iterating list through multiple if statement in python

I have a list and two values to compare:

mylist = [1, 2, 3, 4, 5]
a = 2
b = 3

I want to check if the values in the list conform the if statement:

for i in mylist:
   if i <= a:
       print "OK"
   elif i >= a and i < b:
       print "WARNING"
   elif i >= b:
       print "CRITICAL"

However it stops at the first match and doesnt chek the other values in the list. Please help to correct the code. Thanks.