DBRS Rates Citigroup Mortgage Loan Trust 2011-2

DBRS has today assigned the following ratings to the Resecuritization Trust Certificates, Series 2011-2, issued by Citigroup Mortgage Loan Trust 2011-2 (the Trust):

-- $9.9 million Class 1A1 rated at A (sf)
-- $9.6 million Class 2A1* rated at A (sf)
-- $8.1 million Class 2A4** rated at AAA (sf)
-- $1.5 million Class 2A5** rated at A (sf)
-- $29.9 million Class 3A1* rated at A (sf)
-- $29.9 million Class 3A4** rated at A (sf)
-- $25.1 million Class 3A6** rated at AAA (sf)
-- $4.8 million Class 3A7** rated at A (sf)
-- $25.1 million Class 3A8** rated at AAA (sf)
-- $4.8 million Class 3A9** rated at A (sf)

There are a total of three groups in this resecuritization trust, 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 groups. The ratings also reflect the quality of the underlying assets. Certain classes of certificates (Regular Certificates) are exchangeable for certain other classes of certificates (Combined Certificates) and vice versa, in the combinations described in the private placement memorandum.

The ratings of DBRS assigned to the Offered Certificates address the likelihood, in the opinion of DBRS, of the receipt by the related Certificateholders of (i) all principal distributions to which such Certificateholders are entitled and (ii) the amount of interest actually received by the Trust to which such Certificateholders are entitled, as such entitlements may be reduced by (a) the allocation of certain net interest shortfalls allocated to the related Underlying Securities, including but not limited to net interest shortfalls resulting from prepayments of the related Underlying Mortgage Loans, application of the Relief Act in respect of the related mortgage loans, reductions in the interest rate on the related mortgage loans as a result of modifications on such mortgage loans or any interest shortfalls resulting from a related Underlying Servicer’s failure to make any required advances of interest in respect of the related Underlying Mortgage Loans and (b) related extraordinary trust fund expenses incurred by the related Underlying Trust.

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 March 2011. 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 or adjustable-rate, first lien, one- to four-family residential mortgages.

Notes:

• denotes Regular Certificates.
  ** denotes Combined Certificates.

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.