Moody's upgrades twenty-five classes, downgrades three classes, and confirms the ratings on fifteen classes from Countrywide's 2002 and 2003 securitizations
New York, November 30, 2006 -- Moody's Investors Service has upgraded twenty-five mezzanine
and subordinate tranches, has downgraded three mezzanine and subordinate
tranches, and has confirmed the ratings on fourteen mezzanine and
subordinate tranches from eleven mortgage backed securitizations all issued
by Countrywide Home Loans, Inc. in 2002 and 2003.
The pools are primarily backed by first and second lien adjustable-rate
and fixed-rate subprime mortgage loans. The underlying collateral
in the 2003-S2 deal consists of prime-quality fixed-rate
mortgages. The loans are serviced by Countrywide Home Loans Servicing,
LP.
The certificates are being upgraded based on the strong performance of
the mortgage pools. The bonds' current credit enhancement,
provided by subordination, excess spread, overcollateralization
and mortgage insurance where applicable, is high compared to the
current projected losses on the underlying pools.
The certificates from the 2003-S&D deals are being downgraded
based on the fact that existing credit enhancement levels are relatively
low given the current projected losses on the underlying pools.
At origination, the seasoned loans in these "scratch and dent"
transactions had either delinquency histories and/or missing loan documentation,
or were in non-compliance with sellers' underwriting guidelines.
Although the collateral in these deals may be performing within Moody's
original expectations, some of the current credit support deterioration
can be attributed to the deals passing performance triggers and therefore
releasing large amounts of overcollateralization.
Finally, Moody's has confirmed the current ratings on several classes
of certificates as credit support is sufficient to support their current
ratings.
Issuer: CWABS, Inc. Asset-Backed Certificates
Upgrade
Series 2003-BC6, Class M-1, upgraded from Aa2
to Aaa
Series 2003-BC6, Class M-2, upgraded from A2
to Aa1
Series 2003-BC6, Class M-3, upgraded from A3
to Aa3
Series 2003-BC6, Class M-4, upgraded from Baa1
to A2
Series 2003-4, Class M-1, upgraded from Aa2
to Aaa
Series 2003-4, Class M-2, upgraded from Aa3
to Aa1
Series 2003-4, Class M-3, upgraded from A2 to
A1
Series 2003-5, Class MF-1, upgraded from Aa2
to Aaa
Series 2003-5, Class MF-2, upgraded from A2
to Aa1
Series 2003-5, Class MF-3, upgraded from A3
to Aa2
Series 2003-5, Class MF-4, upgraded from Baa1
to A1
Series 2003-5, Class MF-5, upgraded from Baa2
to A2
Series 2003-5, Class BF, upgraded from Baa3 to A3
Series 2003-5, Class MV-1, upgraded from Aa2
to Aaa
Series 2003-5, Class MV-2, upgraded from A2
to Aa3
Series 2003-5, Class MV-3, upgraded from A3
to A1
Series 2003-S2, Class M-1, upgraded from Aa2
to Aaa
Series 2003-S2, Class M-2, upgraded from A2
to Aa2
Series 2003-S2, Class B-1, upgraded from Baa2
to A3
Series 2003-SC1, Class M-1, upgraded from Aa2
to Aaa
Series 2003-SC1, Class M-2, upgraded from A2
to Aa2
Series 2003-SC1, Class M-3, upgraded from A3
to Aa3
Series 2003-SC1, Class M-4, upgraded from Baa1
to A1
Series 2003-SC1, Class M-5, upgraded from Baa2
to A2
Series 2003-SC1, Class B, upgraded from Baa3 to A3
Confirm
Series 2002-6, Class M-2, confirmed at A2
Series 2002-6, Class B, confirmed at Baa2
Series 2003-BC4, Class M-1, confirmed at Aa2
Series 2003-BC4, Class M-2, confirmed at Aa3
Series 2003-BC4, Class M-3, confirmed at A1
Series 2003-BC4, Class M-4, confirmed at A2
Series 2003-BC6, Class M-5, confirmed at Baa2
Series 2003-BC6, Class B, confirmed at Baa3
Series 2003-1, Class M-1, confirmed at Aa2
Series 2003-1, Class M-2, confirmed at A2
Series 2003-1, Class B, confirmed at Baa2
Series 2003-5, Class MV-4, confirmed at Baa1
Series 2003-5, Class MV-5, confirmed at Baa2
Series 2003-5, Class BV, confirmed at Baa3
Issuer: Countrywide Home Loan Trust
Downgrade
Series 2003-S&D1, Class B-1, downgraded
from Baa2 to Baa3
Series 2003-S&D2, Class M-2, downgraded
from A2 to Baa2
Series 2003-S&D2, Class B-1, downgraded
from Baa2 to Ba3
Confirm
Series 2003-S&D3, Class B-1, confirmed at
Baa2
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