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Related Issuers
CWALT, Inc. Alternative Loan Trust 2007-22
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-42CB
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-46CB
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CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-53T2
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CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-57CB
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-60T1
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-85CB
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-86CB
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CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-13T1
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-16CB
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-19CB
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-21CB
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-25CB
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-26CB
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-27CB
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-2CB
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CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-41CB
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-42
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-45T1
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-46
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-4CB
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-5T2
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-6CB
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-J1
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-J2
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-13
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-18CB
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-1T1
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Rating Action:

Moody's takes action on $11.3 billion of CWALT Alt-A RMBS issued between 2005 and 2007

Global Credit Research - 20 Mar 2013

New York, March 20, 2013 -- Moody's Investors Service has downgraded the ratings of 205 tranches, upgraded the ratings of 20 tranches and affirmed the ratings of 418 tranches from 35 RMBS transactions backed by Alt-A loans, issued by Countrywide.

Please click on this http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF321577 for the List of Affected Credit Ratings. This list is an integral part of the Press Release and identifies each affected issuer.

RATINGS RATIONALE

The ratings reflect the recent performance of the pools and Moody's updated loss expectations on the pools. The actions on these bonds primarily are a result of change in principal and loss waterfall subsequent to subordination depletion, whereby losses are principal payments are generally allocated pro-rata amongst the remaining bonds.

The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology" published in July 2011. The methodology used in rating Interest-Only Securities is "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

Moody's adjusts the methodologies noted above for 1) Moody's current view on loan modifications and 2) small pool volatility.

Loan Modifications

As a result of an extension of the Home Affordable Modification Program (HAMP) and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels until 2014.

Small Pool Volatility

The above RMBS approach only applies to structures with at least 40 loans and pool factor of greater than 5%. Moody's can withdraw its rating when the pool factor drops below 5% and the number of loans in the deal declines to lower than 40. If, however, a transaction has a specific structural feature, such as a credit enhancement floor, that mitigates the risks of small pool size, Moody's can choose to continue to rate the transaction. Please refer further to Moody's Investors Service's Withdrawal Policy, which can be found on our website, www.moodys.com.

For pools with loans less than 100, Moody's adjusts its projections of loss to account for the higher loss volatility of such pools. For small pools, a few loans becoming delinquent would greatly increase the pools' delinquency rate.

To project losses on Alt-A pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on vintage, number of loans remaining in the pool and the level of current delinquencies in the pool. For Alt-A pools, Moody's first applies a baseline delinquency rate of 10% for 2005, 19% for 2006 and 21% for 2007. Once the loan count in a pool falls below 76, this rate of delinquency is increased by 1% for every loan fewer than 76. For example, for a 2005 pool with 75 loans, the adjusted rate of new delinquency is 10.1%. Further, to account for the actual rate of delinquencies in a small pool, Moody's multiplies the rate calculated above by a factor ranging from 0.20 to 2.0 for current delinquencies that range from less than 2.5% to greater than 50% respectively. Moody's then uses this final adjusted rate of new delinquency to project delinquencies and losses for the remaining life of the pool under the approach described in the methodology publication.

The primary source of assumption uncertainty is the uncertainty in our central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 9.0% in September 2011 to 7.8% in December 2012. Moody's forecasts a further drop to 7.5% by 2014. Moody's expects house prices to drop another 1% from their 4Q2011 levels before gradually rising towards the end of 2013. 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.

A list of updated estimated pool losses and sensitivity analysis 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.

REGULATORY DISCLOSURES

Moody's received and took into account one or more third party assessments on the due diligence performed regarding the underlying assets or financial instruments in these transactions and the assessments had a neutral impact on the rating.

In conducting surveillance of these credits, Moody's considered performance data contained in servicer and remittance reports. Moody's obtains servicer reports on these transactions on a periodic basis, at least annually.

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 rating action on the support provider and in relation to each particular 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 rating action, and whose ratings may change as a result of this 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.

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.

Jiwon Park
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

Deepika Kothari
Vice President - Senior 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

Moody's takes action on $11.3 billion of CWALT Alt-A RMBS issued between 2005 and 2007
No Related Data.

 

© 2014 Moody's Corporation, Moody's Investors Service, Inc., Moody's Analytics, Inc. and/or their licensors and affiliates (collectively, "MOODY'S"). All rights reserved.

 


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