DBRS Rates Citigroup Mortgage Loan Trust Mortgage Pass-Through Certificates, Series 2009-C

DBRS has today assigned the following ratings to the CMLTI Mortgage Pass-Through Certificates, Series 2009-C issued by Citigroup Mortgage Loan Trust 2009-C (the Trust).

-- $15.9 million Class A1 rated at AAA
-- $26.5 million Class AX1* rated at AAA
-- $5.3 million Class AX2* rated at AAA
-- $5.3 million Class AX3* rated at AAA
-- $2.1 million Class AX4* rated at AAA
-- $39.2 million Class A2** rated at AAA
-- $6.9 million Class A3* rated at AA
-- $37.1 million Class A4** rated at AAA
-- $31.8 million Class A5** rated at AAA
-- $46.1 million Class A6** rated at AA

The AAA ratings in this transaction reflect the 48.00% of credit enhancement provided by subordination, overcollateralization and monthly excess spread. The AA ratings reflect 41.50% of credit enhancement. The Initial Exchangeable Certificates are exchangeable for the related combinations of Exchangeable Certificates and vice versa as described in the private placement memorandum. Other than the specified classes above, DBRS does not rate any other certificates in this transaction.

The ratings on the certificates also reflect the quality of the underlying assets and the capabilities of Green Tree Servicing LLC (Green Tree) as servicer. U.S. Bank National Association will serve as trustee and custodian.

Interest and principal payments collected from the mortgage loans will generally be distributed on the 25th of each month, commencing in October 2009. Interest will be paid first to the Class A certificates on a pro rata basis and then to the Class M certificates on a pro rata basis. Principal will be paid to the certificates in sequential order beginning with the Class A1 Certificates until the principal balance has been reduced to zero.

The Trust contains seasoned mortgage loans originated by Ameriquest Mortgage Company (48%), Opteum Financial Services, LLC (14%), Accredited Home Lenders, Inc. (7%) and various other originators. The loans are on average 31 months seasoned first-lien, fixed and adjustable rate subprime and Alt-A mortgages secured by one- to four-family residential properties. As of the cut-off date (August 31, 2009), the loans had an aggregate principal balance of approximately $106,028,666, a weighted-average (W.A.) mortgage rate of 7.26% and a W.A. updated FICO score of 675.

As of the cut-off date, except for five loans that were 30-days delinquent, all mortgage loans were current under the MBA method. The five delinquent loans were subsequently cured by the closing date. 88% of the pool never missed a payment in the past 12 months. Only 3% of the pool was ever modified. In its analysis, DBRS reviewed all modified loans in conjunction with modification dates and pay histories. To the extent that a modified loan has not demonstrated a consistently improved payment pattern for a minimum of one year, DBRS reverted its status back to delinquent when assessing the default frequencies. For example, a loan that was modified five months ago and was 60 days delinquent before modification will be treated as 60 days delinquent in determining default frequencies. In addition, depending on the severity of the pay histories, DBRS would apply the same methodology to non-modified loans with a derogatory pay history (that was subsequently cured) on a case-by-case basis.

The W.A. combined loan-to-value (CLTV) ratio at origination was 84.9%. DBRS calculated the current CLTV as 149.0%. In doing so, we first updated properties to their present value based on the original appraised value and loan seasoning using the Metropolitan Statistical Area (MSA) Case-Shiller home price indices. Then, we further stressed the appraised values to the MSA-level housing trough based on the Case-Shiller home price projections for the next 12 months.

In this transaction, Green Tree will not advance any principal and interest payments on delinquent mortgages to the securitization trust. This will likely result in lower loss severities to the bond holders because the advanced interest will not have to be reimbursed from the trust upon the liquidation of the mortgages. Additionally, the pass-through rates on the certificates are based on the actual interest collected on the underlying mortgages less servicing and administration fees.

Note:

• denotes Initial Exchangeable Certificate.
  ** denotes Exchangeable Certificate.

All figures are in U.S. dollars unless otherwise noted.

The applicable methodology is Rating U.S. Residential Mortgage-Backed Securities Transactions, which can be found on our website under Methodologies.

This is a Structured Finance rating.