Morningstar DBRS Assigns Provisional Credit Ratings to Citigroup Mortgage Loan Trust 2025-2

DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2025-2 (the Certificates) to be issued by Citigroup Mortgage Loan Trust 2025-2 (CMLTI 2025-2) as follows:

-- $254.5 million Class A-1 at (P) AAA (sf)
-- $254.5 million Class A-2 at (P) AAA (sf)
-- $254.5 million Class A-3 at (P) AAA (sf)
-- $152.7 million Class A-4 at (P) AAA (sf)
-- $152.7 million Class A-5 at (P) AAA (sf)
-- $152.7 million Class A-6 at (P) AAA (sf)
-- $101.8 million Class A-7 at (P) AAA (sf)
-- $101.8 million Class A-8 at (P) AAA (sf)
-- $101.8 million Class A-9 at (P) AAA (sf)
-- $190.8 million Class A-10 at (P) AAA (sf)
-- $190.8 million Class A-11 at (P) AAA (sf)
-- $190.8 million Class A-12 at (P) AAA (sf)
-- $63.6 million Class A-13 at (P) AAA (sf)
-- $63.6 million Class A-14 at (P) AAA (sf)
-- $63.6 million Class A-15 at (P) AAA (sf)
-- $38.2 million Class A-16 at (P) AAA (sf)
-- $38.2 million Class A-17 at (P) AAA (sf)
-- $38.2 million Class A-18 at (P) AAA (sf)
-- $22.6 million Class A-19 at (P) AAA (sf)
-- $22.6 million Class A-20 at (P) AAA (sf)
-- $22.6 million Class A-21 at (P) AAA (sf)
-- $63.6 million Class A-25 at (P) AAA (sf)
-- $277.1 million Class A-X at (P) AAA (sf)
-- $277.1 million Class A-X-1 at (P) AAA (sf)
-- $277.1 million Class A-X-2 at (P) AAA (sf)
-- $277.1 million Class A-I-1 at (P) AAA (sf)
-- $277.1 million Class A-I-2 at (P) AAA (sf)
-- $277.1 million Class A-I-3 at (P) AAA (sf)
-- $254.5 million Class A-I-4 at (P) AAA (sf)
-- $254.5 million Class A-I-5 at (P) AAA (sf)
-- $254.5 million Class A-I-6 at (P) AAA (sf)
-- $152.7 million Class A-I-7 at (P) AAA (sf)
-- $152.7 million Class A-I-8 at (P) AAA (sf)
-- $152.7 million Class A-I-9 at (P) AAA (sf)
-- $101.8 million Class A-I-10 at (P) AAA (sf)
-- $101.8 million Class A-I-11 at (P) AAA (sf)
-- $101.8 million Class A-I-12 at (P) AAA (sf)
-- $190.8 million Class A-I-13 at (P) AAA (sf)
-- $190.8 million Class A-I-14 at (P) AAA (sf)
-- $190.8 million Class A-I-15 at (P) AAA (sf)
-- $63.6 million Class A-I-16 at (P) AAA (sf)
-- $63.6 million Class A-I-17 at (P) AAA (sf)
-- $63.6 million Class A-I-18 at (P) AAA (sf)
-- $38.2 million Class A-I-19 at (P) AAA (sf)
-- $38.2 million Class A-I-20 at (P) AAA (sf)
-- $38.2 million Class A-I-21 at (P) AAA (sf)
-- $22.6 million Class A-I-22 at (P) AAA (sf)
-- $22.6 million Class A-I-23 at (P) AAA (sf)
-- $22.6 million Class A-I-24 at (P) AAA (sf)
-- $63.6 million Class A-I-25 at (P) AAA (sf)
-- $11.1 million Class B-1 at (P) AA (low) (sf)
-- $11.1 million Class B-1-A at (P) AA (low) (sf)
-- $11.1 million Class B-1-IO at (P) AA (low) (sf)
-- $16.0 million Class B-1-2IO at (P) A (low) (sf)
-- $4.9 million Class B-2 at (P) A (low) (sf)
-- $4.9 million Class B-2-A at (P) A (low) (sf)
-- $4.9 million Class B-2-IO at (P) A (low) (sf)
-- $3.3 million Class B-3 at (P) BBB (low) (sf)
-- $1.3 million Class B-4 at (P) BB (sf)
-- $599.0 thousand Class B-5 at (P) B (sf)

Classes A-X, A-X-1, A-X-2, 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, A I 21, A-I-22, A-I-23, A-I-24, A-I-25, B-1-IO, B-1-2IO and B-2-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-25, A-X-1, A-X-2, 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-12, A-I-13, A-I-14, A-I-15, A-I-17, A-I-20, A-I-23, A-I-25, B-1, B-1-2IO, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents.

Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, and A-25 are super senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-19, A-20, and A-21) with respect to loss allocation.

The (P) AAA (sf) credit ratings on the Certificates reflect 7.45% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 3.75%, 2.10%, 1.00%, 0.55%, and 0.35% 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 Certificates. The Certificates are backed by 304 loans with a total principal balance of $299,362,386 as of the Cut-Off Date (March 1, 2025).

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. 83.5% of the pool is composed of nonagency, prime jumbo mortgage loans. The remaining 16.5% are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule.

Rocket Mortgage, LLC (Rocket) originated 23.4% of the pool. First United Bank and Trust (First United) originated 19.5% of the pool. PennyMac Loan Services and LLC and PennyMac Corp. (together PennyMac) originated 25.3% of the pool. Movement Mortgage (Movement) originated 15.9% of the pool. Various other originators, each comprising less than 10%, originated the remainder of the loans. The mortgage loans will be serviced by Fay Servicing, LLC (Fay) (74.7%) and PennyMac (25.3%). For this transaction, the Fay servicing fee rate is 0.05% and the PennyMac servicing fee rate is 0.25%. In its analysis, Morningstar DBRS applied a higher servicing fee rate for the Fay serviced loans.

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 Deutsche Bank National Trust Company will serve as Custodian.

The Servicers will be responsible for advancing delinquent monthly scheduled payments of interest and principal (Scheduled Payments), to the extent such payments are recoverable by the related Servicer. The Servicers 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 transaction also includes the following challenges:
-- Servicers' financial capabilities.

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

Morningstar DBRS' credit rating on 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 Unpaid Carryforward Interest , 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 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 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 (January 02, 2025) https://dbrs.morningstar.com/research/445477.

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.
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.

-- RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model (Version 1.3.28.1)
https://dbrs.morningstar.com/research/445477
-- 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 (December 3, 2024)
https://dbrs.morningstar.com/research/444064
-- 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.