DBRS Assigns Provisional Ratings to Citigroup Mortgage Loan Trust 2014-A

DBRS, Inc. (DBRS) has today assigned the following provisional ratings to the Mortgage Backed-Notes, Series 2014-A (the Notes) issued by Citigroup Mortgage Loan Trust 2014-A (the Trust).

-- Class A at AA (sf)
-- Class A-IO at AA (sf)
-- Class B-1 at A (sf)
-- Class B-2 at BBB (sf)
-- Class B-3 at BB (sf)
-- Class B-4 at B (sf)

Class A-IO is interest only. The Class A-IO balances represent notional amounts.

The AA (sf) ratings on the Notes reflect 8.30% of credit enhancement provided by subordinated Notes. The A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 5.75%, 4.05%, 2.90% and 1.20% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. The transaction employs a senior-subordinate shifting-interest cash flow structure.

The Notes are backed by approximately 1,164 loans with a total principal balance of $378,846,222 as of the cut-off date. The loans were acquired by Citigroup Global Markets Realty Corp. from terminated Citigroup Mortgage Securities Inc. transactions issued in 2003 and 2004. The loans are on an average 119 months seasoned, and all current as of the cut-off date. The loans have generally clean payment histories. All loans were 0 x 30 in the past 12 months, and 95.2% of the pool were 0 x 30 in the past 36 months.

The loans will be serviced by CitiMortgage, Inc. and Citibank, N.A will act as the Trust Administrator and Custodian.

The ratings reflect transactional strengths that include high-quality underlying assets that have generally performed well through the crisis. Additionally, comprehensive third-party due diligence review was performed on 100% of the portfolio with respect to regulatory compliance, property valuations, data integrity, payment history and title search.

The representations and warranties provided in this transaction generally conform to the core list of representations and warranties DBRS would expect to receive for a RMBS transactions with seasoned collateral with the exception of the fraud representation. DBRS believes the weakness of not having the fraud representation is mitigated by significant loan seasoning and corresponding clean performance history. The loans in this transaction have all made a minimum of 36 consecutive monthly payments and have been current in the past 12 months. Some of the representations and warranties provided also have knowledge qualifiers. For such representation and warranties, even if the Seller did not have actual knowledge of the breach, the Seller is still required to remedy the breach in the same manner as if no knowledge qualifier had been made.

The enforcement mechanism for breaches of representations includes automatic breach reviews by a third-party reviewer for any seriously delinquent loans, any loans that incur loss upon liquidation and any actual notices provided to the Trust Administrator. Resolution of disputes are ultimately subject to determination in an arbitration proceeding.

The full description of the strengths, challenges and mitigating factors are detailed in the related presale report.

Note:
All figures are in U.S. dollars unless otherwise noted.

The applicable methodologies are RMBS Insight: U.S. Residential Mortgage-Backed Securities Loss Model and Rating Methodology, Unified Interest Rate Model for U.S. RMBS Transactions, Third-Party Due Diligence Criteria for U.S. RMBS Transactions, Representations and Warranties Criteria for U.S. RMBS Transactions and Legal Criteria for U.S. Structured Finance Transactions, which can be found on our website under Methodologies.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link or by contacting us at info@dbrs.com.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.