New York, June 13, 2012 -- Moody's Investors Service has downgraded the ratings of 40 tranches,
upgraded the ratings of two tranches and confirmed the ratings of four
tranches from nine RMBS transactions, backed by Alt-A loans,
issued by Countrywide.
RATINGS RATIONALE
The actions are a result of the recent performance of Alt-A pools
originated before 2005 and reflect Moody's updated loss expectations on
these pools. The downgrades are due to deteriorating performance
of the pools and/or structural features resulting in higher expected losses
for certain bonds than previously anticipated. For e.g.,
for shifting interest structures, back-ended liquidations
could expose the seniors to tail-end losses. In our current
approach, we capture this risk by running each individual pool through
a variety of loss and prepayment 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 nuances of the transaction.
The methodologies used in these ratings were "Moody's Approach to Rating
US Residential Mortgage-Backed Securities" published in December
2008, and "Pre-2005 US RMBS Surveillance Methodology" published
in January 2012.
The methodology used in rating Interest-Only Securities was "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 2) small pool volatility.
Loan Modifications
As a result of an extension of the Home Affordable Modification Program
(HAMP) to 2013 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 the end of 2013.
Small Pool Volatility
The above RMBS approach only applies to structures with at least 40 loans
and a 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 40 loans or lower. 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. As such,
Moody's has withdrawn the rating of CWMBS, Inc. Alternative
Loan Trust 2002-16. Please refer to the Moody's Investors
Services Policy for Withdrawal of Credit Ratings, available on its
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 and Option Arm pools, Moody's
first applies a baseline delinquency rate of 10% for 2004,
5% for 2003 and 3% for 2002 and prior. 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 2004 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 0.50 to 2.0 for
current delinquencies that range from less than 2.5% to
greater than 30% 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.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, we considered the volatility
of the projected losses and timeline of the expected defaults.
For bonds backed by small pools, we also considered the current
pipeline composition as well as any specific loss allocation rules that
could preserve or deplete the overcollateralization available for the
senior bonds at different pace.
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 April
2011 to 8.1% in April 2012. Moody's forecasts a further
drop to 7.8% for 2013. 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.
Complete rating actions are as follows:
Issuer: CWMBS, Inc. Alternative Loan Trust 2002-13
Cl. A-13, Downgraded to Aa1 (sf); previously
on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-14, Downgraded to Aa3 (sf); previously
on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. PO, Downgraded to Aa1 (sf); previously on Oct 15,
2002 Assigned Aaa (sf)
Issuer: CWMBS, Inc. Alternative Loan Trust 2002-14
Cl. A-4, Downgraded to Aa3 (sf); previously on
Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to A1 (sf); previously on
Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. PO, Downgraded to Aa3 (sf); previously on Oct 15,
2002 Assigned Aaa (sf)
Issuer: CWMBS, Inc. Alternative Loan Trust 2002-16
Cl. A-8, Withdrawn (sf); previously on Jan 31,
2012 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. PO, Withdrawn (sf); previously on Nov 26,
2002 Assigned Aaa (sf)
Issuer: CWMBS, Inc. Mortgage Pass Through Certificates
2003-13
Cl. A-6, Downgraded to Aa1 (sf); previously on
Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-PO, Downgraded to Aa1 (sf); previously
on Apr 21, 2003 Assigned Aaa (sf)
Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates,
Series 2003-16
Cl. A-5, Downgraded to A3 (sf); previously on
Jan 31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-6, Downgraded to Baa2 (sf); previously
on Jan 31, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-7, Downgraded to Baa1 (sf); previously
on Feb 22, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-PO, Downgraded to A3 (sf); previously on
Mar 22, 2011 Downgraded to Aa1 (sf)
Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates,
Series 2003-33
Cl. A-2, Downgraded to A1 (sf); previously on
Mar 22, 2011 Downgraded to Aa3 (sf)
Cl. A-3, Downgraded to A1 (sf); previously on
Mar 22, 2011 Downgraded to Aa3 (sf)
Cl. A-5, Downgraded to A3 (sf); previously on
Jan 31, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. A-6, Downgraded to A3 (sf); previously on
Feb 22, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. A-7, Downgraded to A1 (sf); previously on
Mar 22, 2011 Downgraded to Aa3 (sf)
Cl. A-8, Downgraded to A1 (sf); previously on
Mar 22, 2011 Downgraded to Aa3 (sf)
Cl. A-9, Downgraded to A3 (sf); previously on
Mar 22, 2011 Downgraded to A1 (sf)
Cl. A-10, Downgraded to Baa1 (sf); previously
on Mar 22, 2011 Downgraded to A1 (sf)
Cl. A-11, Downgraded to A3 (sf); previously on
Mar 22, 2011 Downgraded to A1 (sf)
Cl. A-12, Downgraded to A3 (sf); previously on
Jan 31, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. A-13, Downgraded to Baa1 (sf); previously
on Mar 22, 2011 Downgraded to A1 (sf)
Cl. PO, Downgraded to A2 (sf); previously on Mar 22,
2011 Downgraded to A1 (sf)
Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates,
Series 2003-J11
Cl. 3-A-2, Upgraded to Ba1 (sf); previously
on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Upgrade
Cl. 2-X, Confirmed at B1 (sf); previously on
Feb 22, 2012 B1 (sf) Placed Under Review Direction Uncertain
Cl. 3-X, Upgraded to Ba3 (sf); previously on
Feb 22, 2012 B1 (sf) Placed Under Review Direction Uncertain
Cl. 4-X, Confirmed at B2 (sf); previously on
Feb 22, 2012 B2 (sf) Placed Under Review Direction Uncertain
Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates,
Series 2003-J12
Cl. A-1, Downgraded to B1 (sf); previously on
Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. X, Downgraded to B3 (sf); previously on Feb 22,
2012 Downgraded to Ba3 (sf) and Placed Under Review for Possible Downgrade
Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates,
Series 2004-4CB
Cl. 1-A-1, Downgraded to Ba2 (sf); previously
on Mar 28, 2011 Downgraded to Ba1 (sf)
Cl. 1-A-2, Downgraded to Ba2 (sf); previously
on Mar 28, 2011 Downgraded to Ba1 (sf)
Cl. 1-A-3, Downgraded to Ba3 (sf); previously
on Mar 28, 2011 Downgraded to Ba1 (sf)
Cl. 1-A-4, Downgraded to Ba3 (sf); previously
on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade
Cl. 1-A-5, Confirmed at Ba2 (sf); previously
on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade
Cl. 1-A-6, Downgraded to B2 (sf); previously
on Mar 28, 2011 Downgraded to Ba3 (sf)
Cl. 2-A-1, Downgraded to B1 (sf); previously
on Feb 22, 2012 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. 3-A-1, Confirmed at Ba1 (sf); previously
on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade
Cl. 3-A-2, Downgraded to B2 (sf); previously
on Mar 28, 2011 Downgraded to Ba3 (sf)
Cl. 3-A-3, Downgraded to B2 (sf); previously
on Mar 28, 2011 Downgraded to Ba3 (sf)
Cl. 3-A-4, Downgraded to B2 (sf); previously
on Mar 28, 2011 Downgraded to Ba3 (sf)
Cl. PO, Downgraded to B2 (sf); previously on Mar 28,
2011 Downgraded to Ba3 (sf)
Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates,
Series 2004-5CB
Cl. 1-A-1, Downgraded to B2 (sf); previously
on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Ba3 (sf); previously
on Mar 28, 2011 Downgraded to Baa3 (sf)
Cl. 3-A-1, Downgraded to Ba3 (sf); previously
on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. PO, Downgraded to B2 (sf); previously on Mar 28,
2011 Downgraded to Baa3 (sf)
A list of these actions including CUSIP identifiers may be found at:
Excel: http://moodys.com/viewresearchdoc.aspx?docid=PBS_SF287689
A list of updated estimated pool losses, sensitivity analysis,
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/viewresearchdoc.aspx?docid=PBS_SF237256
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
The Global Scale Credit Ratings on this press release that are issued
by one of Moody's affiliates outside the EU are endorsed by Moody's
Investors Service Ltd., One Canada Square, Canary Wharf,
London E 14 5FA, UK, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's
office that has issued a particular Credit Rating is available on www.moodys.com.
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant 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 relevant 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 relevant 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.
Information sources used to prepare each of the ratings 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 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.
Moody's considers the quality of information available on the rated
entities, obligations or credits satisfactory for the purposes of
issuing these ratings.
Moody's adopts all necessary measures so that the information it
uses in assigning the ratings 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.
In addition to the information provided below please find on the ratings
tab of the issuer page at www.moodys.com, for each
of the ratings covered, Moody's disclosures on the lead rating
analyst and the Moody's legal entity that has issued each of the
ratings.
Please see the ratings disclosure page on www.moodys.com
for general disclosure on potential conflicts of interests.
Please see the ratings disclosure page on www.moodys.com
for information on (A) MCO's major shareholders (above 5%) and
for (B) further information regarding certain affiliations that may exist
between directors of MCO and rated entities as well as (C) the names of
entities that hold ratings from MIS that have also publicly reported to
the SEC an ownership interest in MCO of more than 5%. A
member of the board of directors of this rated entity may also be a member
of the board of directors of a shareholder of Moody's Corporation;
however, Moody's has not independently verified this matter.
Please see Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
before Moody's ratings were fully digitized and accurate data may not
be available. Consequently, Moody's 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 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.
Jiwon Park
Associate 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 $235 million Alt-A RMBS issued by Countrywide from 2002 to 2004
