New York, January 09, 2017 -- Moody's Investors Service has upgraded the ratings of 42 tranches from
12 transactions and downgraded 9 tranches from one transaction,
backed by Alt-A mortgage loans, issued by Multiple issuers.
Complete rating actions are as follows:
Issuer: Citigroup Mortgage Loan Trust 2006-AR3
Cl. 1-A1A, Upgraded to Caa2 (sf); previously
on Nov 19, 2010 Downgraded to Caa3 (sf)
Cl. 2-1AX, Upgraded to Ca (sf); previously on
Feb 22, 2012 Downgraded to C (sf)
Cl. 2-2AX, Upgraded to Ca (sf); previously on
Feb 22, 2012 Downgraded to C (sf)
Cl. 2-A1A, Upgraded to Caa3 (sf); previously
on Nov 19, 2010 Downgraded to Ca (sf)
Cl. 2-A2A, Upgraded to Caa3 (sf); previously
on Nov 19, 2010 Downgraded to Ca (sf)
Cl. 2-A3A, Upgraded to Caa3 (sf); previously
on Nov 19, 2010 Downgraded to Ca (sf)
Cl. 2-A4A, Upgraded to Caa3 (sf); previously
on Nov 19, 2010 Downgraded to Ca (sf)
Issuer: Citigroup Mortgage Loan Trust 2006-AR6
Cl. 2-A1, Upgraded to Caa1 (sf); previously on
Apr 16, 2013 Downgraded to Caa2 (sf)
Cl. 2-A2, Upgraded to Caa1 (sf); previously on
Apr 16, 2013 Upgraded to Caa2 (sf)
Cl. 2-A3, Upgraded to Caa1 (sf); previously on
Apr 16, 2013 Upgraded to Caa2 (sf)
Issuer: Citigroup Mortgage Loan Trust 2006-AR9
Cl. 1-A3, Upgraded to A1 (sf); previously on
Nov 4, 2015 Upgraded to Ba3 (sf)
Cl. 1-A4, Upgraded to A3 (sf); previously on
Aug 22, 2016 Upgraded to B2 (sf)
Cl. 1-M1, Upgraded to Ba2 (sf); previously on
Aug 22, 2016 Upgraded to Caa2 (sf)
Cl. 1-M2, Upgraded to Caa3 (sf); previously on
Feb 4, 2009 Downgraded to C (sf)
Issuer: Citigroup Mortgage Loan Trust 2007-AR1
Cl. A2, Upgraded to Caa2 (sf); previously on Nov 19,
2010 Downgraded to Caa3 (sf)
Cl. A3, Upgraded to Caa2 (sf); previously on Nov 19,
2010 Downgraded to Caa3 (sf)
Issuer: Citigroup Mortgage Loan Trust 2007-OPX1
Cl. A-1A, Downgraded to Ca (sf); previously on
Nov 19, 2010 Downgraded to Caa3 (sf)
Cl. A-1B, Downgraded to Ca (sf); previously on
Nov 19, 2010 Downgraded to Caa3 (sf)
Cl. A-2, Downgraded to Ca (sf); previously on
Nov 19, 2010 Downgraded to Caa3 (sf)
Cl. A-3A, Downgraded to Ca (sf); previously on
Nov 19, 2010 Downgraded to Caa3 (sf)
Cl. A-3B, Downgraded to Ca (sf); previously on
Nov 19, 2010 Downgraded to Caa3 (sf)
Cl. A-4A, Downgraded to Ca (sf); previously on
Nov 19, 2010 Downgraded to Caa3 (sf)
Cl. A-4B, Downgraded to Ca (sf); previously on
Nov 19, 2010 Downgraded to Caa3 (sf)
Cl. A-5A, Downgraded to Ca (sf); previously on
Nov 19, 2010 Downgraded to Caa3 (sf)
Cl. A-5B, Downgraded to Ca (sf); previously on
Nov 19, 2010 Downgraded to Caa3 (sf)
Issuer: Citigroup Mortgage Loan Trust Series 2005-10
Cl. I-A3A, Upgraded to Caa2 (sf); previously
on Nov 19, 2010 Downgraded to Caa3 (sf)
Issuer: Citigroup Mortgage Loan Trust Series 2005-8
Cl. II-A1, Upgraded to Caa2 (sf); previously
on Nov 19, 2010 Downgraded to Caa3 (sf)
Cl. II-A2, Upgraded to Caa2 (sf); previously
on Nov 19, 2010 Downgraded to Caa3 (sf)
Cl. II-A3, Upgraded to Caa3 (sf); previously
on Nov 19, 2010 Downgraded to Ca (sf)
Cl. II-PO, Upgraded to Caa2 (sf); previously
on Nov 19, 2010 Downgraded to Caa3 (sf)
Cl. II-XS, Upgraded to Caa2 (sf); previously
on Jun 26, 2014 Downgraded to Caa3 (sf)
Cl. II-A4A, Upgraded to Caa2 (sf); previously
on Nov 19, 2010 Downgraded to Caa3 (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2005-2
Cl. I-A1, Upgraded to B3 (sf); previously on
Aug 22, 2016 Confirmed at Caa1 (sf)
Cl. I-A3, Upgraded to B3 (sf); previously on
Aug 22, 2016 Confirmed at Caa1 (sf)
Cl. I-A2A, Upgraded to Baa2 (sf); previously
on Aug 22, 2016 Upgraded to Ba1 (sf)
Cl. I-A2B, Upgraded to B3 (sf); previously on
Aug 22, 2016 Upgraded to Caa1 (sf)
Cl. I-A3A, Upgraded to Ba3 (sf); previously on
Aug 22, 2016 Upgraded to B2 (sf)
Cl. I-A3B, Upgraded to Caa2 (sf); previously
on Aug 22, 2016 Confirmed at Ca (sf)
Cl. I-A5A, Upgraded to Ba2 (sf); previously on
Aug 22, 2016 Upgraded to B1 (sf)
Cl. I-A5B, Upgraded to Caa2 (sf); previously
on Aug 22, 2016 Confirmed at Ca (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2005-3
Cl. II-A2, Upgraded to Caa1 (sf); previously
on Nov 19, 2010 Downgraded to Caa2 (sf)
Cl. II-A2A, Upgraded to Ba1 (sf); previously
on Nov 19, 2010 Downgraded to B2 (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2005-4
Cl. A, Upgraded to B1 (sf); previously on Nov 19,
2010 Downgraded to B3 (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2005-WF1
Cl. A-4, Upgraded to A2 (sf); previously on Jul
27, 2016 Upgraded to Baa1 (sf)
Cl. A-5, Upgraded to A1 (sf); previously on Jul
27, 2016 Upgraded to A3 (sf)
Cl. M-1, Upgraded to B2 (sf); previously on Jul
27, 2016 Upgraded to Caa1 (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2005-WF2
Cl. AF-5, Upgraded to Caa1 (sf); previously on
Nov 19, 2010 Downgraded to Caa3 (sf)
Cl. AF-6A, Upgraded to Caa2 (sf); previously
on Nov 19, 2010 Downgraded to Caa3 (sf)
Cl. AF-6B, Upgraded to Caa2 (sf); previously
on Nov 19, 2010 Downgraded to Caa3 (sf)
Underlying Rating: Upgraded to Caa2 (sf); previously on Nov
19, 2010 Downgraded to Caa3 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. AF-7, Upgraded to Caa1 (sf); previously on
Sep 14, 2015 Downgraded to Caa3 (sf)
Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC
Trust Certificates, Series 2007-RS8
Cl. 1-A-1, Upgraded to Caa3 (sf); previously
on Nov 14, 2013 Downgraded to Ca (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to the large increase in credit
enhancement available to bonds due to the distribution of funds related
to the $1.125 billion Citigroup settlement. The upgrade
of CL.1-A-1 in Deutsche Mortgage Securities,
Inc. Re-REMIC Trust Certificates, Series 2007-RS8
is due to the upgrade of its underlying bond CL. 2-A3A from
Citigroup Mortgage Loan Trust 2006-AR3.
The rating downgrades are primarily due to significant undercollateralization
to the bonds.
The actions reflect the recent performance of the underlying pools and
Moody's updated loss expectation on these pools.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in November 2013. The methodology
used for rating Deutsche Mortgage Securities, Inc. Re-REMIC
Trust Certificates, Series 2007-RS8 was "Moody's Approach
to Rating Resecuritizations" published in Feburary 2014.
Please see the Rating Methodologies page on www.moodys.com
for a copy of these methodologies.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 4.7% in December 2016 from 5.0%
in December 2015. Moody's forecasts an unemployment central range
of 4.5% to 5.5% for the 2017 year.
Deviations from this central scenario could lead to rating actions in
the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2017. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
Finally, 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.
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF446005
A list of updated estimated transaction pool losses and bond recoveries
are being posted on an ongoing basis for the duration of this review period
and may be found at:
Excel:
Alt-A: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF198174
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain 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 certain regulatory disclosures in relation
to the credit rating action on the support provider and in relation to
each particular credit rating action for securities that derive their
credit ratings from the support provider's credit rating.
For provisional ratings, this announcement provides certain 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.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
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.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Chloe Zhang
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
Eric Fellows
Senior Vice President/Manager
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