DBRS Rates Citigroup Mortgage Loan Trust 2015-PS1

DBRS, Inc. (DBRS) has today assigned the following ratings on the Mortgage Backed-Notes, Series 2015-PS1 (the Notes) issued by Citigroup Mortgage Loan Trust 2015-PS1:

-- $203.4 million Class A-1 at AA (sf)
-- $203.4 million Class A-1-IO at AA (sf)
-- $203.4 million Class A at AA (sf)

In addition, DBRS has today discontinued the following provisional ratings on the Notes:
-- $168.6 million Class I-A at AA (sf)
-- $203.9 million Class II-A-1 at AA (sf)
-- $203.9 million Class II-A-1-IO at AA (sf)
-- $203.9 million Class II-A at AA (sf)

Class A-1-IO are interest-only notes. The balance represents a notional amount.

Class A are exchangeable notes. This class can be exchanged for the related combination of initial exchangeable notes as specified in the offering documents.

The AA (sf) rating reflects 14.05% of credit enhancement provided by the subordinated Notes. Other than the classes specified above, DBRS does not rate any other classes in this transaction.

This transaction is a securitization of a seasoned portfolio of predominantly performing residential mortgages. The Notes are backed by 1,104 fixed-rate first-lien mortgage loans with a total principal balance of $236,667,663 as of the Cut-off Date (September 30, 2015). The transaction employs a senior-subordinate shifting-interest cash flow structure.

The loans are approximately 86 months seasoned and 100.0% current as of the Cut-off Date. Approximately 96.4% of the mortgage loans were zero times 30 days delinquent (0 x 30) in the past 36 months. One-hundred percent of the loans were 0 x 30 in the past 24 months. None of the loans are in bankruptcy nor have ever been modified.

There will not be any advancing of delinquent principal or interest on any mortgages by any servicer; however, the servicers are obligated to make advances in respect of taxes and insurance, reasonable costs and expenses incurred in the course of servicing and disposing of properties.

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 Rating U.S. Structured Finance 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.

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