New York, January 06, 2011 -- Moody's Investors Service has upgraded the rating of 1 tranche and confirmed
the ratings of 3 tranches from 1 RMBS transaction issued by Citigroup.
The collateral backing this deal primarily consists of home equity lines
of credit (HELOC).
RATINGS RATIONALE
The actions are a result of the stable performance in this second lien
pool despite home price and unemployment conditions that remain under
duress. The actions reflect Moody's updated loss expectations on
second lien pools.
The principal methodology used in these ratings was "Second Lien RMBS
Loss Projection Methodology: April 2010" rating methodology published
in April 2010. Other methodologies and factors that may have been
considered in the process of rating this issuer can also be found on Moody's
website.
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck.
For securities insured by a financial guarantor, the rating on the
securities is the higher of (i) the guarantor's financial strength rating
and (ii) the current underlying rating (i.e., absent
consideration of the guaranty) on the security. The principal methodology
used in determining the underlying rating is the same methodology for
rating securities that do not have a financial guaranty and is as described
earlier. All Classes issued by Citigroup HELOC Trust 2006-NCB1
are wrapped by Ambac Assurance Corporation (Segregated Account --
Unrated). RMBS securities wrapped by Ambac Assurance Corporation
are rated at their underlying rating without consideration of Ambac's
guaranty.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment remains at high levels,
and weakness persists in the housing market. Moody's notes an increasing
potential for a double-dip recession, which could cause a
further 20% decline in home prices (versus its baseline assumption
of roughly 5% further decline). Overall, Moody's assumes
a further 5% decline in home prices with stabilization in early
2011, accompanied by continued stress in national employment levels
through that timeframe.
If expected losses on the collateral pool were to increase by 10%,
model implied results indicate that most of the deals' ratings would
remain stable, with the exception of the Class 2A-1,
for which model implied results would be one notch lower (for example,
Ba2 versus Ba1, or Ca versus Caa3).
For more information please see www.moodys.com.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or financial
instruments in this transaction and the due diligence reports had a neutral
impact on the rating.
Complete rating actions are as follows:
Issuer: Citigroup HELOC Trust 2006-NCB1
Expected Losses (as a % of Original Balance): Group 1 -
13%, Group 2 - 15%
Cl. 1A-1, Confirmed at Caa3 (sf); previously
on Apr 16, 2010 Downgraded to Caa3 (sf) and Placed Under Review
for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. 2A-1, Upgraded to Aa1 (sf); previously on
Mar 18, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. 2A-2, Confirmed at Baa3 (sf); previously
on Mar 18, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. 2A-3, Confirmed at Ca (sf); previously on
Apr 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible
Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
A list of these actions including CUSIP identifiers may be found at:
Excel: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF230062
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, confidential and proprietary Moody's
Analytics' information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Aron Bergman
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Bruce D. Fabrikant
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's takes action on $ 327 million of HELOC RMBS issued by Citigroup