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Link to Fitch Ratings’ Report: Citigroup Mortgage Loan Trust 2015-2 — Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=863049

Fitch Ratings has assigned the following ratings and Outlooks to two groups in Citigroup Mortgage Loan Trust 2015-2:

Group 1 Securities

–$75,728,000 class 1A1 ‘BBBsf’; Outlook Stable;

–$77,368,033 initial exchangeable class 1A2 not rated;

–$9,678,000 subsequent exchangeable class 1A3 ‘BBsf’; Outlook Stable;

–$9,072,000 subsequent exchangeable class 1A4 ‘Bsf’; Outlook Stable;

–$58,618,033 subsequent exchangeable class 1A5 not rated;

–$18,750,000 subsequent exchangeable class 1A6 ‘Bsf’; Outlook Stable;

–$43,964,000 subsequent exchangeable class 1A7 not rated;

–$14,654,033 subsequent exchangeable class 1A8 not rated.

Group 2 Securities

–$26,758,000 class 2A1 ‘BBBsf’; Outlook Stable;

–$12,569,031 class 2A2 not rated.

CMLTI 2015-2 is comprised of five groups. Fitch is rating five bonds from two of the groups. Two of the rated classes are the most senior tranche while the other three are subsequent exchangeable securities from group 1. Each group is a resecuritization of an ownership interest in a residential mortgage-backed security. As a resecuritization, the securities will receive their cash-flow from the underlying security. The Fitch-rated groups are collateralized with a senior class from Alt-A transactions issued from 2006 to 2007. Collateral performance has shown improvement over the past few years. The underlying pools have exhibited significant declines in the percentage of loans seriously delinquent. Also, the percentage of loans transitioning from current to delinquent has slowed as well.

For the Fitch rated groups, interest is paid pro-rata and principal is paid sequentially. Realized losses are applied reverse sequentially.

KEY RATING DRIVERS

Key rating drivers include the performance of the underlying pool as well as the collateral characteristics, such as sustainable loan-to-value ratio (sLTV), credit score and geographic concentration. For the Fitch rated groups, Fitch ran various prepayment speeds and loss timing scenarios in its analysis of the deal structure. This analysis was done to determine that the cash flow to the Fitch rated bonds would not be exposed to losses as a result of potential alternative cash flow timing stress scenarios.

Based on the collateral composition of the Group 1 underlying pool, Fitch assumed a base-case scenario expected loss (XL) of 34%. In the rating stress scenarios, Fitch assumed a ‘BBBsf’ XL of 51.33%, a ‘BBsf’ XL of 45.53% and a ‘Bsf’ XL of 40.13. Fitch ran these loss assumptions through 12 different interest rate, prepayment and timing scenarios and used the most conservative value to determine the required credit enhancement (CE). The required CE to support a ‘BBBsf’ rating is 50.54%, a ‘BBsf’ rating is 44.21% and a ‘Bsf’ rating is 38.29%. The lower CE compared to the XL is due to the underlying deal structure, which allows for excess spread.

Based on the collateral composition of the Group 2 underlying pool, Fitch assumed a base-case scenario XL of 20%. In the rating stress scenarios, Fitch assumed a ‘BBBsf’ XL of 33.8%. Fitch increased the model-expected loss severity on liquidated loans by 10% at each rating scenario to better reflect recent loss severity trends. Fitch ran the loss assumptions through 12 different interest rate, prepayment and timing scenarios and used the most conservative value to determine the required credit enhancement (CE). The required CE to support a ‘BBBsf’ rating is 31.96%. The lower CE compared to the XL is due to the underlying class, which still had roughly 3.5% of CE.

Fitch is assigning the ratings based on underlying pool collateral composition, the results of its cashflow analysis, review of final structure and supporting deal documents.

RATING SENSITIVITIES

Fitch analyzes each bond in a number of different scenarios to determine the likelihood of full principal recovery and timely interest. The scenario analysis incorporates various combinations of the following stressed assumptions: mortgage loss, loss timing, interest rates, prepayments, servicer advancing and loan modifications.

The analysis includes rating stress scenarios from ‘CCCsf’ to ‘AAAsf’. The ‘CCCsf’ scenario is intended to be the most likely base-case scenario. Rating scenarios above ‘CCCsf’ are increasingly more stressful and less likely outcomes. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the ‘Bsf’ scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the ‘AAAsf’ scenario.

The group-to-bond association for the Fitch-rated groups are as follows:

–Group 1 represents a 100% interest in the Lehman XS Trust, Series 2007-7N class 2A1A;

–Group 2 represents a 20.70% interest in the Washington Mutual Mortgage Pass-Through Certificates Series 2006-AR15 Trust Class 1A.

Additional information is available in the ‘Citigroup Mortgage Loan Trust 2015-2 Representations and Warranties Appendix, published Feb. 27 and available at ‘www.fitchratings.com‘.

Additional information is available at ‘www.fitchratings.com‘.

Applicable Criteria and Related Research:

–‘Global Structured Finance Rating Criteria’ (May 2014);

–‘U.S. RMBS Master Rating Criteria,’ (July 2014);

–‘U.S. RMBS Surveillance and Re-REMIC Criteria’ (June 2014);

–‘U.S. RMBS Loan Loss Model Criteria’ (November 2014);

–‘Counterparty Criteria for Structured Finance and Covered Bonds’ (May 2014);

–‘U.S. RMBS Cash Flow Analysis Criteria’ (April 2014);

–‘Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds’ (December 2014);

–‘Rating Criteria for US Residential and Small Balance Commercial Mortgage Servicers’ (January 2014).

Applicable Criteria and Related Research:

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

U.S. RMBS Master Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750719

U.S. RMBS Surveillance and Re-REMIC Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750110

U.S. RMBS Cash Flow Analysis Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=746027

Rating Criteria for US Residential and Small Balance Commercial Mortgage Servicers

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=731747

U.S. RMBS Loan Loss Model Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=810788

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=980536

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

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Fitch Ratings

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Analyst

+1-212-908-0387

Fitch Ratings, Inc., 33 Whitehall Street, New York, NY 10004

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Grant Bailey

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+1-212-908-0544

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Media Relations:

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sandro.scenga@fitchratings.com […]