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By clicking “I AGREE” [at the end of this document], you indicate that you understand and intend these terms and conditions to be the legal equivalent of a signed, written contract and equally binding, and that you accept such terms and conditions as a condition of viewing any and all Moody’s inform​ation that becomes accessible to you [after clicking “I AGREE”] (the “Information”).   References herein to “Moody’s” include Moody’s Corporation, Inc. and each of its subsidiaries and affiliates.

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2.            You acknowledge and agree that Moody’s credit ratings: (i) are current opinions of the future relative creditworthiness of securities and address no other risk; and (ii) are not statements of current or historical fact or recommendations to purchase, hold or sell particular securities.  Moody’s credit ratings and publications are not intended for retail investors, and it would be reckless and inappropriate for retail investors to use Moody’s credit ratings and publications when making an investment decision.  No warranty, express or implied, as the accuracy, timeliness, completeness, merchantability or fitness for any particular purpose of any Moody’s credit rating is given or made by Moody’s in any form whatsoever.          

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Rating Action:

Moody's takes action on $8.4 Million of Prime Jumbo RMBS issued in 2005-2008

14 Sep 2016

New York, September 14, 2016 -- Moody's Investors Service has upgraded the ratings of fifteen tranches and downgraded the ratings of two tranches backed by Prime Jumbo RMBS loans, issued by Citicorp Mortgage Securities.

Complete rating actions are as follows:

Issuer: Citicorp Mortgage Securities Trust, Series 2006-5

Cl. IIIA-1, Upgraded to B1 (sf); previously on Jul 15, 2011 Downgraded to B3 (sf)

Issuer: Citicorp Mortgage Securities Trust, Series 2006-7

Cl. IIA-1, Upgraded to Ba3 (sf); previously on May 19, 2010 Downgraded to B2 (sf)

Cl. IIIA-1, Upgraded to B2 (sf); previously on May 19, 2010 Downgraded to Caa1 (sf)

Issuer: Citicorp Mortgage Securities Trust, Series 2007-2

Cl. IIA-IO, Downgraded to B2 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf)

Issuer: Citicorp Mortgage Securities Trust, Series 2007-4

Cl. IIA-IO, Downgraded to B2 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf)

Issuer: Citicorp Mortgage Securities Trust, Series 2007-9

Cl. IIA-1, Upgraded to Baa2 (sf); previously on Nov 20, 2015 Upgraded to Ba1 (sf)

Issuer: Citicorp Mortgage Securities Trust, Series 2008-2

Cl. IIA-1, Upgraded to Ba1 (sf); previously on Sep 21, 2012 Downgraded to B1 (sf)

Cl. IIA-2, Upgraded to Ba3 (sf); previously on Jun 26, 2014 Upgraded to B3 (sf)

Cl. IIA-IO, Upgraded to B2 (sf); previously on May 26, 2015 Downgraded to Caa1 (sf)

Issuer: Citicorp Mortgage Securities, Inc. 2005-5

Cl. IA-3, Upgraded to Ba1 (sf); previously on May 26, 2015 Upgraded to Ba2 (sf)

Cl. IA-6, Upgraded to Ba1 (sf); previously on May 26, 2015 Upgraded to Ba2 (sf)

Cl. IA-7, Upgraded to Ba2 (sf); previously on May 26, 2015 Upgraded to Ba3 (sf)

Cl. IA-8, Upgraded to Baa3 (sf); previously on May 26, 2015 Upgraded to Ba1 (sf)

Cl. IA-10, Upgraded to Ba1 (sf); previously on May 26, 2015 Upgraded to Ba2 (sf)

Cl. IA-11, Upgraded to Ba1 (sf); previously on May 26, 2015 Upgraded to Ba2 (sf)

Cl. IA-12, Upgraded to Ba1 (sf); previously on May 26, 2015 Upgraded to Ba2 (sf)

Cl. IA-13, Upgraded to Ba1 (sf); previously on May 26, 2015 Upgraded to Ba2 (sf)

RATINGS RATIONALE

The actions are a result of the recent performance of the underlying pool and reflect Moody's updated loss expectation on the pool, as well as the correction of a prior error. The rating upgrades on CITICORP MORTGAGE SECURITIES TRUST 2007-9 IIA-1, CITICORP MORTGAGE SECURITIES TRUST, SERIES 2008-2 Cl. IIA-IO, and CITICORP MORTGAGE SECURITIES TRUST 2005-5 IA-3, IA-6, IA-7, IA-8, IA-10, IA-11, IA-12, and IA-13 are primarily a result of total credit enhancement available to the bonds, while the rating downgrades on two interest-only classes CITIGROUP MORTGAGE LOAN TRUST 2007-2 IIA-IO and CITICORP MORTGAGE SECURITIES TRUST 2007-4 IIA-IO are due to the erosion of enhancement available to the bonds. The rating upgrades on CITIGROUP MORTGAGE LOAN TRUST 2006-5 IIIA-1, CITIGROUP MORTGAGE LOAN TRUST 2006-7 IIA-1 and IIIA-1, and CITICORP MORTGAGE SECURITIES TRUST, SERIES 2008-2 IIA-1 and IIA-2 are primarily due to correction of the senior percentage calculation in the cash flow models used by Moody's in rating these transactions. In prior rating actions, the post-credit support depletion date (CSDD) senior percentage of each transaction was calculated as the total senior bond balance of each group divided by each group's total collateral balance, instead of the total senior bond balance of each group divided by each group's total bond balance. The error has now been corrected, and today's rating actions reflect this change.

The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in November 2013. Please see the Ratings Methodologies page on www.moodys.com for a copy of this methodology.

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 4.9% in August 2016 from 5.1% in August 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2016 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 2016. 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_SF439532.

A list of updated estimated pool losses and bond recoveries is being posted on an ongoing basis for the duration of this review period and may be found at:

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243269

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.

Michael Gallagher
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

Youriy Koudinov
VP - Senior Credit Officer
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

No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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