DBRS Assigns Provisional Ratings to Citigroup Mortgage Loan Trust 2015-A

DBRS, Inc. (DBRS) has today assigned the following provisional ratings to the Mortgage Backed-Notes, Series 2015-A (the Notes) issued by Citigroup Mortgage Loan Trust 2015-A (the Trust).

-- $209.4 million Class A-1 at A (sf)
-- $209.4 million Class A-1-IO at A (sf)
-- $209.4 million Class A at A (sf)
-- $209.4 million Class A-2 at A (sf)
-- $209.4 million Class A-2-IO at A (sf)
-- $209.4 million Class A-3 at A (sf)
-- $209.4 million Class A-3-IO at A (sf)
-- $209.4 million Class A-4 at A (sf)
-- $209.4 million Class A-4-IO at A (sf)

Class A-1-IO, Class A-2-IO, Class A-3-IO and Class A-4-IO are interest-only notes. The class balances represent notional amounts.

Class A, Class A-2, Class A-2-IO, Class A-3, Class A-3-IO, Class A-4 and Class A-4-IO are exchangeable notes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents.

The A (sf) ratings on the Notes reflect 29.55% of credit enhancement provided by subordinated Notes. Other than the specified classes above, DBRS does not rate any other classes in this transaction.

This is a securitization of a portfolio of seasoned re-performing residential mortgages. The transaction employs a senior-subordinate shifting-interest cash flow structure.

The Notes are backed by approximately 944 loans with a total principal balance of $297,173,967 as of the Cut-off Date. Citigroup Global Markets Realty Corp. (the Seller) acquired the loans, which were originated and previously serviced by various entities. Upon the Seller’s acquisition, servicing has generally been transferred to Fay Servicing, LLC (Fay). Fay remains the servicer for 100% of this pool. The loans are on an average 94 months seasoned, and all current as of the Cut-off Date, including four bankruptcy performing loans. All loans were 0 x 30 in the past 36 months. About 49.0% of the pool was modified, substantially all the modifications happened more than two years ago.

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 the portfolio with respect to regulatory compliance, data integrity, payment history, servicing comments, property valuations and title and lien review.

The representations and warranties provided in this transaction generally conform to the representations and warranties DBRS would expect to receive for a RMBS transactions with seasoned collateral with the exception of a limited fraud representation. The fraud representation covers only fraud taken place by the Seller during the time in which the Seller owned the mortgage loans. DBRS believes the weakness of the limited 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 or any loans that incur loss upon liquidation. 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.

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

The applicable methodologies are RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities 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, 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.

These ratings are endorsed by DBRS Ratings Limited for use in the European Union.