Morningstar DBRS Finalizes Provisional Credit Ratings on Citigroup Mortgage Loan Trust 2024-CMI1

DBRS, Inc. (Morningstar DBRS) assigned the following provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2024-CMI1 (the Certificates) issued by the Citigroup Mortgage Loan Trust 2024-CMI1 (CMLTI 2024-CMI1):

-- $231.8 million Class A-1 at AAA (sf)
-- $231.8 million Class A-2 at AAA (sf)
-- $231.8 million Class A-3 at AAA (sf)
-- $139.1 million Class A-4 at AAA (sf)
-- $139.1 million Class A-5 at AAA (sf)
-- $139.1 million Class A-6 at AAA (sf)
-- $92.7 million Class A-7 at AAA (sf)
-- $92.7 million Class A-8 at AAA (sf)
-- $92.7 million Class A-9 at AAA (sf)
-- $173.9 million Class A-10 at AAA (sf)
-- $173.9 million Class A-11 at AAA (sf)
-- $173.9 million Class A-12 at AAA (sf)
-- $58.0 million Class A-13 at AAA (sf)
-- $58.0 million Class A-14 at AAA (sf)
-- $58.0 million Class A-15 at AAA (sf)
-- $34.8 million Class A-16 at AAA (sf)
-- $34.8 million Class A-17 at AAA (sf)
-- $34.8 million Class A-18 at AAA (sf)
-- $20.0 million Class A-19 at AAA (sf)
-- $20.0 million Class A-20 at AAA (sf)
-- $20.0 million Class A-21 at AAA (sf)
-- $251.9 million Class A-X at AAA (sf)
-- $251.9 million Class A-X-1 at AAA (sf)
-- $251.9 million Class A-I-1 at AAA (sf)
-- $251.9 million Class A-I-2 at AAA (sf)
-- $251.9 million Class A-I-3 at AAA (sf)
-- $231.8 million Class A-I-4 at AAA (sf)
-- $231.8 million Class A-I-5 at AAA (sf)
-- $231.8 million Class A-I-6 at AAA (sf)
-- $139.1 million Class A-I-7 at AAA (sf)
-- $139.1 million Class A-I-8 at AAA (sf)
-- $139.1 million Class A-I-9 at AAA (sf)
-- $92.7 million Class A-I-10 at AAA (sf)
-- $173.9 million Class A-I-11 at AAA (sf)
-- $58.0 million Class A-I-12 at AAA (sf)
-- $58.0 million Class A-I-13 at AAA (sf)
-- $58.0 million Class A-I-14 at AAA (sf)
-- $34.8 million Class A-I-15 at AAA (sf)
-- $34.8 million Class A-I-16 at AAA (sf)
-- $34.8 million Class A-I-17 at AAA (sf)
-- $20.0 million Class A-I-18 at AAA (sf)
-- $20.0 million Class A-I-19 at AAA (sf)
-- $20.0 million Class A-I-20 at AAA (sf)
-- $12.5 million Class B-1 at AA (low) (sf)
-- $12.5 million Class B-1-A at AA (low) (sf)
-- $12.5 million Class B-1-IO at AA (low) (sf)
-- $16.0 million Class B-1-2IO at A (low) (sf)
-- $18.4 million Class B-1-3IO at BBB (low) (sf)
-- $3.4 million Class B-2 at A (low) (sf)
-- $3.4 million Class B-2-A at A (low) (sf)
-- $3.4 million Class B-2-IO at A (low) (sf)
-- $2.5 million Class B-3 at BBB (low) (sf)
-- $2.5 million Class B-3-A at BBB (low) (sf)
-- $2.5 million Class B-3-IO at BBB (low) (sf)
-- $945.0 thousand Class B-4 at BB (low) (sf)
-- $682.0 thousand Class B-5 at B (low) (sf)

Classes A-X, A-X-1, A-I-1, A-I-2, A-I-3, A-I-4, A-I-5, A-I-6, A-I-7, A-I-8, A-I-9, A-I-10, A-I-11, A-I-12, A-I-13, A-I-14, A-I-15, A-I-16, A-I-17, A-I-18, A-I-19, A-I-20, B-1-IO, B-1-2IO, B-1-3IO, B-2-IO, and B-3-IO are interest-only (IO) certificates. The class balances represent notional amounts.

Classes A-1, A-2, A-3, A-4, A-5, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-16, A-17, A-19, A-20, A-X, A-I-1, A-I-2, A-I-3, A-I-4, A-I-5, A-I-6, A-I-8, A-I-10, A-I-11, A-I-13, A-I-16, A-I-19, B-1, B-1-2IO, B-1-3IO, B-2, and B-3 are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents.

Classes A-6, A-15, and A-18 are super-senior certificates. These classes benefit from additional protection from the senior support certificate (Class A-23) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect 7.65% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings reflect 3.05%, 1.80%, 0.90%, 0.55%, and 0.30% of credit enhancement, respectively.

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

The transaction is a securitization of a portfolio of first-lien, fixed-rate, prime residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2024-CMI1 (the Certificates). The Certificates are backed by 281 loans with a total principal balance of $272,763,078 as of the Cut-Off Date (October 1, 2024).

This transaction is sponsored by Citigroup Global Markets Realty Corp. (CGMRC). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of seven months. The pool is composed of nonagency, prime jumbo mortgage loans that were manually underwritten using the originator's guidelines.

CitiMortgage, Inc. (CMI) is the Servicer and CMI's affiliate is the Originator of all of the mortgage loans. Cenlar FSB (Cenlar) will act as subservicer. For this transaction, the servicing fee rate is 0.500%.

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 Trust Company, National Association (U.S. Bank; rated AA with a Stable trend by Morningstar DBRS) will act as the Trust Administrator. U.S. Bank Trust National Association will serve as Trustee, and U.S. Bank National Association will serve as Custodian.

CMI as Servicer will be responsible for advancing delinquent monthly scheduled payments of interest and principal (Scheduled Payments), to the extent such payments are recoverable by the Servicer. The 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.

The credit ratings reflect transactional strengths that include the following:
-- Strong Representations and Warranties (R&W) Framework.
-- High-quality credit attributes.
-- Well-qualified borrowers.
-- Structural enhancements.
-- Satisfactory third-party due-diligence review.
-- 100% current loans.

The full description of the strengths and challenges, along with other transaction details, are discussed in the related report.

Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Distribution Amounts, the related Interest Shortfalls, and the related Class Principal Amounts (for non-IO Certificates).

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 and 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 factor(s) 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 Factors in Credit Ratings (August 13, 2024) https://dbrs.morningstar.com/research/437781.

Notes:
All figures are in US 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 (September 30, 2024) https://dbrs.morningstar.com/research/440090.

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.

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

DBRS, Inc.
140 Broadway, 43rd Floor
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.

-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024),
https://dbrs.morningstar.com/research/428623
-- Third-Party Due-Diligence and Representations & Warranties Criteria for U.S. RMBS Transactions (September 30, 2024)
https://dbrs.morningstar.com/research/440091
-- Legal Criteria for U.S. Structured Finance (April 15, 2024),
https://dbrs.morningstar.com/research/431205
-- Operational Risk Assessment for U.S. RMBS Originators and Servicers (September 30, 2024)
https://dbrs.morningstar.com/research/440086

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