DBRS Rates Citigroup Mortgage Loan Trust 2012-2

DBRS, Inc. has assigned the following ratings to the Resecuritization Trust Certificates, Series 2012-2, issued by Citigroup Mortgage Loan Trust 2012-2 (the Trust):

-- $19.6 million Class 1A1 rated at A (sf)
-- $17.5 million Class 2A1 rated at A (sf)
-- $20.5 million Class 3A1 rated at A (sf)
-- $12.9* million Class 4A1 rated at A (sf)
-- $11.7** million Class 4A3 rated at AA (sf)
-- $1.2** million Class 4A4 rated at A (sf)

There are four groups total in this resecuritization trust. DBRS rates securities from all Groups, each of which consists of one seasoned senior residential mortgage-backed security (RMBS). The ratings on the securities reflect the credit enhancement provided by subordination within each Group. The ratings also reflect the quality of the underlying assets. Regular Certificates may be exchanged for Combined Certificates, and vice versa, 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 on the same day as the underlying distribution date (25th of each month for Groups 1, 2 & 3 and 20th of each month for Group 4), commencing in March 2012. Within Group 1, 2 & 4, interest payments will be distributed on a pro rata basis to the certificates. Within Group 2, interest payments will be distributed on a sequential basis to the certificates. For all Groups, principal will be distributed on a sequential basis to the certificates until the certificate principal balances thereof are reduced to zero.

For Group 1, 2 & 3, the monthly increase in the Implied Realized Loss Amount for the related Underlying Security(ies) will be allocated to reduce the certificate principal balances in reverse sequential order. For Group 4, losses realized from the underlying security will be allocated in a reverse sequential order to the certificates, until the principal balances have been reduced to zero.

Each DBRS rated Group is a resecuritization consisting of one or two senior RMBS represented by one real estate mortgage investment conduit (REMIC). Each REMIC is backed by a pool of seasoned, Alt-A, first lien, fixed or adjustable-rate, one- to four-family residential mortgage loans.

The ratings assigned to the offered securities address (i) the likelihood of the receipt by security holders of all principal distributions to which such security holders are entitled and (ii) the likelihood of the receipt by security holders of the amount of interest actually received by the trust to the extent payable to each class in accordance with the priorities described in the operative documents (as such interest received by the trust may have been reduced as a result of any interest shortfalls allocated to the related underlying securities, and as such interest entitlement may be further reduced by the allocation of extraordinary trust expenses). For more details on the ratings, please refer to the offering and transaction legal documents.

DBRS ReREMIC Methodology Excerpt:
Since a ReREMIC is a pass-through of interest, principal and losses from the underlying certificates, its interest entitlement is usually capped at the actual interest amount collected on the underlying securities.

In other words, a ReREMIC trust cannot pay out more interest than it receives from its collateral, and sometimes, what is collected on the underlying securities can be as low as zero.

When rating ReREMICs, DBRS is assessing the ability of the trust making the full principal payment by the legal final maturity date of the transaction. These transactions typically define interest rate as the lesser of the bond coupon and the available interest funds. Hence, the DBRS rating does not provide an opinion on the timeliness or amount of interest payments the investor may receive. The trust’s only obligation is to pass through the interest proceeds net of fees from the underlying securities.

Notes:

• denotes Regular Certificate.
  ** denotes Combined Certificate.

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

The applicable methodology is RMBS Insight: U.S. Residential Mortgage-Backed Securities Loss Model and Rating Methodology, which can be found on our website under Methodologies.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link or by contacting us at info@dbrs.com.