New York, December 09, 2010 -- Moody's Investors Service has downgraded the ratings of 94 tranches,
upgraded the rating of 1 tranche and confirmed the ratings on 2 tranches
from 12 RMBS transactions, backed by option arm loans, issued
by Countrywide.
RATINGS RATIONALE
The collateral backing these transactions consists primarily of first-lien,
adjustable-rate, negative amortization, Alt-A
residential mortgage loans. The actions are a result of the rapidly
deteriorating performance of option arm pools in conjunction with macroeconomic
conditions that remain under duress. The actions reflect Moody's
updated loss expectations on option arm pools issued from 2005 to 2007.
Today's rating action also reflects a correction to the ratings of Cl.
3-A-1, Cl. 3-A-2 , and
Cl. 3-A-3 of the CWALT, Inc. Mortgage
Pass-Through Certificates, Series 2005-56.
The prior rating action taken on these classes in February 2009 assumed
that there is a "loss allocation limitation" which does not allow losses
to be allocated to senior tranches from pools that are overcollateralized
once the mezzanine tranches are fully written down. According to
the deal documents, however, losses are allocated to senior
tranches from all pools once the mezzanine tranches have been fully written
down.
The principal methodology used in rating these securities was "Option
ARM RMBS Loss Projection Update: April 2010" rating methodology
published in April 2010. Other methodologies and factors that may
have been considered in the process of rating this issuer can also be
found on Moody's website.
To assess the rating implications of the updated loss levels on option
arm 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.
Certain securities, as noted below, are insured by financial
guarantors. For securities insured by a financial guarantor,
the rating on the securities is the higher of (i) the guarantor's financial
strength rating and (ii) the current underlying rating (i.e.,
absent consideration of the guaranty) on the security. The principal
methodology used in determining the underlying rating is the same methodology
for rating securities that do not have a financial guaranty and is as
described earlier. RMBS securities wrapped by Ambac Assurance Corporation
are rated at their underlying rating without consideration of Ambac's
guaranty.
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
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment remains at high levels,
and weakness persists in the housing market. Moody's notes an increasing
potential for a double-dip recession, which could cause a
further 20% decline in home prices (versus its baseline assumption
of roughly 5% further decline). Overall, Moody's assumes
a further 5% decline in home prices with stabilization in early
2011, accompanied by continued stress in national employment levels
through that timeframe.
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: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2005-56
Cl. 1-A-1, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-2, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-3, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 1-X, Downgraded to C (sf); previously on
Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-3, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-4, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-X-1, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-X-2, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-1, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-2, Downgraded to C (sf); previously
on Jan 27, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-3, Downgraded to C (sf); previously
on Jan 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. 3-X, Downgraded to C (sf); previously on
Jan 27, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-1, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-2, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-3, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 4-X, Downgraded to C (sf); previously on
Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 5-A-1, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A-2, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A-3, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 5-A-4, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2005-62
Cl. 1-A-1, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-2, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 1-X-1, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 1-X-2, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 1-X-3, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-3, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-4, Currently Rating at Aa3 (sf);
previously on Nov 9, 2009 Confirmed at Aa3 (sf)
Underlying Rating: Downgraded to C (sf); previously on Mar
30, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed
at Aa3, Outlook Negative on Nov 12, 2009)
Cl. 2-X-1, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-X-2, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2005-81
Cl. A-1, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to C (sf); previously on
Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to C (sf); previously on
Apr 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible
Downgrade
Underlying Rating: Downgraded to C (sf); previously on Mar
30, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-4, Confirmed at Ca (sf); previously on
Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. X-1, Downgraded to C (sf); previously on
Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. X-2, Downgraded to C (sf); previously on
Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2005-82
Cl. A-1, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to C (sf); previously on
Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to C (sf); previously on
Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. X, Downgraded to C (sf); previously on Jan 27,
2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2006-OA11
Cl. A-1B, Downgraded to Ca (sf); previously on
Jan 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-1C, Downgraded to C (sf); previously on
Jan 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Ca (sf); previously on
Jan 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-3A, Downgraded to C (sf); previously on
Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. A-3B-1, Upgraded to Baa2 (sf); previously
on Jan 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Ca (sf); previously on
Jan 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to C (sf); previously on
Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2006-OA8
Cl. 1-A-1, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-2, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-3, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. X, Downgraded to Caa3 (sf); previously on Jan 27,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Confirmed at B3 (sf); previously
on Jan 27, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-3, Downgraded to Ca (sf); previously
on Jan 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-4, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-5, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2006-OA9
Cl. 1-A-1, Downgraded to Ca (sf); previously
on Jan 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-2, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. X-1, Downgraded to C (sf); previously on
Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. X-1P, Downgraded to C (sf); previously on
Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. X-2, Downgraded to C (sf); previously on
Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1A, Downgraded to Ca (sf); previously
on Jan 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1B, Downgraded to Ca (sf); previously
on Jan 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-3, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2007-OA10
Cl. 1-A-1, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-2, Currently Rating at Aa3 (sf);
previously on Dec 18, 2009 Confirmed at Aa3 (sf)
Underlying Rating: Downgraded to C (sf); previously on Mar
30, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Corp (Confirmed at Aa3,
Outlook Negative on Dec 18, 2009)
Cl. 2-A-1, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Currently Rating at Aa3 (sf);
previously on Dec 18, 2009 Confirmed at Aa3 (sf)
Underlying Rating: Downgraded to C (sf); previously on Mar
30, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Corp (Confirmed at Aa3,
Outlook Negative on Dec 18, 2009)
Cl. 2-A-3, Currently Rating at Aa3 (sf);
previously on Dec 18, 2009 Confirmed at Aa3 (sf)
Underlying Rating: Downgraded to C (sf); previously on Mar
30, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Corp (Confirmed at Aa3,
Outlook Negative on Dec 18, 2009)
Cl. X, Downgraded to C (sf); previously on Jan 27,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2007-OA11
Cl. A-1A, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-1B, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to C (sf); previously on
Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to C (sf); previously on
Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. X-P, Downgraded to C (sf); previously on
Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2007-OA6
Cl. A-1-A, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. A-1-B, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to C (sf); previously on
Jan 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to C (sf); previously on
Jan 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2007-OA8
Cl. 1-A-1, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-2, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-3, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Caa3 (sf); previously
on Jan 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-3, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. X, Downgraded to Caa3 (sf); previously on Jan 27,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: CWALT, INC.Mortgage Pass-Through Certificates,
Series 2007-OA2
Cl. 1-A-1, Downgraded to Ca (sf); previously
on Jan 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-2, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-3, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Ca (sf); previously
on Jan 27, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-3, Downgraded to C (sf); previously
on Jan 27, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 1-X, Downgraded to Ca (sf); previously on
Jan 27, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. 2-X, Downgraded to Ca (sf); previously on
Jan 27, 2010 Caa2 (sf) 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_SF228086
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_SF225686
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, 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
Ola Hannoun-Costa
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 $5.8 billion Option ARM RMBS issued by Countrywide
