New York, May 19, 2011 -- Moody's Investors Service has downgraded the ratings of 17 tranches and
confirmed the ratings of one tranche from seven deals issued by Countrywide.
The collateral backing these deals primarily consists of first-lien,
fixed and adjustable rate "scratch and dent" residential mortgages.
Scratch and Dent deals are classified outside of our primary categorizations
(Prime Jumbo, Subprime, Option ARMs and Alt-A) for
a number of reasons. The pools may include mortgages that have
been originated outside an originator's program guidelines in some way,
or mortgages where borrowers missed payments in the past. These
pools may also include loans with document defects at origination that
were since rectified. Due to the varied content of Scratch and
Dent mortgage pools, which can range from seasoned prime-like
loans to non-prime loans that were seriously delinquent at the
time of securitization, credit quality of these pools varies considerably.
RATINGS RATIONALE
The actions are a result of deteriorating performance of Scratch and Dent
pools under stressed housing and macroeconomic conditions. The
actions reflect Moody's updated loss expectations on Scratch and Dent
pools.
The principal methodology used in these ratings is described in the Monitoring
and Performance Review section in "Moody's Approach to Rating US
Residential Mortgage-Backed Securities" published in December 2008.
Other methodologies used include "US RMBS Surveillance Methodology for
Scratch and Dent" published in May 2011, which accounts for the
deteriorating performance and outlook.
Moody's final rating actions are based on current levels of credit enhancement,
collateral performance and updated pool-level loss expectations.
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.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment levels remain high, and
weakness persists in the housing market. Overall, Moody's
assumes a further 5% decline in home prices with stabilization
in late 2011, accompanied by continued stress in national employment
levels through that timeframe.
For more information please see www.moodys.com.
Moody's Investors Service received and took into account one or more third
party due diligence reports on the underlying assets or financial instruments
in this transaction and the due diligence reports had a neutral impact
on the rating.
Complete rating actions are as follows:
Issuer: Countrywide Home Loan Trust 2003-SD2
Cl. A-1, Downgraded to Aa3 (sf); previously on
Jul 16, 2003 Assigned Aaa (sf)
Cl. A-2, Downgraded to A1 (sf); previously on
Jul 16, 2003 Assigned Aaa (sf)
Cl. M-1, Downgraded to Caa1 (sf); previously
on Nov 18, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on
Nov 18, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca (sf); previously on
Apr 24, 2009 Downgraded to Caa3 (sf)
Issuer: Countrywide Home Loan Trust 2003-SD3
Cl. M-2, Downgraded to Baa2 (sf); previously
on Oct 20, 2003 Assigned A2 (sf)
Cl. B-1, Downgraded to Caa3 (sf); previously
on Nov 18, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Countrywide Home Loan Trust 2004-SD1
Cl. A-1, Downgraded to A1 (sf); previously on
Feb 12, 2004 Assigned Aaa (sf)
Cl. A-2, Downgraded to A2 (sf); previously on
Feb 12, 2004 Assigned Aaa (sf)
Cl. M-1, Downgraded to B3 (sf); previously on
Nov 18, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa3 (sf); previously
on Nov 18, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca (sf); previously on
Nov 18, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Issuer: Countrywide Home Loan Trust 2004-SD2
Cl. M-1, Downgraded to Baa2 (sf); previously
on Nov 18, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa2 (sf); previously
on Apr 24, 2009 Downgraded to Baa2 (sf)
Cl. B-1, Downgraded to Ca (sf); previously on
Nov 18, 2010 B3 (sf) Placed Under Review for Possible DowngradeIssuer:
CWABS Asset-Backed Certificates Trust 2006-QH2
Issuer: CWABS Asset-Backed Certificates Trust 2006-QH2
Cl. A-1-A, Confirmed at Caa2 (sf); previously
on Nov 18, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: CWABS Asset-Backed Certificates Trust 2007-QH1
Cl. A-1, Downgraded to B3 (sf); previously on
Nov 18, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Issuer: CWABS Asset-Backed Certificates Trust 2007-QX1
Cl. A-1, Downgraded to Caa3 (sf); previously
on Nov 18, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF244552
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://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF247004
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, confidential
and proprietary Moody's Investors Service information, and confidential
and proprietary Moody's Analytics information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Qiuzi Huang
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Amita Shrivastava
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's takes action on $196 Million of Scratch and Dent RMBS issued by Countrywide