New York, May 14, 2009 -- Moody's Investors Service has downgraded the ratings of 20 certificates
issued in 3 resecuritized transactions.
The certificates in the resecuritizations are backed by one or more securities
which in turn are backed by residential mortgage loans. These rating
actions have been triggered by changes in Moody's ratings on the
underlying residential mortgage-backed securities (underlying securities).
The rating on the certificates in the resecuritization is based on:
(i) The updated expected loss of the pool of loans backing the underlying
securities portfolio and the updated ratings on the underlying securities
portfolio
(ii) The available credit enhancement on the underlying securities and
(iii) The structure of the resecuritization transaction, as described
in more detail below and the presence of certificate insurance if any.
(1) Moody's first updated its loss assumptions on the underlying pool
of mortgage loans (backing the underlying securities) and then arrived
at updated ratings on the underlying securities. The methodology
used to update the loss assumptions on the underlying mortgage pools and
ratings on the securities can be found at www.moodys.com
The ratings on the underlying securities are used to derive a weighted
average portfolio rating based on a weighted average rating factor (WARF).
To determine the portfolio WARF, Moody's assigns the ratings
on the underlying securities a Rating Factor based on Moody's published
10-yr idealized loss expectations. Weights are assigned
to each Rating Factor based on the contribution (by current balance) of
the underlying security to the resecuritized transaction.
(2) Second, Moody's determines the weighted average credit enhancement
available to the portfolio security by evaluating the loss coverage level
consistent with the ratings of the underlying securities and the underlying
mortgage pool losses and weighting them based on the outstanding pledged
balance of the underlying securities.
(3) Finally, the ratings on the bonds issued in the resecuritization
are arrived at after taking into consideration additional structural aspects
of the resecuritization. For transactions where only a single tranche
is issued the weighted average portfolio rating as determined in step
1 above is the rating assigned to the tranche. Where multiple securities
are issued the loss allocation and cash flow priority are taken into consideration.
For instance where the certificates in the resecuritization are tranched
into a super senior tranche and a support tranche, the support tranche
is notched down to reflect a higher severity of loss to that tranche.
The rating on the super senior tranche is determined based on the total
credit enhancement available i.e. the credit enhancement
assessed in step (2) and the additional enhancement from the support tranche.
The probability of default for the junior-most certificate in the
resecuritization is the same as that for the lowest rated underlying certificate.
However, Moody's anticipates a higher loss severity on the junior
class due to its subordinate position (both in terms of principal distribution
and loss allocation), and smaller size (when compared to underlying
certificate). Therefore, the ratings on junior certificates
in the resecuritization are lower than the portfolio rating of the combined
underlying bonds.
Because the ratings on the certificates in the resecuritization are linked
to the rating of the underlying certificate and its mortgage pool performance,
any rating action on the underlying certificate may trigger a further
review of the ratings on the certificates in the resecuritization.
As a result, any further change in the ratings on the underlying
securities will trigger further analysis of the ratings on the resecuritization
certificates. The ratings on the certificates in the resecuritization
address the ultimate payment of promised interest and principal and do
not address any other amounts that may be payable on the certificates.
Complete Rating Action are as follows;
Citigroup Mortgage Loan Trust 2007-11
Cl. I-A-1, Downgraded to Caa1; previously
on 12/3/2007 Assigned Aaa
Cl. I-A-1B, Downgraded to Ca; previously
on 12/3/2007 Assigned Aa1
Cl. I-A-2, Downgraded to Caa1; previously
on 12/3/2007 Assigned Aaa
Cl. I-A-3, Downgraded to Ca; previously
on 12/3/2007 Assigned Aa1
Cl. I-A-4, Downgraded to B3; previously
on 12/3/2007 Assigned Aaa
Cl. I-A-5, Downgraded to Ca; previously
on 12/3/2007 Assigned Aaa
Citigroup Mortgage Loan Trust 2007-9
Cl. I-A-1, Downgraded to Caa2; previously
on 11/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Ca; previously
on 11/14/2008 Aa1 Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to Caa2; previously
on 11/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. I-A-4, Downgraded to Caa3; previously
on 11/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. I-A-5, Downgraded to Caa2; previously
on 11/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. I-A-6, Downgraded to Caa2; previously
on 11/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. I-A-7, Downgraded to Caa2; previously
on 11/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. I-A-8, Downgraded to Caa2; previously
on 11/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. I-A-9, Downgraded to Caa2; previously
on 11/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. I-A-10, Downgraded to Caa2; previously
on 11/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. I-A-11, Downgraded to Caa1; previously
on 11/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. I-A-12, Downgraded to Ca; previously
on 11/14/2008 Aa1 Placed Under Review for Possible Downgrade
Citigroup Mortgage Loan Trust 2008-RR1
Cl. A-1A1, Downgraded to A2; previously on 6/9/2008
Aaa Placed Under Review for Possible Downgrade
Cl. A-1A2, Downgraded to Caa3; previously on
6/9/2008 Aaa Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF164355
For more information please see www.moodys.com.
New York
Debashish Chatterjee
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Gaurav Singhania
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's takes action on certain Citigroup resecuritization deals