DBRS Morningstar Finalizes Provisional Ratings on Citigroup Mortgage Loan Trust 2022-J1

DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following Mortgage Pass-Through Certificates, Series 2022-J1 (the Certificates) issued by Citigroup Mortgage Loan Trust 2022-J1 (CMLTI 2022-J1):

-- $179.0 million Class A-1 at AAA (sf)
-- $179.0 million Class A-1-IO at AAA (sf)
-- $179.0 million Class A-1-IOX at AAA (sf)
-- $89.5 million Class A-1A at AAA (sf)
-- $179.0 million Class A-1-IOW at AAA (sf)
-- $179.0 million Class A-1W at AAA (sf)
-- $74.6 million Class A-2 at AAA (sf)
-- $74.6 million Class A-2-IO at AAA (sf)
-- $74.6 million Class A-2-IOX at AAA (sf)
-- $37.3 million Class A-2A at AAA (sf)
-- $74.6 million Class A-2-IOW at AAA (sf)
-- $74.6 million Class A-2W at AAA (sf)
-- $298.4 million Class A-3 at AAA (sf)
-- $298.4 million Class A-3-IO at AAA (sf)
-- $298.4 million Class A-3-IOX at AAA (sf)
-- $149.2 million Class A-3A at AAA (sf)
-- $298.4 million Class A-3-IOW at AAA (sf)
-- $298.4 million Class A-3W at AAA (sf)
-- $36.7 million Class A-4 at AAA (sf)
-- $36.7 million Class A-4-IO at AAA (sf)
-- $36.7 million Class A-4-IOX at AAA (sf)
-- $18.3 million Class A-4A at AAA (sf)
-- $36.7 million Class A-4-IOW at AAA (sf)
-- $36.7 million Class A-4W at AAA (sf)
-- $335.1 million Class A-5 at AAA (sf)
-- $335.1 million Class A-5-IO at AAA (sf)
-- $335.1 million Class A-5-IOX at AAA (sf)
-- $167.5 million Class A-5A at AAA (sf)
-- $335.1 million Class A-5-IOW at AAA (sf)
-- $335.1 million Class A-5W at AAA (sf)
-- $44.8 million Class A-6 at AAA (sf)
-- $44.8 million Class A-6-IO at AAA (sf)
-- $44.8 million Class A-6-IOX at AAA (sf)
-- $22.4 million Class A-6A at AAA (sf)
-- $44.8 million Class A-6-IOW at AAA (sf)
-- $44.8 million Class A-6W at AAA (sf)
-- $223.8 million Class A-7 at AAA (sf)
-- $223.8 million Class A-7-IO at AAA (sf)
-- $223.8 million Class A-7-IOX at AAA (sf)
-- $111.9 million Class A-7A at AAA (sf)
-- $223.8 million Class A-7-IOW at AAA (sf)
-- $223.8 million Class A-7W at AAA (sf)
-- $119.4 million Class A-8 at AAA (sf)
-- $119.4 million Class A-8-IO at AAA (sf)
-- $119.4 million Class A-8-IOX at AAA (sf)
-- $59.7 million Class A-8A at AAA (sf)
-- $119.4 million Class A-8-IOW at AAA (sf)
-- $119.4 million Class A-8W at AAA (sf)
-- $29.8 million Class A-11 at AAA (sf)
-- $29.8 million Class A-11-IO at AAA (sf)
-- $29.8 million Class A-12 at AAA (sf)
-- $7.7 million Class B-1 at AA (sf)
-- $7.7 million Class B-1-IO at AA (sf)
-- $7.7 million Class B-1-IOX at AA (sf)
-- $7.7 million Class B-1-IOW at AA (sf)
-- $7.7 million Class B-1W at AA (sf)
-- $4.0 million Class B-2 at A (low) (sf)
-- $4.0 million Class B-2-IO at A (low) (sf)
-- $4.0 million Class B-2-IOX at A (low) (sf)
-- $4.0 million Class B-2-IOW at A (low) (sf)
-- $4.0 million Class B-2W at A (low) (sf)
-- $1.6 million Class B-3 at BBB (sf)
-- $1.6 million Class B-3-IO at BBB (sf)
-- $1.6 million Class B-3-IOX at BBB (sf)
-- $1.6 million Class B-3-IOW at BBB (sf)
-- $1.6 million Class B-3W at BBB (sf)
-- $702,000 Class B-4 at BB (high) (sf)
-- $527,000 Class B-5 at B (high) (sf)

Classes A-1-IO, A-1-IOX, A-1-IOW, A-2-IO, A-2-IOX, A-2-IOW, A-3-IO, A-3-IOX, A-3-IOW, A-4-IO, A-4-IOX, A-4-IOW, A-5-IO, A-5-IOX, A-5-IOW, A-6-IO, A-6-IOX, A-6-IOW, A-7-IO, A-7-IOX, A-7-IOW, A-8-IO, A-8-IOX, A-8-IOW, A-11-IO, B-1-IO, B-1-IOX, B-1-IOW, B-2-IO, B-2-IOX, B-2-IOW, B-3-IO, B-3-IOX, and B-3-IOW are interest-only certificates. The class balances represent notional amounts.

Classes A-1A, A-1-IOW, A-1W, A-2A, A-2-IOW, A-2W, A-3, A-3-IO, A-3-IOX, A-3A, A-3-IOW, A-3W, A-4A, A-4-IOW, A-4W, A-5, A-5-IO, A-5-IOX, A-5A, A-5-IOW, A-5W, A-6A, A-6-IOW, A-6W, A-7, A-7-IO, A-7-IOX, A-7A, A-7-IOW, A-7W, A-8, A-8-IO, A-8-IOX, A-8A, A-8-IOW, A-8W, A-11, A-11-IO, A-12, B-1-IOW, B-1W, B-2-IOW, B-2W, B-3-IOW, and B-3W are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents.

Classes A-1, A-2, and A-6 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Class A-4) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect 4.55% of credit enhancement provided by subordinated certificates. The AA (sf), A (low) (sf), BBB (sf), BB (high) (sf), and B (high) (sf) ratings reflect 2.35%, 1.20%, 0.75%, 0.55%, and 0.40% of credit enhancement, respectively.

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

This securitization is a portfolio of first-lien, fixed-rate, prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 402 loans with a total principal balance of $351,050,735 as of the Cut-Off Date (January 1, 2022).

This transaction is CMLTI's first in 2022 from this shelf. The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average loan age of five months. The pool is composed of nonagency, prime jumbo mortgage loans, of which 59.7% were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac, but were ineligible for purchase by such agency due to loan size.

The remaining 40.3% of the mortgage loans were underwritten through verification of at least 24 months of the borrower’s income using Form W-2, pay stubs, bank statements and or tax returns plus a CPA certification of the tax returns, if the borrower is self-employed or were underwritten using W-2s from the prior calendar year or the prior year’s tax return (2 years tax return for self-employed borrowers), and at least one month of pay stubs for salaried borrower.

Fay Servicing, LLC (Fay) is the servicer of the mortgage loans. For this transaction, the servicing fee payable for the mortgage loans is composed of three separate components: the aggregate base servicing fee, the aggregate variable servicing fee and any variable servicing fee shortfall. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Citigroup Global Markets Realty Corp. (CGMRC) is the Mortgage Loan Seller and Sponsor of the transaction. Citigroup Mortgage Loan Trust Inc. will act as Depositor of the transaction. U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS Morningstar) will act as the Trust Administrator. U.S. Bank Trust National Association will serve as Trustee, and Computershare Trust Company, N.A. will serve as Custodian.

CGMRC will also act as the Advancing Party who will be responsible for advancing delinquent monthly scheduled payments of interest and principal, to the extent such payments are recoverable by the related Servicer. Fay, as Servicer, will be required to make all customary, reasonable and necessary servicing advances with respect to preservation, inspection, restoration, protection and repair of a mortgaged property.

The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure.

Coronavirus Impact
The Coronavirus Disease (COVID-19) pandemic and the resulting mitigation measures caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in the delinquencies for many residential mortgage-backed securities (RMBS) asset classes.

Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forebear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios, and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes in recent months, delinquencies have been gradually trending downward as forbearance periods come to an end for many borrowers.

As of the Cut-Off Date, no borrower within the pool has been subject to a coronavirus-related forbearance plan with the Servicer.

The ratings reflect transactional strengths that include a strong representations and warranties framework, high-quality credit attributes, well-qualified borrowers, structural enhancements, satisfactory third-party due-diligence review, and 100% current loans.

The ratings reflect transactional challenges that include entities lacking financial strength or securitization history and servicers’ financial capabilities.

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

For more information regarding the economic stress assumed under its baseline scenario, please see the DBRS Morningstar commentary “Baseline Macroeconomic Scenarios For Rated Sovereigns December 2021 Update,” dated December 9, 2021.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

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

The principal methodology is RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at [email protected].

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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