NEW YORK - (Business Wire) Fitch rates Citigroup Mortgage Loan Trust 2009-10 as follows: --$18,750,000 class 4A1 'AAA'; Outlook Stable;
--$17,500,000 class 4A1A 'AAA'; Outlook Stable;
--$16,250,000 class 4A1C 'AAA'; Outlook Stable.
This transaction contains certain classes designated as Initial Exchangeable certificates and others as Subsequent Exchangeable certificates. Class 4A1 is an Initial Exchangeable certificate and classes 4A1A and 4A1C are Subsequent Exchangeables.
This transaction consists of six groups. Fitch rated Group 4. Each group is a resecuritization of ownership interest in certain mortgage-backed certificates. As resecuritizations, the certificates will receive their cash-flows from the underlying classes of certificates. The underlying certificates are backed by conventional Prime first-lien mortgage loans.
The underlying collateral and cash flow structure were analyzed according to Fitch's 'Global Structured Finance Rating Criteria', dated Sept. 30, 2009, 'U.S. Residential Mortgage Re-REMIC', dated Aug. 20, 2009 and 'ResiLogic: U.S. Residential Mortgage Loss Model', dated Aug. 11, 2009.
ResiLogic, the regression-based loss model used by Fitch, takes into account multiple risk factors, which can be broadly placed into three categories in the following order of influence: seasoned loan risks, economic risks, and collateral risks. In the category of seasoned loan risks, the delinquency status and delinquency volatility are the most important factors in regards to the Frequency of Foreclosure (FOF) calculation, and change in the home price index and the loan age are the most important factors in regards to the Loss Severity (LS) calculation. Economic risk is comprised of state and metropolitan statistical area (MSA) level risk multipliers as well as a national risk multiplier. In the category of collateral risk, the credit score, credit sector, and combined loan-to-value (CLTV) ratio are the most heavily-weighted risk factors in calculating the FOF. Closing balance, loan-to-value (LTV) ratio and loan coupon are the most heavily-weighted risk factors in calculating LS.
The group-to-bond association for the Fitch-rated group is as follows:
Group 4: 11.68% interest in the RFMSI 2006-S5 class A-6, a 18.33% interest in the RFMSI 2007-S4 class A-1 and a 32.25% interest in the RFMSI 2007-S5 class A-4. Credit enhancement for the 4A1, 4A1A and 4A1C certificates is provided by the structural support on the underlying transaction and by the 25% class 4A2 bond. The loan level information used in analyzing pools is taken from the Loan Performance database. In general, fields in the data tape were complete. However, the back-end debt-to-income (DTI) ratio field was missing for this group. For prime loans missing DTI information, Fitch uses an assumption of 35% DTI.
Additional information is available at 'www.fitchratings.com'.
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Fitch Ratings, New York
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Alla Sirotic, +1-212-908-0732
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