DBRS Assigns Ratings to Citigroup Mortgage Loan Trust 2015-11

DBRS, Inc. (DBRS) has today assigned the following ratings to the Resecuritization Trust Securities, Series 2015-11 issued by Citigroup Mortgage Loan Trust 2015-11 (the Trust):

-- $ 46.3 million Class 1A1 at BBB (sf)
-- $ 16.2 million Class 2A1 at A (sf)

There are two groups in this resecuritization trust, each consisting of one seasoned senior residential mortgage-backed security (RMBS). The ratings on the offered securities reflect the credit enhancement provided by subordination and the quality of the underlying asset.

Other than the specified class above, DBRS does not rate any other securities in this transaction.

Interest and principal payments on the securities will be made on the underlying distribution date (generally the 25th day of each month, but if such day is not a business day, the next succeeding business day) commencing in December 2015. Interest payments will be distributed on a pro rata basis to the securities. Principal will be distributed on a sequential basis to the securities until the class principal balances thereof are reduced to zero.

Within Group 1, realized losses from the underlying securities will be allocated in a reverse sequential order until the class principal balances have been reduced to zero. Within Group 2, the underlying security does not provide for a reduction of the principal balance of such security if there are any losses on the underlying mortgage loans; however, an implied realized loss amount is calculated and this will be allocated to the offered securities in reverse sequential order.

The groups are a resecuritization of one seasoned senior RMBS, represented by a real estate mortgage investment conduit (REMIC). The REMIC is backed by a pool of seasoned Alt-A or subprime residential mortgage loans.

The ratings assigned to the offered securities address (1) the likelihood of the receipt by securityholders of all principal distributions to which such securityholders are entitled and (2) the likelihood of the receipt by securityholders of the amount of interest actually received by the Trust to the extent payable to each class in accordance with the priorities described in the operative documents (as such interest received by the Trust may have been reduced as a result of any interest shortfalls allocated to the related underlying securities, and as such interest entitlement may be further reduced by the allocation of extraordinary Trust expenses). For more details on the rating, please refer to the offering and transaction legal documents.

DBRS ReREMIC Methodology Excerpt
Since a ReREMIC is a pass-through of interest, principal and losses from the underlying certificates, its interest entitlement is usually capped at the actual interest amount collected on the underlying securities. In other words, a ReREMIC trust cannot pay out more interest than it receives from its collateral, and sometimes, what is collected on the underlying securities can be as low as zero.

When rating ReREMICs, DBRS is assessing the ability of the trust making the full principal payment by the legal final maturity date of the transaction. These transactions typically define interest rate as the lesser of the bond coupon and the available interest funds. Hence, the DBRS rating does not provide an opinion on the timeliness or amount of interest payments the investor may receive. The trust’s only obligation is to pass through the interest proceeds net of fees from the underlying securities.

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

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

The applicable methodology is RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, which can be found on our website under Methodologies.