Fitch Affirms the Ratings on Three U.S. RMBS Re-REMICs

Tools

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed the ratings on three U.S. residential mortgage backed securities (RMBS) resecuritization trusts (Re-REMICs) as a part of Fitch's continued surveillance. The affected trusts represent a beneficial ownership interest in separate trust funds.

The Re-REMIC transactions were originally rated in 2010 and have additional support provided by the Re-REMIC structures. The underlying assets are non-agency mortgage backed securities backed by prime mortgage collateral from the 2005 and 2007 vintages.

The affirmations reflect stability in the relationship between bond credit enhancement and expected loss on the underlying collateral. All non-IO classes reviewed have more than 27% credit enhancement. A list of the rating actions is below:

Citigroup Mortgage Loan Trust 2010-10
--Class 4A1 (cusip: 17317NAL5) affirmed at 'Asf', Outlook Stable;
--Class 4A1IO (cusip: 17317NAM3) affirmed at 'Asf', Outlook Stable;
--Class 4A4 (cusip: 17317NAQ4) affirmed at 'Asf', Outlook Positive;
--Class 4A5 (cusip: 17317NAR2) affirmed at 'Asf', Outlook Stable;
--Class 4A6 (cusip: 17317NAS0) affirmed at 'Asf', Outlook Positive;
--Class 4A7 (cusip: 17317NAT8) affirmed at 'Asf', Outlook Stable.

Credit Suisse First Boston Mortgage Securities Corp. 2010-18R Class 3A1 (cusip: 22944JCS8) affirmed at 'Asf', Outlook Stable;
Class 3AX (cusip: 22944JCY5) affirmed at 'Asf', Outlook Stable.

RBSSP Resecuritization Trust 2010-9
Class 7A1 (cusip: 74927TAK7) affirmed at 'Asf', Outlook Stable;
Class 7A1X (cusip: 74927TAL5) affirmed at 'Asf', Outlook Stable;
Class 7A3 (cusip: 74927TAN1) affirmed at 'Asf', Outlook Stable;
Class 7A4 (cusip: 74927TAP6) affirmed at 'Asf', Outlook Stable;
Class 7A5 (cusip: 74927TAT8) affirmed at 'Asf', Outlook Stable;
Class 7A5X (cusip: 74927TAU5) affirmed at 'Asf', Outlook Stable.

These actions were reviewed by a committee of Fitch analysts.

Additional information is available at www.fitchratings.com.

Applicable Criteria and Related Research:
--'U.S. Prime RMBS Loan Loss Model Criteria' (Aug. 15, 2011);
--'U.S. RMBS Surveillance Criteria' (July 8, 2011);
--'U.S. Residential Mortgage Re-REMIC Criteria' (March 15, 2011);
--'Criteria for Interest Rate Stresses in Structured Finance Transactions' (Feb. 17, 2010).

Applicable Criteria and Related Research:
U.S. Prime RMBS Loan Loss Model Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=648737
U.S. RMBS Surveillance Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=640869
U.S. Residential Mortgage Re-REMIC Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=648588
Criteria for Interest Rate Stresses in Structured Finance Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=605426

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE WWW.FITCHRATINGS.COM. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE.

CONTACT:

Fitch Ratings
Performance Analyst for Citigroup and RBSSP:
Natasha Hanson, +1-212-908-0272
Director
Fitch, Inc.
One State Street Plaza
New York, NY 10004
or
Performance Analyst for Credit Suisse:
Sean Nelson, +1-212-908-0207
Associate Director
or
Committee Chairperson:
Grant Bailey, +1-212-908-0544
or
Media Relations:
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com