Moody's takes negative rating actions on certain Credit Suisse Alt-A deals issued in 2006 and late 2005
New York, November 07, 2007 -- Moody's Investors Service has downgraded the ratings of 82 tranches and
has placed under review for possible downgrade the ratings of 13 tranches
from 18 deals issued by Credit Suisse in 2006 and late 2005. Two
downgraded tranches remain on review for possible downgrade. The
collateral backing these classes consists of primarily first lien,
fixed and adjustable-rate, Alt-A mortgage loans.
The ratings were downgraded and placed under review for downgrade based
on higher than anticipated rates of delinquency, foreclosure,
and REO in the underlying collateral relative to credit enhancement levels.
In its analysis Moody's has also applied its published methodology updates
to the non delinquent portion of the transactions.
Issuer: CSAB Mortgage Backed Trust 2006-1
Cl. M-1 Currently Aa2 on review for possible downgrade,
Cl. M-2, Downgraded to Baa2, previously A2,
Cl. M-3, Downgraded to B1, previously Baa2,
Cl. M-4, Downgraded to B3, previously Baa3,
Cl. B, Downgraded to Ca, previously Ba1.
Issuer: CSAB Mortgage Backed Trust 2006-4
Cl. M-1-A Currently Aa2 on review for possible downgrade,
Cl. M-1-B Currently Aa2 on review for possible downgrade,
Cl. M-2, Downgraded to A2, previously A1,
Cl. M-3, Downgraded to Baa1, previously A2,
Cl. M-4, Downgraded to Baa2, previously A3,
Cl. M-5, Downgraded to Baa3, previously Baa1,
Cl. M-6, Downgraded to Ba1, previously Baa2,
Cl. M-7, Downgraded to Ba3, previously Baa3,
Cl. M-8, Downgraded to B2, previously Ba2.
Issuer: CSAB Mortgage-Backed Trust 2006-2
Cl. M-3, Downgraded to A3, previously A2,
Cl. M-4, Downgraded to Baa1, previously A3,
Cl. M-5, Downgraded to Ba1, previously Baa2,
Cl. M-6, Downgraded to Ba2, previously Baa3.
Issuer: CSAB Mortgage-Backed Trust 2006-3
Cl. M-1 Currently Aa2 on review for possible downgrade,
Cl. M-2, Downgraded to A3, previously A1,
Cl. M-3, Downgraded to Baa2, previously A2,
Cl. M-4, Downgraded to Baa3, previously A3,
Cl. M-5-A, Downgraded to Ba3, previously
Baa1,
Cl. M-5-B, Downgraded to Ba3, previously
Baa1,
Cl. M-6, Downgraded to B2, previously Baa2,
Cl. M-7, Downgraded to B3, previously Baa3.
Issuer: CSFB Adjustable Rate Mortgage Trust 2005-10
Cl. 5-M-2, Downgraded to A3, previously
A2,
Cl. 5-M-3, Downgraded to Ba2, previously
Baa2,
Cl. 5-M-4, Downgraded to B2, previously
Baa3,
Cl. 5-M-5, Downgraded to Ca, previously
Ba1.
Issuer: CSFB Adjustable Rate Mortgage Trust 2005-11
Cl. 5-M-2, Downgraded to Baa2, previously
A2,
Cl. 5-M-3, Downgraded to B1, previously
Baa2,
Cl. 5-M-4, Downgraded to Caa3, previously
Baa3,
Cl. 5-M-5, Downgraded to C, previously
Ba2,
Cl. C-B-3, Downgraded to Ba2, previously
Baa3.
Issuer: CSFB Adjustable Rate Mortgage Trust 2005-12
Cl. 5-M-1 Currently Aa2 on review for possible downgrade,
Cl. 5-M-2, Downgraded to Ba1, previously
A2,
Cl. 5-M-3, Downgraded to Caa3, previously
Baa2,
Cl. 5-M-4, Downgraded to C, previously
Baa3,
Cl. 5-M-5, Downgraded to C, previously
Ba2,
Cl. C-B-1 Currently Aa3 on review for possible downgrade,
Cl. C-B-2, Downgraded to Baa2, previously
A3,
Cl. C-B-3, Downgraded to B2, previously
Baa3.
Issuer: CSFB Adjustable Rate Mortgage Trust 2005-9
Cl. 5-M-3, Downgraded to Ba1, previously
Baa2,
Cl. 5-M-4, Downgraded to B1, previously
Baa3,
Cl. 5-M-5, Downgraded to Caa2, previously
Baa3.
Issuer: CSFB Adjustable Rate Mortgage Trust 2006-1
Cl. 6-M-1 Currently Aa2 on review for possible downgrade,
Cl. 6-M-2, Downgraded to Baa3, previously
A2,
Cl. 6-M-3, Downgraded to Caa2, previously
Baa2,
Cl. 6-M-4, Downgraded to C, previously
Baa3,
Cl. C-B-3, Downgraded to Baa1, previously
A2,
Cl. C-B-4, Downgraded to B1, previously
Baa2,
Cl. C-B-5, Downgraded to B2, previously
Baa3.
Issuer: CSFB Adjustable Rate Mortgage Trust 2006-2
Cl. 6-M-2, Downgraded to Baa1, previously
A2,
Cl. 6-M-3, Downgraded to B1, previously
Baa2,
Cl. 6-M-4, Downgraded to Caa2, previously
Baa3,
Cl. C-B-1 Currently Aa3 on review for possible downgrade,
Cl. C-B-2, Downgraded to Baa2, previously
A3,
Cl. C-B-3, Downgraded to B1, previously
Baa3.
Issuer: CSFB Adjustable Rate Mortgage Trust 2006-3
Cl. 4-M-3 Currently Aa3 on review for possible downgrade,
Cl. 4-M-4, Downgraded to A2, previously
A1,
Cl. 4-M-5, Downgraded to A3, previously
A2,
Cl. 4-M-6, Downgraded to Baa1, previously
A3,
Cl. 4-M-7, Downgraded to Baa3, previously
Baa1,
Cl. 4-M-8, Downgraded to Ba1, previously
Baa2,
Cl. 4-M-9, Downgraded to Ba2, previously
Baa3,
Cl. 4-B-1, Downgraded to Ba3, previously
Ba1,
Cl. C-B-3, Downgraded to Baa3, previously
Baa2.
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2005-10
Cl. D-B-2, Downgraded to Baa1, previously
A3,
Cl. D-B-3, Downgraded to Ba2, previously
Baa2.
Issuer: CSFB Mortgage-Backed Pass-Through Certificates,
Series 2005-11
Cl. D-B-1 Currently Aa3 on review for possible downgrade,
Cl. D-B-2, Downgraded to Baa2, previously
A3,
Cl. D-B-3, Downgraded to B1, previously
Baa2,
Cl. D-B-4, Downgraded to B2, previously
Baa3,
Cl. D-B-5, Downgraded to B3, previously
Ba1,
Cl. D-B-6, Downgraded to B3 on review for possible
further downgrade, previously Ba3.
Issuer: CSFB Mortgage-Backed Pass-Through Securities,
Series 2005-12
Cl. B-3, Downgraded to B2, previously Baa2,
Cl. B-4, Downgraded to B3, previously Baa3.
Issuer: CSMC Mortgage-Backed Trust Series 2006-3
Cl. 1-M-1 Currently Aa2 on review for possible downgrade,
Cl. 1-M-2, Downgraded to Ba1, previously
A2,
Cl. 1-M-3, Downgraded to Ca, previously
Baa2,
Cl. 1-M-4, Downgraded to C, previously
Baa3.
Issuer: CSMC Mortgage-Backed Trust Series 2006-4
Cl. D-B-1 Currently Aa3 on review for possible downgrade,
Cl. D-B-2, Downgraded to Baa3, previously
A2,
Cl. D-B-3, Downgraded to Ba1, previously
A3,
Cl. D-B-4, Downgraded to B1, previously
Baa1,
Cl. D-B-5, Downgraded to B2, previously
Baa2,
Cl. D-B-6, Downgraded to B3, previously
Baa3,
Cl. D-B-7, Downgraded to B3 on review for possible
further downgrade, previously Ba1.
Issuer: CSMC Mortgage-Backed Trust Series 2006-5
Cl. D-B-1 Currently Aa3 on review for possible downgrade,
Cl. D-B-2, Downgraded to Baa3, previously
A3,
Cl. D-B-3, Downgraded to B1, previously
Baa2,
Cl. D-B-4, Downgraded to B2, previously
Baa3.
Issuer: CSMC Mortgage-Backed Trust Series 2006-6
Cl. D-B-3, Downgraded to Ba1, previously
Baa2,
Cl. D-B-4, Downgraded to Ba3, previously
Baa3.
For further information please see www.Moodys.com
New York
Nicolas S. Weill
Managing Director - Chief Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Ilana Fried
Senior Associate
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653