American Mortgage News

NEW YORK--(BUSINESS WIRE)--Fitch Ratings has taken rating actions on the following Citigroup Mortgage Loan Trust (CMLT) issues:

Series 2005-5

--Class A affirmed at 'AAA';

--Class III-B1 affirmed at 'AA';

--Class III-B2 affirmed at 'A';

--Class III-B3 affirmed at 'BBB';

--Class III-B4 affirmed at 'BB';

--Class III-B5, rated 'B', placed on Rating Watch Negative.

Series 2006-AR5

--Class A affirmed at 'AAA';

--Class 1-B1 affirmed at 'AA';

--Class 1-B2 affirmed at 'A';

--Class 1-B3 affirmed at 'BBB';

--Class 1-B4 affirmed at 'BB';

--Class 1-B5 affirmed at 'B';

--Class 2-B1 affirmed at 'AA';

--Class 2-B2 affirmed at 'A';

--Class 2-B3 affirmed at 'BBB';

--Class 2-B4 affirmed at 'BB';

--Class 2-B5, rated 'B', placed on Rating Watch Negative.

Series 2006-WF1

--Class A affirmed at 'AAA';

--Class M-1 affirmed at 'AA';

--Class M-2 affirmed at 'A';

--Class M-3 affirmed at 'BBB';

--Class M-4 affirmed at 'BBB-';

--Class M-5, rated 'BB+', placed on Rating Watch Negative.

Series 2006-WF2

--Class A affirmed at 'AAA';

--Class M-1 affirmed at 'AA';

--Class M-2 affirmed at 'A';

--Class M-3 affirmed at 'BBB';

--Class M-4 affirmed at 'BBB-';

--Class M-5, rated 'BB+', placed on Rating Watch Negative.

The mortgage loans consist of fixed- and adjustable- rate loans extended to Alt-A borrowers and are secured by first liens primarily on one- to four-family residential properties. As of the February 2007 distribution date, the transactions are seasoned 8 months (2006-AR5) to 18 months (2005-5) and the pool factors (current mortgage loan principal outstanding as a percentage of the initial pool) range from approximately 77.8% (2005-5) to 88.3% (2006-AR5). The loans in the 2005-5 and 2006-AR5 transaction are all master serviced by CitiMortgage (rated 'RMS1' by Fitch). The loans in the 2006-WF1 and 2006-WF2 transaction are serviced by Wells Fargo (rated 'RPS1' by Fitch).

The affirmations reflect a stable relationship between credit enhancement (CE) and future loss expectations and affect approximately $3.298 billion of outstanding certificates. To date the trusts have suffered minimal losses.

The Rating Watch Negative actions reflect deterioration in the relationship between CE and loss expectations and affect $13.76 million in outstanding certificates. Fitch is currently seeking out more detailed performance-related data in order to better determine to what degree the transactions may be negatively affected.

Loan Pool 3 from the 2005-5 transaction is currently experiencing 2.88% of serious delinquencies (defined as loans 60 days or more delinquent, including bankruptcy, foreclosure and real estate owned) while the most subordinate bond (III-B5) is protected by only 43 bps of subordination.

Loan Pool 2 from the 2006-AR5 transaction is currently experiencing 4.09% of serious delinquencies, while having only 52 bps of subordination as protection for the most subordinate bond (2-B5).

The 2006-WF1 transaction is currently experiencing 5.08% of serious delinquencies, while the most subordinate bond (M-5) has only 99 bps of overcollateralization (OC) as protection.

The 2006-WF2 transaction is currently experiencing 4.5% of serious delinquencies, while the most subordinate bond (M-5) has only 94 bps of OC as protection.

Fitch will continue to closely monitor this transaction, if the CE becomes further threatened or begins to deteriorate, further actions may be necessary. Further information regarding current delinquency, loss, and credit enhancement statistics is available on the Fitch Ratings web site at www.fitchratings.com.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, 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.