Morningstar DBRS Finalizes Provisional Credit Ratings on Citigroup Mortgage Loan Trust 2025-RP2

DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following Mortgage-Backed Notes, Series 2025-RP2 (the Notes) issued by Citigroup Mortgage Loan Trust 2025-RP2 (the Trust):

-- $428.9 million Class A-1 at AAA (sf)
-- $26.7 million Class A-2 at AA (sf)
-- $455.6 million Class A-3 at AA (sf)
-- $479.8 million Class A-4 at A (low) (sf)
-- $24.2 million Class M-1 at A (low) (sf)

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

The AAA (sf) provisional credit rating on the Class A-1 certificates reflects 20.40% of credit enhancement provided by subordinated certificates. The AA (sf) and A (low) (sf) provisional credit ratings reflect 15.45% and 10.95% of credit enhancements, 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 were backed by 3,020 loans with a total principal balance of $538,794,115, including the deferred principal balances of $44,191,334, as of the cut-off date on March 31, 2025.

The mortgage loans are approximately 159 months seasoned. As of the cut-off date, 93.5% of the loans were current (including 0.9% bankruptcy-performing loans) and 6.5% of the loans were 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method. Under the MBA delinquency method, 34.0% and 63.0% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively.

The portfolio contains 97.3% modified loans. The modifications happened more than two years ago for 61.0% of the loans that Morningstar DBRS classified as modified. Within the pool, 1,205 mortgages have an aggregate noninterest-bearing deferred amount of $44,191,334, which represents 8.2% 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.

On and after the servicing transfer date, all of the loans are being serviced by Select Portfolio Servicing, Inc. 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 (HOA) 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 A-2 and more subordinate P&I bonds will not be paid from principal proceeds until the more senior classes are retired.

The credit 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; and
-- Assignments and endorsements.
The full description of the strengths, challenges, and mitigating factors is detailed in the related credit rating 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 current interests, interest shortfall amounts, and 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.

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

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 (January 2, 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.

For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to the Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of the website: https://dbrs.morningstar.com/understanding-ratings

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 1.3.29.0)
https://dbrs.morningstar.com/research/445477

-- Interest Rate Stresses for U.S. Structured Finance Transactions (March 27, 2025),
https://dbrs.morningstar.com/research/450750
-- 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.