NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings and Rating Outlooks to one group in Citigroup Mortgage Loan Trust 2014-12 Group 3 Securities:
--$32,493,000 class 3A1 'BBBsf'; Outlook Stable.
Fitch is not expected to rate the following class:
--$10,127,235 class 3A2.
CMLTI 2014-12 is composed of three groups. Fitch is rating one bond in one of the groups (Bond 3A1 in group 3). Each group is a resecuritization of an ownership interest in a residential mortgage-backed security. As a resecuritization, the securities will receive their cash-flow from the underlying security. The Fitch-rated group is collateralized with class 6-A-1 from Adjustable Rate Mortgage Trust 2005-7. While the mortgage pool has performed worse than initial expectations, performance has stabilized and improved in recent years.
Fitch's stressed mortgage pool loss assumption in the 'BBBsf' rating scenario is approximately 21% of the underlying pool. Fitch assumes home prices decline 20% below their sustainable levels in a 'BBBsf' rating scenario. The principal balances of all subordinate classes of the underlying transaction have been entirely written down and the underlying class has already experienced writedowns.
KEY RATING DRIVERS
Key rating drivers include the performance of the underlying pool as well as the collateral characteristics, such as sustainable loan-to-value ratio (sLTV), credit score and geographic concentration. For the Fitch rated group, Fitch ran various prepayment speeds and loss timing scenarios in its analysis of the deal structure. This analysis was done to determine that the cash flow to the senior bond rated by Fitch would not be exposed to losses as a result of potential alternative cash flow timing stress scenarios.
Fitch analyzes each bond in a number of different scenarios to determine the likelihood of full principal recovery and timely interest. The scenario analysis incorporates various combinations of the following stressed assumptions: mortgage loss, loss timing, interest rates, prepayments, servicer advancing and loan modifications.
The analysis includes rating stress scenarios from 'CCCsf' to 'AAAsf'. The 'CCCsf' scenario is intended to be the most likely base-case scenario. Rating scenarios above 'CCCsf' are increasingly more stressful and have less likely outcomes. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the 'Bsf' scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the 'AAAsf' scenario.
The group-to-bond association for the Fitch-rated group is as follows: Group 3 represents a 54.69% interest in the Adjustable Rate Mortgage Trust 2005-7, Class 6-A-1. Fitch's 'BBBsf' rating for class 3A1 reflects the credit risk of the underlying transaction and the additional subordination provided by the new resecuritization trust. The underlying collateral pool for Adjustable Rate Mortgage Trust 2005-7, class 6-A-1 consists entirely of hybrid ARM mortgage loans. As of Nov. 25, 2014, Fitch estimates the loans remaining in the underlying pool had an original weighted average (WAVG) credit score of 716 and an estimated current combined loan-to-value of 82%. The top three state concentrations are California (32%), Florida (11%) and Arizona (8%). Approximately 10% of the remaining pool is delinquent.
For further information, see Citigroup Mortgage Loan Trust 2014-12 Representations and Warranties Appendix, published today.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (May 2014);
--'U.S. RMBS Master Rating Criteria,' (July 2014);
--'U.S. RMBS Surveillance and Re-REMIC Criteria' (June 2014);
--'U.S. RMBS Loan Loss Model Criteria' (November 2014);
--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 2014);
--'U.S. RMBS Cash Flow Analysis Criteria' (April 2014);
--'Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds' (January 2014);
--'Rating Criteria for US Residential and Small Balance Commercial Mortgage Servicers' (January 2014).
Applicable Criteria and Related Research: Citigroup Mortgage Loan Trust 2014-12 - Appendix
U.S. RMBS Surveillance and Re-REMIC Criteria
U.S. RMBS Master Rating Criteria
Global Structured Finance Rating Criteria
Rating Criteria for US Residential and Small Balance Commercial Mortgage Servicers
U.S. RMBS Cash Flow Analysis Criteria
Counterparty Criteria for Structured Finance and Covered Bonds
U.S. RMBS Loan Loss Model Criteria