-A-7, Downgraded to Ca; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. 4-A-1, Downgraded to Ca; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. 7-A-1, Downgraded to Caa3; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. 7-A-2, Downgraded to C; previously
on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade
Cl. D-X, Downgraded to Caa1; previously on Jan
14, 2010 B2 Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2005-4
Cl. I-A-1, Downgraded to B2; previously
on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. I-X, Downgraded to B2; previously on Dec
17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to Caa1; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to B1; previously
on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade
Cl. II-A-3, Downgraded to Caa2; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. II-A-4, Downgraded to Caa2; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. II-A-5, Downgraded to Caa1; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. II-A-6, Downgraded to B1; previously
on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade
Cl. II-A-7, Downgraded to B1; previously
on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade
Cl. II-A-8, Downgraded to Caa1; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. II-A-9, Downgraded to Ca; previously
on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. II-X, Downgraded to B1; previously on Jan
14, 2010 A1 Placed Under Review for Possible Downgrade
Cl. III-A-1, Downgraded to B3; previously
on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-2, Downgraded to Caa1; previously
on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-3, Downgraded to Caa1; previously
on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-4, Downgraded to B3; previously
on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-5, Downgraded to B3; previously
on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-6, Downgraded to B3; previously
on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-7, Downgraded to B3; previously
on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-8, Downgraded to Caa1; previously
on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-10, Downgraded to B2; previously
on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-11, Downgraded to B2; previously
on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-12, Downgraded to B2; previously
on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-13, Downgraded to Caa1; previously
on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-14, Downgraded to B1; previously
on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade
Cl. III-A-15, Downgraded to B3; previously
on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-16, Downgraded to B1; previously
on Dec 17, 2009 A2 Placed Under Review for Possible Downgrade
Cl. III-A-17, Downgraded to B2; previously
on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade
Cl. III-A-18, Downgraded to Caa1; previously
on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-19, Downgraded to C; previously
on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade
Cl. III-A-20, Downgraded to B2; previously
on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade
Cl. III-A-21, Downgraded to B3; previously
on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-22, Downgraded to Caa1; previously
on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-23, Downgraded to Caa1; previously
on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-24, Downgraded to B3; previously
on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-25, Downgraded to B2; previously
on Dec 17, 2009 A3 Placed Under Review for Possible Downgrade
Cl. III-X, Downgraded to B1; previously on Dec
17, 2009 A2 Placed Under Review for Possible Downgrade
Cl. A-P, Downgraded to Caa1; previously on Dec
17, 2009 Baa3 Placed Under Review for Possible Downgrade
Cl. C-B-3, Downgraded to C; previously
on Jul 1, 2009 Downgraded to Ca
Cl. D-B-2, Downgraded to C; previously
on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade
Cl. D-B-3, Downgraded to C; previously
on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2005-5
Cl. I-A-1, Downgraded to B1; previously
on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to Caa1; previously
on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to B3; previously
on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade
Cl. II-A-3, Downgraded to Caa1; previously
on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade
Cl. II-A-4, Downgraded to Caa1; previously
on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade
Cl. II-A-5, Downgraded to Caa1; previously
on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade
Cl. II-A-6, Downgraded to Caa1; previously
on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade
Cl. II-A-7, Downgraded to Caa1; previously
on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade
Cl. II-A-8, Downgraded to Ba3; previously
on Dec 17, 2009 Aaa Placed Under Review for Possible Downgrade
Cl. II-A-9, Downgraded to B3; previously
on Dec 17, 2009 Aa1 Placed Under Review for Possible Downgrade
Cl. II-A-10, Downgraded to Caa1; previously
on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade
Cl. II-A-11, Downgraded to B1; previously
on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade
Cl. II-A-12, Downgraded to B1; previously
on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade
Cl. II-A-13, Downgraded to Caa1; previously
on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade
Cl. II-A-14, Downgraded to Caa1; previously
on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade
Cl. II-A-15, Downgraded to C; previously
on Dec 17, 2009 A1 Placed Under Review for Possible Downgrade
Cl. II-A-16, Downgraded to Caa1; previously
on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade
Cl. II-X, Downgraded to Ba3; previously on Dec
17, 2009 Aaa Placed Under Review for Possible Downgrade
Cl. III-A-1, Downgraded to B1; previously
on Jan 14, 2010 Aa2 Placed Under Review for Possible Downgrade
Cl. III-A-2, Downgraded to B2; previously
on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade
Cl. III-A-3, Downgraded to B2; previously
on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade
Cl. III-A-4, Downgraded to B1; previously
on Jan 14, 2010 Aa3 Placed Under Review for Possible Downgrade
Cl. III-A-5, Downgraded to B3; previously
on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade
Cl. III-A-6, Downgraded to B2; previously
on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade
Cl. III-A-7, Downgraded to Ca; previously
on Jan 14, 2010 A2 Placed Under Review for Possible Downgrade
Cl. IV-A-1, Downgraded to B1; previously
on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade
Cl. IV-A-2, Downgraded to Ca; previously
on Jan 14, 2010 A2 Placed Under Review for Possible Downgrade
Cl. V-A-1, Downgraded to B2; previously
on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade
Cl. VI-A-1, Downgraded to B1; previously
on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade
Cl. VI-A-2, Downgraded to B1; previously
on Dec 17, 2009 Aa2 Placed Under Review for Possible Downgrade
Cl. VI-A-3, Downgraded to B2; previously
on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade
Cl. VI-A-4, Downgraded to B2; previously
on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade
Cl. VII-A-1, Downgraded to Caa1; previously
on Dec 17, 2009 Aa3 Placed Under Review for Possible Downgrade
Cl. C-X, Downgraded to B1; previously on Dec
17, 2009 Aa3 Placed Under Review for Possible Downgrade
Cl. C-P, Downgraded to B3; previously on Dec
17, 2009 A1 Placed Under Review for Possible Downgrade
Cl. C-B-1, Downgraded to C; previously
on Dec 17, 2009 Baa1 Placed Under Review for Possible Downgrade
Cl. C-B-2, Downgraded to C; previously
on Dec 17, 2009 Ba3 Placed Under Review for Possible Downgrade
Cl. C-B-3, Downgraded to C; previously
on Dec 17, 2009 B3 Placed Under Review for Possible Downgrade
Cl. C-B-4, Downgraded to C; previously
on Jul 1, 2009 Downgraded to Ca
Cl. D-X, Downgraded to B1; previously on Jan
14, 2010 Aa2 Remained On Review for Possible Downgrade
Cl. D-P, Downgraded to B3; previously on Dec
17, 2009 A1 Placed Under Review for Possible Downgrade
Cl. D-B-1, Downgraded to C; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. D-B-2, Downgraded to C; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. D-B-3, Downgraded to C; previously
on Jan 14, 2010 Caa3 Placed Under Review for Possible Downgrade
Cl. D-B-4, Downgraded to C; previously
on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2005-6
Cl. I-A-2, Downgraded to A1; previously
on Jan 14, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to Caa3; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. I-A-4, Downgraded to B1; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. I-M-1, Downgraded to C; previously
on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to B2; previously
on Jan 14, 2010 A3 Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to B2; previously
on Jan 14, 2010 A3 Placed Under Review for Possible Downgrade
Cl. II-A-3, Downgraded to B1; previously
on Jan 14, 2010 Aa1 Placed Under Review for Possible Downgrade
Cl. II-A-4, Downgraded to B3; previously
on Jan 14, 2010 A3 Placed Under Review for Possible Downgrade
Cl. II-A-5, Downgraded to B3; previously
on Jan 14, 2010 A3 Placed Under Review for Possible Downgrade
Cl. II-A-6, Downgraded to B3; previously
on Jan 14, 2010 A3 Placed Under Review for Possible Downgrade
Cl. II-A-7, Downgraded to B3; previously
on Jan 14, 2010 A3 Placed Under Review for Possible Downgrade
Cl. II-A-8, Downgraded to Ca; previously
on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. II-A-9, Downgraded to B2; previously
on Jan 14, 2010 A3 Placed Under Review for Possible Downgrade
Cl. III-A-1, Downgraded to B2; previously
on Jan 14, 2010 A3 Placed Under Review for Possible Downgrade
Cl. IV-A-1, Downgraded to B2; previously
on Jan 14, 2010 A3 Placed Under Review for Possible Downgrade
Cl. V-A-1, Downgraded to Caa1; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. V-A-2, Downgraded to Caa2; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. V-A-3, Downgraded to Caa1; previously
on Jan 14, 2010 A1 Placed Under Review for Possible Downgrade
Cl. V-A-4, Downgraded to C; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. VI-A-1, Downgraded to Caa2; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. VI-A-2, Downgraded to C; previously
on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. VII-A-1, Downgraded to Caa2; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. VII-A-2, Downgraded to C; previously
on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. VIII-A-1, Downgraded to B2; previously
on Jan 14, 2010 A3 Placed Under Review for Possible Downgrade
Cl. IX-A-1, Downgraded to Caa1; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. A-X, Downgraded to B2; previously on Jan
14, 2010 A3 Placed Under Review for Possible Downgrade
Cl. A-P, Downgraded to B3; previously on Jan
14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. C-X, Downgraded to B2; previously on Jan
14, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. D-X, Downgraded to B1; previously on Jan
14, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. D-B-1, Downgraded to C; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. D-B-2, Downgraded to C; previously
on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2005-8
Cl. I-A-1, Downgraded to Caa1; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Caa2; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to Caa1; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. I-A-4, Downgraded to C; previously
on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to Caa2; previously
on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to C; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. III-A-1, Downgraded to Caa1; previously
on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. III-A-2, Downgraded to Caa1; previously
on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. III-A-3, Downgraded to Caa1; previously
on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. III-A-5, Downgraded to Caa1; previously
on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. III-A-6, Downgraded to Caa1; previously
on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. III-A-7, Downgraded to Caa1; previously
on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. III-A-8, Downgraded to Caa1; previously
on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. III-A-9, Downgraded to Caa1; previously
on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. III-A-10, Downgraded to Caa1; previously
on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-11, Downgraded to Caa1; previously
on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. III-A-12, Downgraded to C; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. III-A-13, Confirmed at Aaa; previously
on Jan 14, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. III-A-14, Downgraded to B3; previously
on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. III-A-15, Downgraded to Caa1; previously
on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-16, Downgraded to C; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. III-A-17, Downgraded to Caa1; previously
on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. III-A-18, Downgraded to B3; previously
on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-19, Downgraded to B3; previously
on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-20, Downgraded to B3; previously
on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade
Cl. III-A-21, Downgraded to Caa1; previously
on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. IV-A-1, Downgraded to Caa2; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. V-A-1, Downgraded to Caa2; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. V-A-2, Downgraded to C; previously
on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade
Cl. V-A-3, Downgraded to Caa2; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. VI-A-1, Downgraded to Caa2; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. VII-A-1, Downgraded to Ca; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. VIII-A-1, Downgraded to Ca; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. IX-A-1, Downgraded to Caa1; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. IX-A-2, Confirmed at B3; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. IX-A-3, Downgraded to Caa2; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. IX-A-4, Downgraded to Caa2; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. IX-A-6, Downgraded to B3; previously
on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade
Cl. IX-A-8, Downgraded to Caa2; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. IX-A-9, Downgraded to Caa2; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. IX-A-10, Downgraded to Caa2; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. IX-A-11, Downgraded to Caa2; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. IX-A-12, Downgraded to Ca; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. IX-A-13, Downgraded to Caa1; previously
on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade
Cl. IX-A-14, Downgraded to Caa2; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. IX-A-15, Downgraded to C; previously
on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade
Cl. A-P, Downgraded to Caa3; previously on Jan
14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. A-X, Downgraded to B3; previously on Jan
14, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. D-X, Downgraded to Caa1; previously on Jan
14, 2010 B1 Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2005-9
Cl. I-A-1, Downgraded to B3; previously
on Dec 17, 2009 Baa3 Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Caa1; previously
on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to B3; previously
on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. I-A-4, Downgraded to Caa1; previously
on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade
Cl. I-A-5, Downgraded to Caa1; previously
on Dec 17, 2009 Ba1 Placed Under Review for Possible Downgrade
Cl. I-A-6, Downgraded to C; previously
on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to Caa1; previously
on Dec 17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to C; previously
on Dec 17, 2009 Ba2 Placed Under Review for Possible Downgrade
Cl. III-A-1, Downgraded to Ca; previously
on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. III-A-2, Downgraded to Ca; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. III-A-3, Downgraded to C; previously
on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade
Cl. IV-A-1, Downgraded to B3; previously
on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade
Cl. IV-A-2, Downgraded to B3; previously
on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. IV-A-3, Downgraded to C; previously
on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade
Cl. IV-A-4, Downgraded to B3; previously
on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. IV-X, Downgraded to B3; previously on Jan
14, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. V-A-1, Downgraded to Caa3; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. V-A-2, Downgraded to Caa3; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. V-A-3, Downgraded to Caa3; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. V-A-4, Downgraded to Caa3; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. V-A-6, Downgraded to Caa3; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. V-A-7, Downgraded to Caa2; previously
on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade
Cl. V-A-8, Downgraded to C; previously
on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade
Cl. V-A-9, Downgraded to Caa2; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. V-A-10, Downgraded to C; previously
on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade
Cl. V-A-12, Downgraded to Caa2; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. A-X, Downgraded to B3; previously on Dec
17, 2009 Baa2 Placed Under Review for Possible Downgrade
Cl. A-P, Downgraded to Caa2; previously on Jan
14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. D-X, Downgraded to Caa2; previously on Jan
14, 2010 B1 Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Securities,
Series 2005-12
Cl. 1-A-1, Downgraded to Caa3; previously
on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Ca; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. 3-A-1, Downgraded to Ca; previously
on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. 4-A-1, Downgraded to Caa3; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. 5-A-1, Downgraded to B3; previously
on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. 5-A-2, Downgraded to C; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. 6-A-1, Downgraded to Caa3; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. 6-A-2, Downgraded to C; previously
on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade
Cl. 7-A-1, Downgraded to Ca; previously
on Jan 14, 2010 Caa3 Placed Under Review for Possible Downgrade
Cl. 8-A-1, Downgraded to Ca; previously
on Jan 14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. A-X, Downgraded to Caa3; previously on Jan
14, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. A-P, Downgraded to Caa3; previously on Jan
14, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. D-X-1, Downgraded to Caa3; previously
on Jan 14, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. D-X-2, Confirmed at B3; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF210330
A list of updated estimated pool losses and tranche recovery details is
being posted on an ongoing basis for the duration of this review period
and may be found at:
Excel: http://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF198174
For more information please see www.moodys.com.
New York
Amita Shrivastava
Vice President - Senior Analyst
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
Moody's downgrades $3.3 billion of Alt-A RMBS issued by CSFB in 2005
