DBRS Morningstar finalizes provisional rating for Citigroup Mortgage Loan Trust 2021-RP6

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DBRS, Inc. (DBRS Morningstar) has finalized the following provisional rating on Mortgage Backed Notes, Series 2021-RP6 (the Notes) issued by Citigroup Mortgage Trust 2021-RP6 (the Trust).

$ 1.0 billion Class A-1 to AAA (sf)

the AAA (sf) the rating of the Notes reflects 21.25% of the credit enhancement provided by the subordinated certificates.

With the exception of the category noted above, DBRS Morningstar does not rate any other category in this transaction.

The Trust is a securitization of a portfolio of high yield, senior residential mortgage loans financed by the issuance of mortgage backed notes (the Notes). The Notes are backed by 7,997 loans with a total principal balance of $ 1,279,566,270 from the deadline (November 30, 2021).

Mortgages, which were purchased from Fannie mae, have been seasoned for about 177 months. As of the deadline, 97.8% of loans are outstanding, of which 38 are bankrupt and 2.2% of loans are 30 days past due under the Mortgage Bankers Association (MBA) method of delinquency. About 53.8% and 84.1% of mortgages were not past 30 days past due in the past 24 and 12 months, respectively, using the MBA method.

The portfolio contains 94.4% modified loans. The modifications took place more than two years ago for 64.0% of the modified loans. Within the pool, 2,335 mortgage loans have aggregate deferred non-interest bearing amounts of $ 113,626,127, which represent approximately 8.9% of the total principal balance.

About 4.3% of the pool’s loans are subject to the Consumer Financial Protection Bureau‘s Qualified Mortgage (QM) and repayment capacity (QM) rules. About 3.9% of these loans are designated as Safe Harbor or Safe Harbor Temporary and 0.4% as non-QM. The rest of the pool is exempt due to seasoning or loaning.

Seller, Citigroup Global Markets Realty Corp. (CGMRC), acquired the mortgage loans of Fannie mae following the award of a bid in a competitive auction for the initial pool. The seller will then bring the loans to the trust through an affiliate, Citigroup Mortgage Trust Inc. (the Depositor). As Promoter, CGMRC or one of its majority-owned affiliates will acquire and retain an eligible vertical stake of 5% in each category of Notes (other than the Class R Remarks) to meet credit risk retention requirements. The loans were issued and previously managed by various entities.

From the deadline, loans are managed by an interim manager. This service will be transferred to Rushmore Loan Management Services, LLC, to February 3, 2022. There will be no overdue principal or interest (P&I) advance on mortgages by the servicing agent or any other party to the transaction; however, the maintenance officer is obligated to make advances against homeowners association fees in super-lien states and, in some cases, taxes and insurance, as well as reasonable costs and expenses incurred in the framework of the maintenance and the disposition of the properties.

When the overall pool balance is reduced to less than 25% of the balance on the due date, the holder of the directing obligation may purchase all mortgages and real estate owned by the issuer, provided the total proceeds meet a minimum price.

The transaction uses a sequential payment cash flow structure. Principal proceeds can be used to cover interest deficits on the Notes, but such deficits on Class M-1 bonds and more subordinated P&I bonds will not be paid out of principal proceeds until the oldest categories are withdrawn.

Impact of the coronavirus pandemic

The coronavirus disease (COVID-19) pandemic and the resulting isolation measures caused an immediate economic contraction, leading to sharp increases in unemployment rates and cuts in income for many consumers. Shortly after the start of the pandemic, DBRS Morningstar saw an increase in defaults for many asset classes of Residential Mortgage Backed Securities (RMBS).

These mortgage defaults were mostly in the form of withholdings, which are typically periods of short-term payment relief that can work very differently from traditional defaults. At the start of the pandemic, the option of withholding mortgage payments was widely available, pushing abstentions to a high level. When the dust settled, loans with coronavirus-induced tolerance in 2020 performed better than expected, thanks to government assistance, low loan-to-value ratios and acceptable underwriting in the mortgage market in general. In almost all RMBS asset classes, defaults are gradually trending downward, as forbearance periods end for many borrowers.

For more information on the assumed economic strains under its baseline scenario, please see the following DBRS Morningstar commentary: “Baseline Macroeconomic Scenarios For Rated Sovereigns december 2021 Update, ‘dated December 9, 2021.

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

A description of how DBRS Morningstar views 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 https://www.dbrsmorningstar.com/research/373262.

Remarks:

All figures are in we dollars, unless otherwise specified.

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

DBRS Sovereign Morningstar the group publishes benchmark macroeconomic scenarios for rated sovereigns. The DBRS Morningstar analysis took into account the impacts consistent with the reference scenarios as set out in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The rated entity or its related entities participated in the rating process for this rating action. DBRS Morningstar has 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 more information on the sensitivity of the assumptions used in the rating process.

The full report providing further analytical details 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 this industry, visit www.dbrsmorningstar.com or contact us at [email protected]

DBRS, Inc.

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Reviews

Date Issued	Debt Rated	Action	Rating	Trend	Attributesi

US = Lead Analyst based in the USA

CA = Lead Analyst based at Canada

EU = Lead Analyst based in the EU

UK = Senior analyst based at UK

E = EU approved

U = UK approved

Unsolicited participation with access

Unsolicited participation without access

Unsolicited Non-participating

30-Dec-21	Mortgage-Backed Notes, Series 2021-RP6, Class A-1	Provis.-Final	AAA (sf)	--	US


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