New York, July 25, 2013 -- Moody's Investors Service has confirmed the ratings of 32 tranches and
upgraded the ratings of two tranches from five transactions, backed
by Subprime mortgage loans issued by CitiFinancial.
Complete rating actions are as follows:
Issuer: CitiFinancial Mortgage Securities Inc. 2003-1
Cl. AF-4, Confirmed at Baa1 (sf); previously
on Apr 29, 2013 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. AF-5, Confirmed at A2 (sf); previously on
Apr 29, 2013 A2 (sf) Placed Under Review for Possible Downgrade
Cl. AF-PT, Confirmed at A3 (sf); previously on
Apr 29, 2013 A3 (sf) Placed Under Review for Possible Downgrade
Cl. MF-1, Confirmed at B1 (sf); previously on
Apr 29, 2013 B1 (sf) Placed Under Review for Possible Downgrade
Cl. MV-3, Confirmed at Caa3 (sf); previously
on Apr 29, 2013 Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: CitiFinancial Mortgage Securities Inc. 2003-2
Cl. AF-4, Confirmed at Baa1 (sf); previously
on Apr 29, 2013 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. AF-5, Confirmed at Baa1 (sf); previously
on Apr 29, 2013 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. MF-1, Confirmed at Ba3 (sf); previously on
Apr 29, 2013 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. MF-2, Confirmed at Caa1 (sf); previously
on Apr 29, 2013 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. MV-2, Confirmed at Caa2 (sf); previously
on Apr 29, 2013 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: CitiFinancial Mortgage Securities Inc. 2003-3
Cl. AF-4, Confirmed at A3 (sf); previously on
Apr 29, 2013 A3 (sf) Placed Under Review for Possible Downgrade
Cl. AF-5, Confirmed at A1 (sf); previously on
Apr 29, 2013 A1 (sf) Placed Under Review for Possible Downgrade
Cl. MF-1, Upgraded to Ba2 (sf); previously on
Apr 29, 2013 B1 (sf) Placed Under Review for Possible Downgrade
Cl. MF-2, Upgraded to Ca (sf); previously on
Apr 9, 2012 Downgraded to C (sf)
Cl. MV-3, Confirmed at Caa3 (sf); previously
on Apr 29, 2013 Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: CitiFinancial Mortgage Securities Inc. 2003-4
Cl. AF-4, Confirmed at A2 (sf); previously on
Apr 29, 2013 A2 (sf) Placed Under Review for Possible Downgrade
Cl. AF-5, Confirmed at A2 (sf); previously on
Apr 29, 2013 A2 (sf) Placed Under Review for Possible Downgrade
Cl. AF-6, Confirmed at A1 (sf); previously on
Apr 29, 2013 A1 (sf) Placed Under Review for Possible Downgrade
Cl. MF-1, Confirmed at Ba2 (sf); previously on
Apr 29, 2013 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. MF-2, Confirmed at Ba3 (sf); previously on
Apr 29, 2013 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. MF-3, Confirmed at B2 (sf); previously on
Apr 29, 2013 B2 (sf) Placed Under Review for Possible Downgrade
Cl. MF-4, Confirmed at Caa2 (sf); previously
on Apr 29, 2013 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. MV-4, Confirmed at Baa1 (sf); previously
on Apr 29, 2013 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. MV-5, Confirmed at Caa2 (sf); previously
on Apr 29, 2013 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. MV-6, Confirmed at Caa3 (sf); previously
on Apr 29, 2013 Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: CitiFinancial Mortgage Securities Inc. 2004-1
Cl. AF-3, Confirmed at A2 (sf); previously on
Apr 29, 2013 A2 (sf) Placed Under Review for Possible Downgrade
Cl. AF-4, Confirmed at A2 (sf); previously on
Apr 29, 2013 A2 (sf) Placed Under Review for Possible Downgrade
Cl. AF-5, Confirmed at A1 (sf); previously on
Apr 29, 2013 A1 (sf) Placed Under Review for Possible Downgrade
Cl. MF-1, Confirmed at Baa3 (sf); previously
on Apr 29, 2013 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. MF-2, Confirmed at Ba1 (sf); previously on
Apr 29, 2013 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. MF-3, Confirmed at Ba3 (sf); previously on
Apr 29, 2013 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. MF-4, Confirmed at B2 (sf); previously on
Apr 29, 2013 B2 (sf) Placed Under Review for Possible Downgrade
Cl. MF-5, Confirmed at Caa1 (sf); previously
on Apr 29, 2013 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. MF-6, Confirmed at Caa3 (sf); previously
on Apr 29, 2013 Caa3 (sf) Placed Under Review for Possible Downgrade
RATINGS RATIONALE
The rating action reflects the recent performance of the underlying pools
and Moody's updated expected losses on the pools. In addition,
the rating action reflects correction of errors in the cash flow models
previously used by Moody's in rating these transactions.
The cash flow models used in the previous rating actions had incorrectly
applied separate interest and principal waterfalls. In the impacted
deals, all collected principal and interest is commingled into one
payment waterfall to pay all interest due on bonds first, and then
to pay principal. As stated in the deals' pooling and servicing
agreements, principal and interest collections in these deals are
commingled first and used to make payments on the bonds. With the
commingling of funds, principal proceeds can be used to pay accrued
interest, which could result in reduced principal recovery for the
bonds outstanding.
The errors have now been corrected, and today's rating actions reflect
the changes.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in June 2013. Please see the Credit Policy
page on www.moodys.com for a copy of this methodology.
The primary sources of assumption uncertainty are our central macroeconomic
forecast and performance volatility as a result of servicer-related
activity such as modifications. The unemployment rate fell from
8.2% in June 2012 to 7.6% in June 2013.
Moody's forecasts an unemployment central range of 7.0%
to 8.0% for 2013. Moody's expects housing prices
to continue to rise in 2013. Performance of RMBS continues to remain
highly dependent on servicer activity such as modification-related
principal forgiveness and interest rate reductions. Any change
resulting from servicing transfers or other policy or regulatory change
can also impact the performance of these transactions.
A list of these actions including CUSIP identifiers may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF337509
A list of updated estimated pool losses and sensitivity analysis is being
posted on an ongoing basis for the duration of this review period and
may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
REGULATORY DISCLOSURES
Moody's received and took into account a third party assessment
on the due diligence performed regarding the underlying assets or financial
instruments in these transactions and the assessment had a neutral impact
on the rating.
In conducting surveillance of these credits, Moody's considered
performance data contained in servicer and remittance reports.
Moody's obtains servicer reports on these transactions on a periodic basis,
at least annually.
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 rating action on the support provider and in relation to each particular
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 rating action, and
whose ratings may change as a result of this 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.
Jayesh?Joseph
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
VP - Sr Credit Officer/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
Moody's takes action on $287.6 Million of Subprime RMBS issued by CitiFinancial