New York, July 22, 2016 -- Moody's Investors Service has placed the ratings of 3,293 tranches
from 412 transactions issued by Countrywide and the ratings of 66 tranches
from 22 resecuritization transactions with exposure to the Countrywide
transactions on review for upgrade. The collateral backing these
transactions consists of pools of, or securities backed by,
subprime, jumbo, alt-A, option ARM, scratch
& dent, or second lien mortgage loans.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF435972
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and provides, for each of the credit
ratings covered, Moody's disclosures on the following items:
• Methodologies
RATINGS RATIONALE
Today's review actions relate to the June 2016 distribution of settlement
funds to the Countrywide transactions from the $8.5 billion
CWRMBS settlement. The payouts are part of the 2011 settlement
agreement reached between Bank of America (BAC), Countrywide and
Bank of New York Mellon as trustee releasing BAC from claims alleging
that Countrywide (acquired by BAC in 2008) had breached representations
and warranties and mortgage servicing standards.
The tranches were placed on review for upgrade because they could be positively
impacted by the distribution of settlement funds, although given
the complexities of the cashflow waterfalls we may conclude after reviewing
the trustee's application of settlement funds in the context of
these waterfalls that no rating action is necessary on certain bonds.
The average distribution to these subprime, jumbo, alt-A,
option ARM, scratch & dent, and second lien RMBS trusts
was $17.6 million, with 95 deals receiving more than
$25 million, and one receiving more than $100 million.
During the review period, Moody's will assess the ratings
impact (if any) of the settlement funds distributed to the tranches,
along with collateral and tranche performance. The review will
also incorporate an analysis of the structural mechanisms related to the
distribution of settlement funds in the payment waterfall and related
reversals of past tranche write-downs. The review of tranches
issued by resecuritization transactions will incorporate both the review
of underlying tranches receiving settlement distributions as well as the
performance of the other pledged securities.
Today's action is based solely on the distribution of settlement
funds to the transactions or securities backing the resecuritization transactions.
The principal methodology used to rate the subprime, jumbo,
alt-A, option ARM, scratch & dent, and second
lien RMBS is "US RMBS Surveillance Methodology" published in November
2013. The principal methodology used to rate the resecuritization
transactions is "Moody's Approach to Rating Resecuritizations" published
in February 2014. Please see the Ratings Methodologies page on
www.moodys.com for a copy of these methodologies.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 4.9% in June 2016 from 5.3%
in June 2015. Moody's forecasts an unemployment central range of
4.5% to 5.5% for 2016. Deviations from
this central scenario could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2016. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing transfers
or other policy or regulatory change can impact the performance of these
transactions.
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF435972
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and provides, for each of the credit
ratings covered, Moody's disclosures on the following items:
• Methodologies
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
Moody's did not use any models, or loss or cash flow analysis,
in its analysis.
Moody's did not use any stress scenario simulations in its analysis.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the credit rating action on the support provider and in relation to
each particular credit rating action for securities that derive their
credit ratings from the support provider's credit rating.
For provisional ratings, this announcement provides certain regulatory
disclosures in relation to the provisional rating assigned, and
in relation to a definitive rating that may be assigned subsequent to
the final issuance of the debt, in each case where the transaction
structure and terms have not changed prior to the assignment of the definitive
rating in a manner that would have affected the rating. For further
information please see the ratings tab on the issuer/entity page for the
respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
The below contact information is provided for information purposes only.
Please see the ratings tab of the issuer page at www.moodys.com,
for each of the ratings covered, Moody's disclosures on the
lead analyst and the Moody's legal entity that has issued the ratings.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Soumya Vasudevan
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Mark Branton
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Ilana Fried
Analyst
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Justin Mazzamaro
Associate Analyst
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Xinyang Tiam
Associate Analyst
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
