Press Release

DBRS Rates Citigroup Mortgage Loan Trust 2010-8

RMBS
August 31, 2010

DBRS has today assigned the following ratings to the Resecuritization Trust Certificates, Series 2010-8, issued by Citigroup Mortgage Loan Trust 2010-8 (the Trust):

-- $748.56* million Class 5A1 rated at AAA(sf)
-- $55.86* million Class 5A2 rated at AA(sf)
-- $804.42** million Class 5A5 rated at AA(sf)
-- $748.56** million Class 5A1-1 rated at AAA(sf)
-- $55.86** million Class 5A2-1 rated at AA(sf)
-- $804.42** million Class 5A5-1 rated at AA(sf)
-- $748.56** million Class 5A1-2 rated at AAA(sf)
-- $55.86** million Class 5A2-2 rated at AA(sf)
-- $804.42** million Class 5A5-2 rated at AA(sf)
-- $748.56** million Class 5A1-3 rated at AAA(sf)
-- $55.86** million Class 5A2-3 rated at AA(sf)
-- $804.42** million Class 5A5-3 rated at AA(sf)
-- $748.56** million Class 5A1-4 rated at AAA(sf)
-- $55.86** million Class 5A2-4 rated at AA(sf)
-- $804.42** million Class 5A5-4 rated at AA(sf)
-- $748.56** million Class 5A1-5 rated at AAA(sf)
-- $55.86** million Class 5A2-5 rated at AA(sf)
-- $804.42** million Class 5A5-5 rated at AA(sf)
-- $748.56** million Class 5A1-6 rated at AAA(sf)
-- $55.86** million Class 5A2-6 rated at AA(sf)
-- $804.42** million Class 5A5-6 rated at AA(sf)
-- $826.17* million Class 6A1 rated at AAA(sf)
-- $64.54* million Class 6A2 rated at AA(sf)
-- $890.71** million Class 6A5 rated at AA(sf)
-- $826.17** million Class 6A1-1 rated at AAA(sf)
-- $64.54** million Class 6A2-1 rated at AA(sf)
-- $890.71** million Class 6A5-1 rated at AA(sf)
-- $826.17** million Class 6A1-2 rated at AAA(sf)
-- $64.54** million Class 6A2-2 rated at AA(sf)
-- $890.71** million Class 6A5-2 rated at AA(sf)
-- $826.17** million Class 6A1-3 rated at AAA(sf)
-- $64.54** million Class 6A2-3 rated at AA(sf)
-- $890.71** million Class 6A5-3 rated at AA(sf)
-- $423.42* million Class 7A1 rated at AAA(sf)
-- $33.08* million Class 7A2 rated at AA(sf)
-- $456.5** million Class 7A5 rated at AA(sf)
-- $423.42** million Class 7A1-1 rated at AAA(sf)
-- $33.08** million Class 7A2-1 rated at AA(sf)
-- $456.5** million Class 7A5-1 rated at AA(sf)
-- $423.42** million Class 7A1-2 rated at AAA(sf)
-- $33.08** million Class 7A2-2 rated at AA(sf)
-- $456.5** million Class 7A5-2 rated at AA(sf)
-- $423.42** million Class 7A1-3 rated at AAA(sf)
-- $33.08** million Class 7A2-3 rated at AA(sf)
-- $456.5** million Class 7A5-3 rated at AA(sf)

There are a total of seven groups in this resecuritization trust. DBRS rates Groups 5, 6 and 7, each consisting of one seasoned senior residential mortgage-backed security (RMBS). The ratings on the certificates reflect the credit enhancement provided by subordination within the respective group. The ratings also reflect the quality of the underlying assets. Certain classes of notes (Exchangeable REMIC Notes) are exchangeable for certain other classes of notes (Exchangeable Notes) and vice versa, in the combinations described in the private placement memorandum.

The ratings assigned to the certificates address the likelihood of the receipt by certificate holders of all distributions to which such certificate holders are entitled to and as such the entitlements may be reduced by (i) the allocation of certain interest shortfalls that may include interest shortfalls resulting from prepayments, application of any Relief Act reductions and interest rate modifications on the underlying collateral and (ii) any extraordinary trust expenses that may be incurred. For more details on the ratings, please refer to the offering documents.

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 on the same day as the underlying distribution date (the 25th of each month), commencing in September 2010. 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 to the 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 sequential order to the certificates within their respective groups.

The DBRS-rated groups within the Trust are resecuritizations, each consisting of one senior RMBS represented by various real estate mortgage investment conduits (REMICs). Within the DBRS-rated groups, the REMICs are backed by pools of seasoned prime, fixed-rate, first lien, one- to four-family residential mortgages.

Notes:

  • denotes Exchangeable Note.
    ** denotes Exchangeable REMIC Note.

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.

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.