citigroup mortgage loan trust 1-2-13

Presale:

Citigroup Mortgage Loan Trust2013-J1

Primary Credit Analyst:

Jack E Kahan, New York (1) 212-438-8012; [email protected]

Secondary Contact:

Nick Gurevich, CFA, New York (1) 212-438-2357; [email protected]

Surveillance Credit Analyst:

Michael J Graffeo, New York (1) 212-438-2680; [email protected]

U.S. RMBS New Issuance:

Sharif Mahdavian, Lead Analytical Manager, New York (1) 212-438-2412;

[email protected]

Table Of Contents

$206.593 Million Mortgage Pass-Through Certificates Series 2013-J1

Rationale

Collateral Summary

Strengths And Weaknesses

Structural Features

Geographic Concentration

Large Loans And Tail Risk Considerations

Mortgage Aggregator Review

Mortgage Originator Review

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT NOVEMBER 1, 2013 1

1210873 | 300129047

Table Of Contents (cont.)

Third-Party Due-Diligence Review

Representations And Warranties

Cash Flow And Scenario Analysis

Standard & Poor's 17g-7 Disclosure Report

Related Criteria And Research


1210873 | 300129047

Presale:

Citigroup Mortgage Loan Trust 2013-J1

$206.593 Million Mortgage Pass-Through Certificates Series 2013-J1

This presale report is based on information as of Nov. 1, 2013. The ratings shown are preliminary. This report does not constitute a

recommendation to buy, hold, or sell securities. Subsequent information may result in the assignment of final ratings that differ from the

preliminary ratings.

Preliminary Ratings As Of Nov. 1, 2013

Class Preliminary rating(i) Preliminary amount (mil. $) Interest rate (%)(ii) Class type

A-1 AAA (sf) 189.482 3.50 Super Senior

A-2 AAA (sf) 6.824 3.50 Senior Support

A-IO AAA (sf) Notional(iii) (iv) IO

B-1 AA (sf) 2.204 Net WAC Subordinate

B-2 A (sf) 2.100 Net WAC Subordinate

B-3 BBB (sf) 0.735 Net WAC Subordinate

B-4 BB (sf) 5.248 Net WAC Subordinate

B-5 NR 3.360 3.60 Subordinate

(i)The ratings are preliminary and subject to change at any time. (ii)The certificates are subject to a net WAC cap. (iii)The notional amount for

class A-IO will equal the aggregate class A-1 and A-2 outstanding balances. (iv)Equal to the excess, if any, of the net WAC that's higher than

3.50%. IO--Interest-only. NR--Not rated. WAC--Weighted average coupon.

Profile

Expected closing date Nov. 6, 2013.

Cut-off date Oct. 1, 2013.

First payment date Nov. 25, 2013.

Stated maturity date Oct. 25, 2043.

Expected certificate amount $209.953 million, in aggregate.

Collateral type First-lien, fixed-rate residential mortgage loans secured by one- to four-family residential properties,

condominiums, and planned unit developments.

Collateral Residential mortgage loans.

Credit enhancement For each class of rated certificates, subordination of the certificates that are lower in the payment priority.

Participants

Issuer Citigroup Mortgage Loan Trust 2013-J1.

Sponsor Citigroup Global Markets Realty Corp.

Seller Citigroup Global Markets Realty Corp.

Trust administrator Deutsche Bank National Trust Co.

Servicers Nationstar Mortgage LLC (92.6%) and Fifth Third Mortgage Co. (7.4%).

Depositor Citigroup Mortgage Loan Trust Inc.

Trustee Christiana Trust, a division of Wilmington Savings Fund Society FSB.


1210873 | 300129047

Participants (cont.)

Custodian Deutsche Bank National Trust Co.

Originators Nationstar Mortgage LLC (43.7%), Stearns Lending Inc. (28.5%), Freedom Mortgage Corp. (12.3%), Fifth Third Mortgage

Co. (7.4%), Real Estate Mortgage Network (5.4%), and RMR Financing LLC (2.6%).

Originators

Originator % by balance % due diligence Originator ranking Servicer

Nationstar Mortgage LLC 43.7 100 N.A. Nationstar

Stearns Lending Inc. 28.5 100 N.A. Nationstar

Freedom Mortgage Corp. 12.3 100 N.A. Nationstar

Fifth Third Mortgage Co. 7.4 100 N.A. Fifth Third

Real Estate Mortgage Network 5.4 100 N.A. Nationstar

RMR Financing LLC 2.6 100 N.A. Nationstar

Top five originators 97.4

Top 10 originators 100

N.A.--Not available.

Servicers

Servicer

% by

balance

Standard & Poor's select

servicer Operation

Standard & Poor's Servicer

Ranking Originator

Nationstar Mortgage

LLC

92.6 Yes Primary servicer ABOVE AVERAGE All other loans

Fifth Third Mortgage

Co.

7.4 No Primary servicer Not Ranked Fifth Third Mortgage

Co.

Rationale

The preliminary ratings assigned to Citigroup Mortgage Loan Trust 2013-J1's (CMLTI 2013-J1's) mortgage

pass-through certificates reflect our view of:

• The high-quality collateral included in the pool, as described in the Collateral Summary section;

• The pool's geographic diversity compared to similar transactions; and

• The credit enhancement provided, as well as the associated structural deal mechanics.

Collateral Summary

Compared to our archetypical prime pool, the borrowers in this pool have substantially higher credit scores, more

home equity, and lower debt-to-income ratios, with a resulting 4.17% raw 'AAA' loss coverage requirement (see table

1). The collateral characteristics are substantially similar to previous rated residential mortgage-backed securities

(RMBS) prime jumbo transactions, with high FICO scores and low loan-to-value (LTV) ratios.


1210873 | 300129047

Presale: Citigroup Mortgage Loan Trust 2013-J1

Table 1

Collateral Characteristics

CMLTI

2013-J1

CSMC

2013-7

CSMC

2013-IVR4

SEMT

2013-11

SEMT

2013-9

S&P's archetypical

prime pool(i)

Closing pool balance (mil. $) 210.0 399.8 407.1 346.3 463.6

Closing loan count 274 536 530 453 606

Avg. loan balance ($000s) 766.3 745.8 768.2 764.5 765.0

WA original LTV (%) 67.6 70.8 69.6 69.6 67.6 75.0

WA original CLTV (%) 67.6 71.4 70.1 70.1 68.3 75.0

WA current CLTV (%) 67.0 71.2 70.1 70.0 67.1 75.0

WA FICO 774 766 769 777 771 725

WA current rate (%) 3.9 3.9 3.8 4.0 3.9

WA seasoning (mos.) 0.2 1.8 2.6 0.2 0.2 0-6

WA debt-to-income (%) 28.0 31.6 30.9 31.8 30.8 36.0

Median months reserves 50 45 53 51 52

Owner occupied (%) 98.4 97.8 95.9 96.1 94.8 100.0

Single family (including planned

unit development) (%)

99.8 94.2 95.2 93.8 94.2 100.0

30-year amortization term (%) 93.2 100.0 100.0 99.8 100.0 100.0

Fixed rate (%) 100.0 99.7 96.7 100.0 100.0 100.0

Fixed-rate IO (%) 0.0 0.3 3.3 0.0 0.0

ARM (%) 0.0 0.0 0.0 0.0 0.0

ARM IO (%) 0.0 0.0 0.0 0.0 0.0

Purchase loan (%) 29.9 38.5 38.5 55.5 45.5 100.0

Cash-out refinancing (%) 7.3 3.2 3.3 7.9 6.8

Full doc with IRS form 4506-T (%) 99.3 99.3 97.3 98.7 99.6 100.0

Full doc without IRS form 4506-T

(%)

0.0 0.4 2.0 1.3 0.0

Deposit money verification (%) 100.0 100.0 100.0 100.0 100.0 100.0

Current (%) 100.0 100.0 100.0 100.0 100.0 100.0

30 days delinquent (%) 0.0 0.0 0.0 0.0 0.0 0.0

'AAA' loss coverage (%) 4.25 6.00 5.50 5.00 4.50 7.5

'AAA' foreclosure frequency (%) 11.64 14.39 13.78 12.31 11.84 15.0

'AAA' loss severity (%) 36.51 41.69 39.91 40.62 37.99 50.0

'BBB' loss coverage (%) 1.20 1.2 1.10 1.00 0.90 1.5

'BBB' foreclosure frequency (%) 3.75 3.82 3.44 3.28 3.90 3.8

'BBB' loss severity (%) 31.99 31.42 31.99 30.50 23.07 40.0

Geo. concentration factor (x) 1.04 1.04 1.03 1.02 1.01 1.00

(i)As defined in the Sept. 10, 2009, criteria article. CMLTI--Citigroup Mortgage Loan Trust. CSMC--CSMC Trust. WA--Weighted average.

LTV--Loan to value. CLTV--Combined loan to value. IO--Interest only. ARM--Adjustable-rate mortgage.

Strengths And Weaknesses

We believe the following collateral characteristics strengthen the series 2013-J1 transaction:


1210873 | 300129047


• The mortgage pool contains borrowers with very high average FICO scores and a median multiple of liquid cash

reserves to current mortgage payments of 50x.

• This collateral pool has characteristics that are, from a credit perspective, substantially better than our archetypical

pool, as reflected in the above collateral summary.

• The third-party due diligence providers are on our list of reviewed providers. The reviews were performed on 100%

of the pool's loans and encompassed regulatory compliance, credit (underwriting) compliance, property valuations,

and pay history reviews. The results are consistent with high-quality underwriting.

We believe the following structural features strengthen the series 2013-J1 transaction:

• Although the transaction's structure is a shifting interest structure, the potential principal payment to the

subordinate classes does not result in the allocation of losses to any of the Standard & Poor's-rated 'AAA' tranches

under its cash flow stresses with at least 6.50% credit enhancement provided.

• The senior classes benefit from a credit support floor, whereby the principal allocation to the subordinate classes is

reduced to zero on any distribution date where the subordinate certificates' aggregate balance is less than 2.0% of

the original collateral balance.

• Almost all of the loans are serviced by Nationstar Mortgage LLC, a residential loan, master, and special servicer that

we rank as ABOVE AVERAGE in each capacity. Fifth Third Mortgage Co. has retained servicing on the loans it

originated and is not a ranked servicer by Standard & Poor's. Fifth Third Mortgage Co. is a subsidiary of Fifth Third

Bank, which Standard & Poor's rates 'BBB+'.

We believe the following factors weaken the series 2013-J1 transaction:

• Some of the originators providing representations and warranties (R&Ws) are unrated entities whose ability to

repurchase loans may be limited. However, for the non-investment-grade rated originators, Citigroup Global

Markets Realty Corp. (CGMRC), the seller, will be obligated to repurchase if those originators are unable (not

unwilling) to do so.

Structural Features

The transaction has a typical RMBS senior/subordinate shifting-interest structure, with a five-year lockout period.

Monthly distributions are made from the monthly available distribution amount. The available distribution amount

includes all funds the servicer collects from the borrowers (excluding servicing fees but including insurance and

liquidation proceeds, subsequent recoveries, and repurchase amounts) minus the servicer advance reimbursements

allowed under the pooling and servicing agreements and extraordinary expense payments, which are subject to a

$200,000 annual cap (see "Interest stresses" in the Cash Flow And Scenario Analysis section below for details on the

application of expenses and the effect on the net weighted average coupon [WAC]).

Realized losses are applied reverse sequentially until each class' principal balance has been reduced to zero, first to the

class B-5, then B-4, then B-3, then B-2, then B-1, then A-2, and then A-1 certificates.


Approximately 50% of the assets are located in California, and Texas has the next-largest state concentration at 7.1%.


1210873 | 300129047


This pool's geographic footprint is sufficiently diverse, largely owing to the individual originators' origination area. In

the more geographically concentrated transactions issued at the beginning of 2013, certain issuers had top-10

metropolitan statistical areas (MSAs) accounting for nearly 70% of their pools while this transaction has approximately

63% in the top 10 MSAs (see table 2). We assess this risk as outlined in "Updated Criteria For Evaluating Geographic

Concentration In U.S. RMBS Mortgage Pools," published Nov. 16, 2012. Because of this concentration, we applied a

1.04x geographic Herfindahl factor, a measure of concentration based on the sum of the squared MSA concentrations

in relation to a benchmark concentration, to our base loss coverage estimate, compared to approximately 10%

increased loss expectation for more-concentrated earlier 2013 transactions.

Table 2


MSA code(i) MSA name State % by balance

41940 San Jose-Sunnyvale-Santa Clara California 12.7

41884 San Francisco-San Mateo-Redwood City California 9.2

36084 Oakland-Fremont-Hayward California 7.6

31084 Los Angeles-Long Beach-Glendale California 7.1

47894 Washington-Arlington-Alexandria Washington D.C./Virginia 6.2

42044 Santa Ana-Anaheim-Irvine California 5.9

41740 San Diego-Carlsbad-San Marcos Illinois 4.9

19740 Denver-Aurora-Broomfield Massachusents 4.0

19124 Dallas-Plano-Irving California 3.2

16974 Chicago-Joliet-Naperville Massachusents 3.0

Top 10 63.7

(i)MSA refers to the MSA division, if available. MSA--Metropolitan statistical area.

Large Loans And Tail Risk Considerations

Since the middle of 2013, Standard & Poor's has observed moderately increased interest rates on residential mortgage

loans. The increases in interest rates has driven substantially lower origination volume--specifically at the expense of

refinance volume because rates have bounced off historic lows. Loans originated with these "higher" rates, including

some loans in this transaction, will naturally experience lower prepayment rates. When the number of loans in a

transaction decreases, the effect of a single loan's losses becomes greater. If prepayment rates then continue to slow

and collateral pool losses are not realized until later in a transaction's life (backloaded losses), pro rata pay

mechanisms can leave the senior certificates exposed to event risk later in the transaction's life (for more information

on "tail risk" in RMBS transactions, see "Older RMBS Transactions Face Increased Tail Risk As Their Pools Shrink,"

published Aug. 9, 2012). To account for this risk, the transaction documents specify that no principal payments will be

made to subordinate certificates if the credit support available to the senior certificates becomes 2.0% or less of the

original principal pool balance.

To gauge the appropriateness of this credit enhancement floor, we take an approach similar to the one outlined in

"Methodology And Assumptions: U.S. RMBS Surveillance Credit And Cash Flow Analysis For Pre-2009 Originations,"

published Aug. 9, 2012. Instead of focusing on the largest loans by balance at issuance, we risk weight the loans in the


1210873 | 300129047


transaction by focusing on those loans with the largest expected loss exposure assuming default. Since the risk of

substantial hard credit support erosion to the senior certificates can take years given the lockout period, we estimate

the risk of these loans once the lockout has expired and the transaction begins paying all principal pro rata.

After considering loan amortization and various home price scenarios, we believe that a 2.0% credit support floor will

be sufficient to protect the senior notes from tail risk as the transaction seasons. This transaction's original loan count

is 274, lower than most recent vintage prime jumbo transactions that typically have approximately 400. We generally

expect that transactions with fewer loans at issuance, but with the same concentration of loan loss exposure, would

have greater credit enhancement floors, as a percentage of the original balance, than pools with higher loan counts.

Mortgage Aggregator Review

The following is a brief synopsis of a mortgage aggregator review (MAR) we conducted for CGMRC, the seller, in

accordance with "Mortgage Originator Review Criteria For U.S. RMBS," published April 17, 2013.

Our review of CGMRC's acquisition strategy consisted of reviewing materials provided to Standard & Poor's at an

onsite visit at their offices.

The MAR contained qualitative reviews under the following categories:

• Acquisition management

• Pre-purchase/acquisition data quality

• Post-purchase quality control (QC)

• Risk management

• Appraisal management

• Compliance

• Underwriting

• Quantitative review

CGMRC, the seller and sponsor for this transaction, is a loan aggregator/conduit that began purchasing loans in 2011.

The conduit purchases a majority of the loans on a flow basis from a list of approved sellers for either securitization or

whole-loan sale.

Acquisition management

CGMRC maintains an approved seller list that currently includes 14 mortgage loan originators. CGMRC's seller

guidelines require that each of the approved sellers maintains a net worth of at least $20 million. CGMRC's policies are

such that conduit loans must be sold servicing released; the loans are not serviced by Citimortgage, and instead

CGMRC sells the mortgage servicing rights (MSRs) to Nationstar Mortgage LLC, its servicing partner. Within a 90-day

period from the purchase date, the servicing rights are transferred to Nationstar Mortgage LLC, who acts as the

primary servicer. Standard & Poor's ranks Nationstar Mortgage LLC ABOVE AVERAGE as a residential loan servicer,

residential special servicer, and a residential master loan servicer (see "Servicer Evaluation: Nationstar Mortgage LLC,"

published Oct. 7, 2013). All loans purchased by the conduit are processed through a proprietary online workflow tool

used by its sellers and created by LenderLive Network Inc. (LenderLive). The workflow tool ensures each loan's


1210873 | 300129047


compliance with CGMRC's seller guide. In 2013, conduit volume from Nationstar Mortgage LLC, Stearns Lending Inc.,

and Freedom Mortgage Corp. represented the majority of loans purchased. The conduit uses a seller questionnaire and

performs onsite reviews of each of its seller as a condition for inclusion on the seller list.

Pre-purchase/acquisition data quality

Beginning in 2011, as discussed above, CGMRC has engaged the third-party review firm, LenderLive, to review loans

CGMRC expects to purchase on a flow acquisition basis. LenderLive stores the loan data from the sellers and provides

for the conduit's sellers published rates/pricing, which are set daily by the trading desk. Using LenderLive allows the

sellers to post loan documents and also conduct due diligence reviews on a loan-by-loan basis. CGMRC has also

engaged other third-party diligence firms for mini-bulk purchases. All loans are put into LenderLive's loan lock system

to perform QC checks before CGMRC's purchase.

Once the originator agrees to the pricing with CGMRC and which warehouse line the originator will use, the originator

provides CGMRC the mortgage loan schedule (MLS) electronically (there is an electronic sign off process that will

happen to release the loan's information and rights). Afterwards, LenderLive then has three days to review the loan

and 24 hours to clear any exceptions that arise from the QC review. Generally, loans can be closed and funded within

a week.

Post-purchase QC

CGMRC's focus is on purchases through its flow lending program, but it will occasionally complete a handful of "mini"

bulk purchases. Diligence for bulk trades is typically engaged through JCIII & Associates Inc. or Opus CMC.

Post-purchase, all loans are re-underwritten to ensure compliance with CGMRC's seller guidelines and any

discrepancies or exceptions are noted.

The third-party diligence firm will perform its post-purchase QC checks on the loans using rating agency criteria, and

assign grades based on the results. All reviewers receive one day of corporate training and two days of document

review training, as well as ongoing training. In addition, all analysts are full time. Initially, 100% of an analyst's

reviewed loans are re-reviewed to preserve the quality and process.

CGMRC also utilizes a loan management system to track inventory and PRISM, a proprietary system to manage

transactions.

Risk management/acquisition management

CGMRC's main risk management focus, as a conduit, is to ensure a proper acquisition management process. For most

sellers, CGMRC's risk management group does an onsite review prior to approval. The team also conducts annual

renewal reviews of each seller in the conduit. There are limited exceptions to this; for example, if a seller has a

warehouse line with Citigroup, the review was performed and maintained in order for the entity to have the open

warehouse line of business with Citi, so that information is passed through to the conduit group. The reviews are

intended for the risk management group to build a relationship with its sellers. The potential seller fills out a

questionnaire that covers most of the same areas as Standard & Poor's mortgage originator review (MOR)

questionnaire. CGMRC also reviews the seller's audited financials, underwriting guidelines, policies, and tenure and

background of management. Mortgage loan purchase agreements (MLPAs) require a monthly compliance certificate.


1210873 | 300129047


At the time of our review, CGMRC was in the process of developing a seller scorecard through LenderLive to monitor

the performance of each seller. The scorecard includes such things as the number of exceptions and conditions that

arise and the time it takes to fund the seller's loans.

CGMRC's risk management team also reviews each of the seller's guidelines and has veto power over their guidelines

and products used. Over the course of the conduits operation, one seller has been vetoed by risk management and has

been removed from the list of approved sellers.

CGMRC maintains a seller's guide containing all of the conduit guidelines, and any changes to the guide must be

approved by risk management.

Overall, CGMRC relies on a combination of re-underwriting each loan and the parent company's other relationships

with the sellers to manage risk. As volume grows, CGMRC expects that there will be more reliance on risk

management reviews. CGMRC continues to formalize its risk management and seller approval process.

CGMRC also uses an internal audit group, which uses the conduits risk management guidelines to perform reviews of

whether the conduit is operating within its pre-approved parameters and processes. For example, the audit checks

whether proper approvals were obtained prior to any changed to the seller guidelines.

Appraisals

According to CGMRC's guidelines, loan balances up to one million will require one full appraisal as well as an

"enhanced" desk review that must fall within 10% of the full appraisal in order to be supported. For loan balances

greater than one million, two full appraisals are required (including form 1004MC—"Market Conditions Addendum to

the Appraisal Report") that must fall within 8% of each other for the valuation to be supported. Appraisals must occur

within 90 days of closing, and the lower value of two appraisals is used. In every case, all full appraisals are subject to

desk reviews.

CGMRC does not require sellers to use any specific appraiser-selection process, but sellers must employ an objective

selection process.

Compliance

Each seller is required by CGMRC's seller guide to run a fraud detection tool such as FraudGuard. LenderLive does not

re-run a fraud check but does check for documentation of the fraud check performed by the seller. If no fraud detection

tool was used, it will be noted as an exception and LenderLive will request the seller to order one.

CGMRC does not allow hard prepay penalties but does allow soft prepay penalties where allowed in specific

jurisdictions. With respect to originations to foreign borrowers, CGMRC's guidelines require the borrower to have a

social security number, residence in the U.S. for at least two years, a U.S. asset base and employment, and at least

three active credit lines. Revocable trusts are allowed if borrower has the rights to execute legal documents.

Underwriting

Unlike many other conduits, CGMRC does not purchase loans that do meet its credit underwriting guidelines; CGMRC

does not use mitigating factors approve loans outside its credit guidelines. CGMRC has processes available for

approving loans outside of its credit underwriting guidelines, which includes approval by both CGMRC's trading team


1210873 | 300129047


and risk management teams; however, no exceptions are currently being made.

CGMRC defines a fully documented loan as one with two years of tax returns and W-2s, two months of pay stubs, and

income verification using income tax transcripts. CGMRC uses standard FICO score selection (middle of three, lower

of two), but only considers the qualifying borrower's FICO. Non-borrower spouses are allowed, but in a

community-property state, spouses' debt must be considered and added into the debt-to-income calculation. No

non-occupant borrowers are allowed.

In qualifying a loan to LTV guidelines, CGMRC performs a "soft-market" adjustment. CGMRC designates certain zip

codes, in grades A through D, as soft markets where LTV guidelines are reduced to account for property appraisal

variations: (A) receives no adjustment; (B) may receive a 5% adjustment; (C) receives a 5% reduction; and (D) gets a

10% reduction. These grades are updated quarterly.

Quantitative review

The CGMRC conduit historical performance under the current seller guide is extremely limited, and very little

quantitative information was available. During 2012 and 2013 when the conduit had purchases approximately 780

loans, CGMRC indicated that there were very limited delinquencies. Of those purchased loans, eight were identified as

having early payment defaults (EPDs); however, each were due to interim servicing transfer issues.

Mortgage Originator Review

Nationstar Mortgage LLC has originated more than 43% of the loans in this transaction. Nationstar is a national

mortgage lender headquartered in Lewisville, Texas, and was originally founded in 1997 as Centex Home Equity. In

2007, Nationstar, previously a lender to borrowers with subprime credit history, halted subprime mortgage lending

completely. In 2009, it began originating prime loans through multiple channels, becoming the 18th largest mortgage

originator in early 2013, according to Inside Mortgage Finance.

A majority of Nationstar's originations are agency-conforming prime mortgages, similar to many mortgage loan

originators'. Prime jumbo loan origination accounts for approximately 2% of its production volume. During an onsite

review of Nationstar, Standard & Poor's found the company's senior management, quality assurance, and quality

control and compliance teams to be knowledgeable and highly experienced. The underwriting process for jumbo was

thorough and exhibited strong collateral characteristics. These strengths have led to low delinquency experience, both

in Nationstar's prime jumbo and conforming portfolios, with jumbo performance consistent with peers'. We contrast

these strengths with, what in our view is, a potentially aggressive growth strategy mainly comprising third-party

originations. We noted that its retail channel and correspondent channel use separate loan origination systems, which

may create divergent performance in future originations.

In addition to any reviews performed on originators, we take into account results from our review of the conduit as

well as the level of third-party due diligence performed. In reviewing these items together, we did not adjust our

expected losses.


1210873 | 300129047


Third-Party Due-Diligence Review

Third-party due diligence firms reviewed 100% of the loans in the transaction, including regulatory compliance, credit

compliance, and valuation reviews. According to our published third-party due-diligence criteria, we may adjust our

loss expectations based on our judgment of the various firms' findings (see "Incorporating Third-Party Due Diligence

Results Into The U.S. RMBS Rating Process," published March 14, 2012). After reviewing the third-party due-diligence

results, we believe a 1.0x adjustment to the loss coverage is appropriate after finding no material exceptions.

Representations And Warranties

The loans in the pool have been originated by six different originators, each of whom makes R&Ws with respect to the

loans they originated. The originators make R&Ws to CGMRC as of the date CGMRC purchases the loans from the

originator; however, CGMRC assigns those R&Ws for the benefit of the trust. Each originator, with respect to the loans

it originates, brings forward the R&Ws as of the expected closing date of this transaction. In our opinion, the

representations are consistent with Standard & Poor's R&W criteria. We believe that the additional features of the

R&Ws framework--including the ratings of some providers, the financial backstop of the seller, the seller's

securitization history, and the review features--will not have a material positive or negative impact on the loss

expectations (see table 3).

Table 3

R&W Framework Features Considered In Assessing The Neutral Credit Impact To CMLTI 2013-1

Negative credit

impact Neutral credit impact Positive credit impact

The R&Ws are subject to a traditional material and adverse

standard.

Automatic review for loans with 120 day DQ or

liquidation at a loss.

Most of the representing parties have agreed to binding arbitration. 50% of the loans in the pool are made by rated

providers (7% of the loans are from an

investment grade provider).

The seller, CGMRC, provides a backstop for inability to repurchase

on behalf of the conduit originators. CGMRC is unrated, but CMLTI

has a history in securitization.

The seller's financial backstop is sunset for fraud and underwriting

R&Ws.

R&Ws--Representations and warranties. CGMRC--Citigroup Global Markets Realty Corp. CMLTI--Citigroup Mortgage Loan Trust.

DQ--Delinquency.

We believe that no additional loss expectation is necessary after not only by weighing the various R&W features but

also by considering the level and results of the due-diligence reviews, the collateral's overall credit quality, and the

aggregator and originators' underwriting standards, as described in "How Standard & Poor's Evaluates Representation

And Warranty Variations In U.S. RMBS Transactions," published May 15, 2013.

In addition to the R&Ws provided by the mortgage originators, CGMRC has agreed to remedy provisions on behalf of

all originators except for Fifth Third Mortgage Co. (the parent of which, Fifth Third Bank, is rated 'BBB+') in the event

that any of the originators are financially unable to remedy a R&W breach.


1210873 | 300129047


For any loan that becomes 120 or more days delinquent, or is liquidated at a loss, or for which the trust administrator

has been provided notice of a breach with specific allegations, a review of the loan may be triggered. Prior to the

undertaking of any review, automatically, the originator of the loan has the opportunity to remedy the breach during

an initial remedy period.

If the initial period lapses without remedy by the originator, the trust administrator will engage a reviewer to undertake

a review of the loans for a breach of any representation and warranty. The reviewer must not be an affiliate of the trust

administrator, trustee, servicer, originator, or controlling holder and must not have been the pre-offering diligence

provider. The reviewer must be in the business of performing post-close reviews or arbitration of R&Ws.

Once a reviewer is determined, they will make a determination of whether a breach has occurred by reviewing each of

the related originator's R&Ws for a particular loan. No information or evidence created after the expected closing date

of the transaction is permissible in the process of determining a breach. After a loan has been reviewed and a breach

determination has been rendered by a reviewer, it cannot be reviewed a second time. A breach determination is made

by the reviewer using a material and adverse standard with respect to the value of the loan. After the determination is

made, the responsible parties have the option to arbitrate the reviewer's decision.

If the final breach determination is that the originator must provide a remedy for a loan, but the originator is financially

unable to do so, CGMRC is responsible for the remedy. CGMRC is only responsible for this remedy for loan originated

by any originator except Fifth Third. CGMRC's obligation to remedy will "sunset", or lapse, for the fraud and

underwriting R&Ws at any time when the borrower's prior 36 monthly payments have been made on time.

Cash Flow And Scenario Analysis

In determining the preliminary ratings' stability, we analyzed a variety of scenarios, including combinations of:

• Timing curves simulating fast and slow prepayment assumptions, as well as frontloaded and backloaded default

scenarios with varying recovery assumptions;

• Weighted-average coupon deterioration;

• Extraordinary trust expense, which assumes an annual expense is incurred for the length of the default curve; and

• Servicer stop advance stresses, which assume that a percentage of loans become delinquent and the servicer stops

advancing on a portion of those loans.

Interest stresses

In cases where fees, expenses, or indemnifications are senior in a transaction's payment priority and capped, which is

the case for extraordinary expenses in this transaction, we analyze scenarios where the available distribution amount

decreases by assuming that the full annual extraordinary trust expenses were realized for the entirety of our default

curve. Standard & Poor's outlines its approach to such scenarios in "Criteria Methodology Applied To Fees, Expenses,

And Indemnifications," published July 12, 2012. All post-2009 transactions that we have rated have available

distribution amount definitions similar to the one in this transaction, and as such we similarly have applied such

scenarios in our reviews of those transactions.

All of the certificates in this transaction have coupons subject to the net WAC rate, as is the case in the majority of


1210873 | 300129047


post-2009 transactions that we have rated. If the net WAC decreases, the interest due to the certificates will decrease

by a like amount. We have generally seen two forms of net WAC rate definitions in transactions that we have rated

since 2009. In the majority of recent transactions, extraordinary expense payments reduce the net WAC rate, which

effectively allocates the extraordinary expenses pro rata across all certificateholders (i.e., senior and subordinate

certificateholders) by reducing their interest payments by the amount of the extraordinary expenses paid (subject to

the annual cap). However, as is the case in this transaction, the net WAC rate is defined simply as the current net

mortgage rate of the outstanding loans in the previous period (less servicing fees, trustee fees, etc.) after taking into

account any servicing modifications. In these cases, extraordinary expense payments will reduce the available

distribution amount and cash flow to the certificateholders, thereby potentially limiting the cash available to pay

interest or principal to the subordinate tranches. To account for this, we ran scenarios for this transaction that reduce

the available distribution amount for extraordinary expenses to the capped annual amount of $200,000 without

reducing the amount of interest due to the certificateholders, thereby increasing the credit enhancement required at

each rating category.

Historically, we have observed that extraordinary expenses have been minimal when they occur and have had

extremely limited occurrence in pre-2009 RMBS transactions. While we run scenario analyses to test rating sensitivity

to these expenses as part of our criteria, we continue to expect their actual occurrence in post-2009 transactions to be

rare and have a minimal effect.

When extraordinary expenses for a transaction are zero, trust losses with a definition of net WAC rate including

extraordinary expenses compared with another transaction where the definition excludes extraordinary expenses will

be identical.

In all cases, we test transaction cash flows to ensure that the credit enhancement is sufficient at all rating levels to

maintain credit stability, as discussed in "Methodology: Credit Stability Criteria," published May 3, 2010. Our ongoing

surveillance of existing RMBS transactions has shown that potential variability in terms of credit stability is more

evident for thin subordinate tranches compared to more senior classes; that is, groups of subordinate classes that have

relatively small original principal balances with lower rated credit support that can be quickly eroded. Scenario

analysis for extraordinary expenses in the case where the net WAC rate is not reduced by extraordinary expenses

indicates that additional credit enhancement is needed to support the subordinate tranches. The higher credit support

needed to absorb the extraordinary expense risk results in higher credit stability for the subordinate tranches.

Standard & Poor's 17g-7 Disclosure Report

SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security

as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms

available to investors and a description of how they differ from the representations, warranties and enforcement

mechanisms in issuances of similar securities.

The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at

http://standardandpoorsdisclosure-17g7.com/1944.pdf.


1210873 | 300129047


Related Criteria And Research

Related Criteria

• Counterparty Risk Framework Methodology And Assumptions, June 25, 2013

• Updated Criteria For Evaluating Geographic Concentration In U.S. RMBS Mortgage Pools, Nov. 16, 2012

• Methodology And Assumptions: U.S. RMBS Surveillance Credit and Cash Flow Analysis For Pre-2009 Originations,

Aug. 9, 2012

• Criteria Methodology Applied To Fees, Expenses, And Indemnifications, July 12, 2012

• Revised U.S. Residential Mortgage Input File Format, Glossary, And Appendices To The Glossary For LEVELS

Version 7.4, July 6, 2012

• Revised Assumptions For Rating U.S. RMBS Prime, Alternative-A, And Subprime Loans Incorporated Into LEVELS

Version 7.4, July 6, 2012

• Mortgage Originator Review Criteria For U.S. RMBS, April 17, 2012

• Standard & Poor’s Revised Representations And Warranties Criteria For U.S. RMBS Transactions, March 14, 2012

• Incorporating Third-Party Due Diligence Results Into The U.S. RMBS Rating Process, March 14, 2012

• Standard & Poor's Criteria For Analyzing Loans Governed By Anti-Predatory Lending Laws, July 22, 2011

• Methodology: Credit Stability Criteria, May 3, 2010

• Anti-Predatory Lending Law Criteria For Rating U.S. RMBS That Include Higher-Priced Mortgage Loans, Oct. 21,

2009

• Methodology And Assumptions For Rating U.S. RMBS Prime, Alternative-A, And Subprime Loans, Sept. 10, 2009

• Methodology For Loan Modifications That Include Forbearance Plans For U.S. RMBS, July 23, 2009

• Standard & Poor's Revises Criteria Methodology For Servicer Risk Assessment, May 28, 2009

• Revised Criteria For Including RMBS, CMBS, And ABS Servicers On Standard & Poor's Select Servicer List, April

16, 2009

• Standard & Poor's Revises Methodology And Assumptions For Automated Valuation Models In U.S. RMBS, Feb. 6,

2009

• Application Of Revised Cash Flow Assumptions For U.S. Residential Mortgage-Backed Securities, April 30, 2008

• Revised Guidelines For U.S. RMBS Loan Modification And Capitalization Reimbursement Amounts, Oct. 11, 2007

• Legal Criteria For U.S. Structured Finance Transactions: Special-Purpose Entities, Oct. 1, 2006

Related Research

• Servicer Evaluation: Nationstar Mortgage LLC, Oct. 7,2013

• Credit FAQ: How Standard & Poor’s Reviews Extraordinary Expenses In Post-2009 RMBS Transactions, July 15,

2013

• Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors,

Nov. 4, 2011

• Standard & Poor’s Requests Access To U.S. Loan-Level Performance Data For Surveillance; Issuers To Confirm

Data Accuracy, Sept. 28, 2009


1210873 | 300129047


S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P

reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites,

www.standardandpoors.com (free of charge), and www.ratingsdirect.com and www.globalcreditportal.com (subscription) and www.spcapitaliq.com

(subscription) and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information

about our ratings fees is available at www.standardandpoors.com/usratingsfees.

S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective

activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established

policies and procedures to maintain the confidentiality of certain nonpublic information received in connection with each analytical process.

To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain

regulatory purposes, S&P reserves the right to assign, withdraw, or suspend such acknowledgement at any time and in its sole discretion. S&P

Parties disclaim any duty whatsoever arising out of the assignment, withdrawal, or suspension of an acknowledgment as well as any liability for any

damage alleged to have been suffered on account thereof.

Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and

not statements of fact. S&P's opinions, analyses, and rating acknowledgment decisions (described below) are not recommendations to purchase,

hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to

update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment

and experience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P does

not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be

reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives.

No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or any part

thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval

system, without the prior written permission of Standard & Poor's Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be

used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees or

agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are not

responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for

the security or maintenance of any data input by the user. The Content is provided on an "as is" basis. S&P PARTIES DISCLAIM ANY AND ALL

EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR

A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT'S FUNCTIONING

WILL BE UNINTERRUPTED, OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no

event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential

damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by

negligence) in connection with any use of the Content even if advised of the possibility of such damages.

Copyright © 2013 by Standard & Poor's Financial Services LLC. All rights reserved.


1210873 | 300129047

citigroup mortgage loan trust 1-2-13

Documents