Morningstar DBRS Assigns Provisional Credit Ratings to Citigroup Mortgage Loan Trust 2024-RP1

DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following Mortgage-Backed Notes, Series 2024-RP1 (the Notes) to be issued by Citigroup Mortgage Loan Trust 2024-RP1 (the Trust):

-- $385.7 million Class A-1 at AAA (sf)
-- $27.5 million Class A-2 at AA (sf)
-- $413.2 million Class A-3 at AA (sf)
-- $435.8 million Class A-4 at A (sf)
-- $449.7 million Class A-5 at BBB (sf)
-- $22.6 million Class M-1 at A (sf)
-- $13.9 million Class M-2 at BBB (sf)
-- $10.7 million Class B-1 at BB (sf)
-- $7.8 million Class B-2 at B (sf)

Classes A-3, A-4, and A-5 are exchangeable notes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents.

The AAA (sf) credit rating on the Class A-1 certificates reflects 20.70% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) credit ratings reflect 15.05%, 10.40%, 7.55%, 5.35%, and 3.75% of credit enhancement, respectively.

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

This transaction is a securitization of a portfolio of seasoned performing and reperforming first-lien residential mortgages funded by the issuance of the Notes.

The Notes are backed by 2,651 loans with a total principal balance of $486,434,166 as of the Cut-Off Date (February 29, 2024).

The mortgage loans are approximately 151 months seasoned. As of the Cut-Off Date, 97.4% of the loans are current (including 0.4% bankruptcy-performing loans) and 2.6% of the loans are 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method. Under the MBA delinquency method, 43.0% and 96.4% of the mortgage loans have been zero times 30 days delinquent for the past 24 months or since origination and 12 months, respectively.

The portfolio contains 96.3% modified loans. The modifications happened more than two years ago for 41.9% of the loans that Morningstar DBRS classified as modified. Within the pool, 716 mortgages have an aggregate non-interest-bearing deferred amount of $30,753,431, which comprises 6.3% of the total principal balance.

The Seller, Citigroup Global Markets Realty Corp. (CGMRC), acquired the mortgage loans through bulk whole loan acquisitions. The Seller will then contribute the loans to the Trust through an affiliate, Citigroup Mortgage Loan Trust Inc. (the Depositor). As the Sponsor, CGMRC or one of its majority-owned affiliates will acquire and retain a 5% eligible vertical interest in each class of Notes (other than the Class R Notes) to satisfy the credit risk retention requirements. The loans were originated and previously serviced by various entities.

As of the Cut-Off Date, all of the loans are being serviced by an Interim Servicer. All servicing will be transferred to Select Portfolio Servicing. There will not be any advancing of delinquent principal and interest (P&I) on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect of homeowners' association fees in super lien states and, in certain cases, taxes and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties.

When the aggregate pool balance is reduced to less than 25% of the balance as of the Cut-Off Date, the directing noteholder may purchase all of the mortgage loans and real estate owned properties from the Issuer, as long as the aggregate proceeds meet a minimum price that meets or exceeds par plus interest.

The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M-1 and more subordinate P&I bonds will not be paid from principal proceeds until the more senior classes are retired.

The transaction assumptions consider Morningstar DBRS’ baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, “Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2023 Update,” published December 19, 2023. These baseline macroeconomic scenarios replace Morningstar DBRS’ moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.

The ratings reflect transactional strengths that include the following:
-- Loan-to-value ratios;
-- Satisfactory third-party due-diligence review;
-- Representations and warranties provider;
-- Seasoning; and
-- Structural features.

The transaction also includes the following challenges:
-- Representations and warranties standard;
-- No servicer advances of delinquent P&I;
-- Assignments and endorsements; and

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

Morningstar DBRS’ credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are listed at the end of this press release. The associated financial obligations for each of the rated classes of Notes are the related Current Interest, any Interest Shortfall Amount, and the related Class Note Amounts.

Morningstar DBRS’ long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (January 23, 2024) at https://dbrs.morningstar.com/research/427030.

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

The principal methodology applicable to the credit ratings is RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (August 31, 2023) https://dbrs.morningstar.com/research/420108.

Other methodologies referenced in this transaction are listed at the end of this press release.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit rating assigned or may be discontinued. The assignment of the final credit ratings on the above-mentioned securities are subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalize the credit ratings.

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

DBRS, Inc.
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New York, NY 10005 USA
Tel. +1 212 806-3277

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Assessing U.S. RMBS Pools Under the Ability-to-Repay Rules (April 28, 2023),
https://dbrs.morningstar.com/research/413297

-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024),
https://dbrs.morningstar.com/research/428623

-- Third-Party Due-Diligence Criteria for U.S. RMBS Transactions (September 8, 2023),
https://dbrs.morningstar.com/research/420333

-- Representations and Warranties Criteria for U.S. RMBS Transactions (May 16, 2023),
https://dbrs.morningstar.com/research/414076

-- Legal Criteria for U.S. Structured Finance (December 7, 2023),
https://dbrs.morningstar.com/research/425081

-- Operational Risk Assessment for U.S. RMBS Originators (August 31, 2023),
https://dbrs.morningstar.com/research/420106

-- Operational Risk Assessment for U.S. RMBS Servicers (August 31, 2023),
https://dbrs.morningstar.com/research/420107

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/417279.

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.