Fitch Ratings downgrades the ratings on Citigroup Mortgage Loan Trust Re-Remic Trust Certificates 2005-12, which is a U.S. RMBS resecuritization, as part of Fitch’s ongoing review of Alt-A RMBS transactions. The affected classes represent a beneficial ownership interest in separate trust funds.
The underlying securities remaining in Citigroup Mortgage Loan Trust Re-Remic Trust Certificates 2005-12 Group One consist of Citigroup Mortgage Loan Trust 2005-5 class II-1-1A3 (rated ‘CCC/RR3’ by Fitch) and class II-1-1A4 (rated ‘CCC/RR2’).
The underlying securities remaining in Citigroup Mortgage Loan Trust Re-Remic Trust Certificates 2005-12 Group Two consist of Citigroup Mortgage Loan Trust 2005-5 classes II-1-2A3 (rated ‘CCC/RR3’), class II-1-2A4 (rated ‘CCC/RR1’) and class II-1-2A5 (rated ‘CCC’).
The ratings for Citigroup Mortgage Loan Trust Re-Remic Trust Certificates 2005-12 classes IA1, IA2, IA3, IIA1, IIA2, and IIA3 were based on the lowest rating of the underlying bonds in their respective group, since the classes do not have credit enhancement provided by the re-remic structure.
Fitch downgrades the following Citigroup Mortgage Loan Trust Re-Remic Trust Certificates 2005-12:
–Class IA1 to ‘CCC/RR2’ from ‘AAA’;
–Class IA2 to ‘CCC’ from ‘AAA’;
–Class IA3 to ‘CCC/RR3’ from ‘AAA’;
–Class IIA1 to ‘CCC/RR2’ from ‘AAA’;
–Class IIA2 to ‘CCC/RR1’ from ‘AAA’;
–Class IIA3 to ‘CCC/RR3’ from ‘AAA’.
Fitch recently revised its surveillance methodology for prime and Alt-A RMBS to include the use of the ResiLogic mortgage loss and default model to determine a base-case loss expectation in conjunction with a transaction specific assessment of the pools’ actual performance.
L.D.