Press Release

DBRS Rates Citigroup Mortgage Loan Trust 2009-10

RMBS
October 30, 2009

DBRS has today assigned the following ratings to the Resecuritization Trust Certificates, Series 2009-10, issued by Citigroup Mortgage Loan Trust 2009-10 (the Trust):

-- $ 28.2 million Class 2A1A rated at AAA
-- $ 3.0 million Class 2A1B rated at AAA
-- $ 3.0 million (notional) Class 2A1BIO rated at AAA
-- $ 22.6 million Class 2A2* rated at C
-- $ 3.8 million Class 2A2A** rated at “A”
-- $ 18.8 million Class 2A2B** rated at C
-- $ 5.9 million Class 2A2C** rated at BBB
-- $ 16.7 million Class 2A2D** rated at C
-- $ 1.8 million Class 3A2 rated at C
-- $ 6.3 million Class 4A2 rated at C
-- $ 1.3 million Class 4A1B** rated at C
-- $ 2.5 million Class 4A1D** rated at C

DBRS rates Groups 2 through 4 in this resecuritization trust, each consisting of one to three senior residential mortgage-backed securities (RMBS). The ratings on the certificates reflect the credit enhancement provided by subordination within their respective groups. The ratings on the DBRS-rated groups also reflect the quality of the underlying assets. Certain classes of certificates (Initial Exchangeable Certificates) are exchangeable for certain other classes of certificates (Subsequent Exchangeable Certificates) in the combinations described in the private placement memorandum.

Other than the specified classes above, DBRS does not rate any other certificates in this transaction.

Interest and principal payments on the certificates will be made generally on the 25th day of each month commencing in November 2009. For all DBRS-rated groups, interest payments will be distributed on a pro rata basis to the certificates within their respective groups. Principal will be distributed on a sequential basis first to the senior certificates and then to the mezzanine certificates within their respective groups until the certificate principal balances thereof are reduced to zero.

Any losses realized from the underlying securities will be allocated in a reverse numerical order to the certificates within their respective groups.

The Trust is a resecuritization consisting of nine senior RMBS, represented by various real estate mortgage investment conduits (REMICs). The REMICs are backed by pools of prime and Alt-A, fixed or adjustable rate, first-lien one- to four-family residential mortgages.

Notes:

  • denotes Initial Exchangeable Certificate.
    ** denotes Subsequent 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.

Ratings

  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.