NEW YORK--(BUSINESS WIRE)-- Fitch rates Citigroup Mortgage Loan Trust 2009-11 as follows:

--$10,640,000 class 2A1 'AAA'; Outlook Stable;

--$9,310,000 class 2A1A 'AAA'; Outlook Stable;

--$1,330,000 class 2A1B 'AAA'; Outlook Stable;

--$19,851,000 class 3A1 'AAA'; Outlook Stable;

--$18,438,000 class 3A1A 'AAA'; Outlook Stable;

--$1,413,000 class 3A1B 'AAA'; Outlook Stable;

--$11,610,000 class 4A1 'AAA'; Outlook Stable;

--$10,866,000 class 4A1A 'AAA'; Outlook Stable;

--$744,000 class 4A1B 'AAA'; Outlook Stable;

--$10,419,000 class 4A1C 'AAA'; Outlook Stable;

--$1,191,000 class 4A1D 'AAA'; Outlook Stable.

This transaction contains certain classes designated as Initial Exchangeable certificates and others as Subsequent Exchangeable certificates. Classes 2A1, 3A1, and 4A1 are Initial Exchangeable certificates and classes 2A1A, 2A1B, 3A1A, 3A1B, 4A1A, 4A1B, 4A1C, and 4A1D Subsequent Exchangeable certificates.

This transaction consists of nine groups. Fitch rated Groups 2, 3 and 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 cashflow 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 MSA level risk multipliers as well as a national risk multiplier. In the category of collateral risk, the credit score, credit sector, and CLTV are the most heavily-weighted risk factors in calculating the FOF. Closing balance, LTV and loan coupon are the most heavily-weighted risk factors in calculating Loss Severity.

The group-to-bond association for the Fitch-rated group is as follows:

Group 2: 10.28% interest in the GSR Mortgage Loan Trust 2005-9F, Class 2A-2. Credit enhancement for the 2A1, 2A1A and 2A1B certificates is provided by the structural support on the underlying transaction and by the 20% class 2A2 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 DTI ratio field was missing for this group. For loans missing DTI information, Fitch uses an industry-standard assumption.

Group 3: 100% interest in the First Horizon Mortgage Pass-Through Trust 2007-2, Class I-A-6. Credit enhancement for the 3A1, 3A1A and 3A1B certificates is provided by the structural support on the underlying transaction and by the 29.75% class 3A2 bond. The loan level information used in analyzing pools is taken from the Loan Performance database. Due to concerns over recent pool performance and volatility, loss levels were adjusted higher than the ResiLogic model results. In general, fields in the data tape were complete. However, the back-end DTI ratio field was missing for this group. For loans missing DTI information, Fitch uses an industry-standard assumption.

Group 4: 15.21% interest in the GMACM Mortgage Loan Trust 2006-J1, Class A-6. Credit enhancement for the 4A1, 4A1A, 4A1B, 4A1C and 4A1D certificates is provided by the structural support on the underlying transaction and by the 22% class 4A2 bond. The loan level information used in analyzing pools is taken from the Loan Performance database. Due to concerns over recent pool performance and volatility, loss levels were adjusted higher than the ResiLogic model results. In general, fields in the data tape were complete. However, the back-end DTI ratio field was missing for this group. For loans missing DTI information, Fitch uses an industry-standard assumption.

Additional information is available at 'www.fitchratings.com'.

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