Four tranches of two deals issued by Citigroup Mortgage Loan Trust in 2003 have been downgraded by Moody's Investors Service.The downgrades were as follows: series 2003-HE3, class M-4, from Ba1 to B2; and series 2003-HE4, class M-5, from Ba1 to B1, class M-6, from Ba3 to Caa2, and class M-7, from B2 to C. The downgrades were attributed to higher-than-expected delinquencies and losses. "Moreover, the 2003-HE4 transaction has experienced erosion of overcollateralization due to the recent pace of losses," the rating agency said. The collateral backing the deals consists primarily of first-lien subprime residential mortgage loans.
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