DBRS Finalizes Provisional Ratings on Citigroup Mortgage Loan Trust 2015-RP2

DBRS, Inc. (DBRS) has today finalized the following provisional ratings on the Mortgage Backed-Notes, Series 2015-RP2 (the Notes) issued by Citigroup Mortgage Loan Trust 2015-RP2:

-- $159.6 million Class A-1 at A (sf)
-- $159.6 million Class A-1-IO at A (sf)
-- $159.6 million Class A at A (sf)
-- $159.6 million Class A-2 at A (sf)
-- $159.6 million Class A-2-IO at A (sf)

In addition, DBRS has today assigned new ratings to the following Mortgage-Backed Notes, Series 2015-RP2 issued by the Trust:

-- $145.2 million Class A-2A at A (sf)
-- $14.4 million Class A-2B at A (sf)

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

Class A, Class A-2, Class A-2-IO, Class A-2A and Class A-2B 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 26.35% 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 816 loans with a total accruing principal balance of $216,650,841 and a total deferred principal balance of $3,131,537 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 average, 96 months seasoned and all are current as of the Cut-off Date, including nine bankruptcy performing loans. All loans were 0x30 in the past 24 months. About 50.0% of the pool was modified, with substantially all the modifications happening 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 that DBRS would expect to receive for a RMBS transaction with seasoned collateral with the exception of a limited fraud representation. The fraud representation covers only fraud by the Seller during the time in which the Seller owned the mortgage loans. DBRS believes that 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 been current in the past 24 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 rating 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.