Citigroup Mortgage Loan Trust 2013-J1 Pre Sale Report

Pre-Sale Report October 31, 2013

U.S. - Structured Finance

Citigroup Mortgage Loan Trust 2013-J1 Mortgage Pass-Through Certificates, Series 2013-J1

Report Date October 31, 2013 Analysts Corina Gonzalez Vice President 212 806 3926 [email protected] Howard Ng Financial Analyst 212 806 3954 [email protected] Quincy Tang Managing Director 212 806 3256 [email protected] Stephanie Whited Senior Vice President 212 806 3948 [email protected]

RMBS Ratings

# Super senior class. This class benefits from additional protection from the senior support bond (i.e. Class A-2) with respect to loss allocation. * Interest only certificates. The class balances represent notional amounts. ** Provisional ratings do not reflect final ratings and are subject to change upon the review of final transaction details or other information deemed pertinent by DBRS in accordance with the related published methodologies. Notes: This table does not include the Class LT-R and Class R Certificates that are both entitled to the residual interest, which are not rated by DBRS. All interest rates are floored at 0%.

Table of Contents

Debt Class Balance ($) Interest Rate

Credit Enhancement

(CE)

Provisional Rating** Rating Action

Class A-1# 189,482,000 Lesser of Net WAC and 3.50% 6.50% AAA (sf) Provisional Rating Class A-2 6,824,000 Lesser of Net WAC and 3.50% 6.50% AAA (sf) Provisional Rating

Class A-IO* 196,306,000 Net WAC minus 3.50% 6.50% AAA (sf) Provisional Rating Class B-1 2,204,000 Net WAC 5.45% AA (sf) Provisional Rating Class B-2 2,100,000 Net WAC 4.45% A (sf) Provisional Rating Class B-3 735,000 Net WAC 4.10% BBB (sf) Provisional Rating Class B-4 5,248,000 Net WAC 1.60% BB (sf) Provisional Rating Class B-5 3,360,196 Net WAC N/A NR Provisional Rating

Ratings 1 Trust Administrator 15 Transaction Summary 2 Transaction Structure 16 Strengths 2 Transaction Diagram 16 Challenges and Mitigating Factors 2 Cash Flow Structure and Features 16 Transaction Parties and Relevant Dates 4 Cash Flow Analysis 18 Rating Rationale 4 Rating Category Analysis 19 Credit Analysis Details 5 Third-Party Due Diligence 20 Collateral Description 5 Representations and Warranties 21 Key Probability of Default Drivers 6 Enforcement Mechanism 21 Key Loss Severity Drivers 8 Sponsor Backstop 23 Aggregator, Originators & Historical Performance 9 What DBRS Thinks… 23 Aggregator 9 Rule 17g-7 Report 23 Originators 11 Methodologies Applied 24 Servicers and Trust Administrator 14 Monitoring and Surveillance 24 Servicers 14

2 Pre-Sale Report – Structured Finance: U.S. RMBS

CMLTI 2013-J1 Report Date October 31, 2013

Transaction Summary Citigroup Mortgage Loan Trust 2013-J1 (“CMLTI 2013-J1”) is a securitization of a portfolio of prime residential mortgages funded by the issuance of mortgage pass-through certificates. The certificates are backed by 274 loans with a total principal balance of $209,953,196 as of the Cut-off Date1. The mortgage loans were acquired by Citigroup Global Markets Realty Corp. (“Citi”). The Originators for the mortgage pool are Nationstar Mortgage LLC (43.7%), Stearns Lending, Inc. (28.5%), Freedom Mortgage Corporation (12.3%), Fifth Third Mortgage Company (7.5%), Real Estate Mortgage Network, Inc. (5.4%) and RMR Financial, LLC (2.7%). The loans will be serviced by Nationstar Mortgage LLC (92.5%) and Fifth Third Mortgage Company (7.5%). Deutsche Bank National Trust Company will act as the Trust Administrator and Custodian. The transaction employs a senior-subordinate shifting-interest cash flow structure that is enhanced from a pre-crisis structure.

(1) Higher Quality Loans with Good Distribution of Credit Attributes: This transaction exhibits high-quality credit attributes in borrower credit, loan-to-value (“LTV”) ratios, debt-to-income (“DTI”) ratios and documentation. Compared to other recently-issued prime jumbo transactions, this portfolio contains a very strong FICO score, combined LTV and DTI ratios with much less barbelled distributions. In addition, the pool contains 6.9% 15-year mortgages, no investor loans, no interest only loans and no piggybacks.

(2) Well-Qualified Borrowers: The mortgage loans in the transaction were originated to high income borrowers with significant reserves.

(3) 100% Current Loans: All loans are current as of the Cut-off Date. No loan has had prior

delinquencies since origination.

(4) Third-Party Diligence Review: Third-party due diligence firms conducted property valuation, credit and compliance reviews on 100.0% of the loans in the pool. Data integrity checks were also performed on the pool.

(5) Structural Enhancement: Compared to a pre-crisis shifting-interest structure, this transaction

employs a structural enhancement of a subordination floor to address tail risk and retain credit support.

(1) Originators with Weaker Financials: Some originators have financial strength ratings or assessments from DBRS that are lower than investment-grade, and may potentially experience financial stress that could result in the inability to fulfill repurchase obligations as a result of breaches of representations and warranties. Some mitigating factors include: • The loans, except for the Fifth Third Bank-originated mortgages (DBRS rates Fifth Third

Bank at “A” stable), benefit from representations and warranties back-stopped by Citigroup Global Market Realty Corp. (“Citi”), a wholly owned subsidiary of Citigroup Inc. (DBRS rates Citigroup Inc. at “A” Under Review with Negative Implications), in the event of

1 The collateral description and disclosure on the mortgage loans in this report reflect the approximate aggregate characteristics as of the Cut-off Date.

Challenges and Mitigating Factors

Strengths



an Originator’s bankruptcy or insolvency proceeding and if the Originator fails to cure, repurchase or substitute loans for such breach. However, the backstop is subject to certain sunset provisions, on underwriting and fraud, described further in this report.

• DBRS adjusted the origination scores of certain originators to account for the potential inability to fulfill repurchase obligations or because of their lack of performance history. A lower originator score resulted in increased default and loss rates for loans originated by such originators.

• Third-party due diligence was conducted on 100.0% of the loans in the pool diminishing the risk of future representations and warranties violations.

• The loans in this transaction were aggregated by the Citi Jumbo Conduit Program (“Citi Conduit) established in April 2011. The performance of the Citi Conduit portfolio, though limited in history, has had eight early payment defaults mostly related to servicing transfer or servicer errors (see details in the Aggregator Historical Performance section) but no other delinquencies to date.

(2) Representations and Warranties Standard: Although the Originators do provide traditional life-

of-loan representations and warranties to the trust, the backstop provided by Citi includes sunset provisions on representations and warranties with respect to underwriting and fraud. Some mitigating factors include: • Excluding the sunset provisions on underwriting and fraud, the representation and

warranties standards for this transaction has many positive features that include the following:

(a) Life-of-loan originator representation and warranties. (b) Automatic breach review will be triggered by the following events: i) a loan

becomes seriously delinquent (120 days or more); (ii) a loan incurs a loss upon liquidation; or (iii) the Trust Administrator receives an actual notice of an alleged breach.

(c) Disputes related to breaches may be ultimately settled by arbitration proceedings. (d) No proximate cause provisions that may limit breach reviews. (e) Sunset provisions for the backstop give consideration to prior loan performance.

• Third-party due diligence was conducted on 100.0% of the pool diminishing the risk of future representations and warranties violations.

• DBRS assigned additional penalties and adjusted certain loan attributes based on third-party due diligence results, to provide added cushion in its expected losses analysis.

(3) Servicer’s Financial Capability: Nationstar will service 92.5% of the pool. Although operationally

sound, the servicer may face financial difficulties to fulfill its servicing advance obligation in the future. Consequently, the transaction employs Deutsche Bank National Trust Company (“DBNTC”) as the Trust Administrator. If the applicable servicer fails its obligation to make advances, DBNTC will be obligated to fund such servicing advances. DBNTC also assumes the role of the Paying Agent and Custodian, as well as managing the claims arising from alleged breaches of representations and warranties.

The above strengths and challenges along with other transaction details will be discussed in depth in the relevant sections of this report.



Transaction Parties and Relevant Dates Table: Transaction Parties Type Name Issuing Entity Citigroup Mortgage Loan Trust 2013-J1 Sponsor and Mortgage Loan Seller Citigroup Global Markets Realty Corp. (“Citi”) Depositor Citigroup Mortgage Loan Trust Inc. Originators Nationstar Mortgage LLC (“Nationstar”) – 43.7%

Stearns Lending, Inc. (“Stearns”) – 28.5% Freedom Mortgage Corporation (“Freedom”) – 12.3% Fifth Third Mortgage Company (“Fifth Third”) – 7.5% Real Estate Mortgage Network, Inc. (“REMN”) – 5.4% RMR Financial, LLC (“RMR”) – 2.7%

Servicers Nationstar Mortgage LLC – 92.5% Fifth Third Mortgage Company – 7.5%

Trust Administrator & Custodian Deutsche Bank National Trust Company Delaware Trustee Christiana Trust, a Division of Wilmington Savings Fund

Society, FSB Table: Relevant Dates Type Date Cut-off Date October 1, 2013 Expected Closing Date November 6, 2013 Payment Date The 25th of each month or the next succeeding business day

commencing in November 2013. Final Scheduled Distribution Date The payment date in October 2043. Rating Rationale The DBRS, Inc. (“DBRS”) rating of the certificates addresses the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the certificates. DBRS based the rating primarily on:

• The transaction's capital structure and the form and sufficiency of available credit enhancement. • Relevant credit enhancement in the form of subordination. Credit enhancement levels are

sufficient to support DBRS projected expected cumulative loss assumptions under various stressed cash flow assumptions for the rated classes.

• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents.

• The Originators’ and Servicers’ capabilities with respect to originations, underwriting, servicing, and financial strength.

• The credit quality of the collateral and ability of the Servicers to perform collection activities on the collateral pool.

• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for U.S. Structured Finance Transactions.



Credit Analysis Details

The table below highlights the key collateral characteristics of the CMLTI 2013-J1 portfolio. Table: Collateral Comparison (at Closing)2

Pool Attributes CMLTI 2013-J1 Number of Loans 274 Outstanding Pool Balance $209,953,196 Original Pool Balance $212,271,195 Average Loan Balance $766,253 WA Coupon 3.865% WA FICO 778 WA Original Combined LTV 67.6% WA DTI Ratio 28.0% WA Seasoning 4 months Piggyback Seconds 0.0% Interest Only 0.0% Fixed Rate 100.0%

Origination Channel Retail 17.4% Broker 2.4% Correspondent 80.2%

Occupancy Primary Residence 98.4% Second Homes 1.6% Investor-owned 0.0% Loan Purpose Purchase 29.9% Rate/Term Refinance 62.8% Cash-out Refinance 7.3% Documentation Type Issuer-Defined Full Documentation 100.0%

DBRS-Defined Full Documentation3 100.0%

Property Type Single Family (incl. PUD & TH) 99.8% 2-to-4 Family 0.0% Condo and Co-op 0.2% Geographic Concentration State 1 49.9% (CA) State 2 7.1% (TX) State 3 6.9% (CO)

2 All characteristics in this table or in this report reflect the attributes that DBRS used in its credit analysis, and may not conform to the disclosure in the transaction documents. Certain attributes including FICO, LTV and documentation types have been adjusted based on the DBRS review of the third-party due diligence results, Case-Shiller home price indices and other relevant assessments, as described further in the related sections. 3 Certain documentation types have been adjusted based on DBRS’s review of the third-party due diligence results.

Collateral Description



Originators (Top 3) Originator 1 43.7% (Nationstar) Originator 2 28.5% (Stearns) Originator 3 12.3% (Freedom) Servicers Servicer 1 92.5% (Nationstar) Servicer 2 7.5% (Fifth Third) Loss Expectation at Closing AAA (sf) 5.30%

AA (sf) 4.25% A (sf) 3.25% BBB (sf) 2.25% BB (sf) 1.25% B (sf) 0.50%

The CMLTI 2013-J1 pool exhibits collateral attributes generally high in credit quality and consists of fixed rate mortgages for fully documented borrowers. As compared to other recently-issued prime jumbo transactions, this portfolio contains a very strong FICO score, combined LTV and DTI ratios with much less barbelled distributions. In addition, the pool contains 6.9% 15-year mortgages, no investor loans, no interest only loans and no piggybacks. DBRS uses its proprietary RMBS Insight model to derive probability of defaults, loss severities and expected losses for the CMLTI 2013-J1 portfolio, as exhibited in the table below. Table: DBRS Default Probability, Loss Severity and Expected Loss for CMLTI 2013-J1

Rating Probability of Default Loss Severity Expected Loss AAA (sf) 14.17% 37.39% 5.30% AA (sf) 12.52% 33.96% 4.25% A (sf) 10.33% 31.46% 3.25%

BBB (sf) 7.67% 29.32% 2.25% BB (sf) 5.40% 23.17% 1.25% B (sf) 2.85% 17.53% 0.50%

Loan-to-value (LTV) Ratio and Future Equity For certain more seasoned loans where updated valuations are not provided, DBRS indexed the original property values using the Case-Shiller home price indices within its proper price tiers (when price tiers are available). The DBRS-calculated weighted-average original CLTV of 70.4% suggests considerable borrower equity in their homes. There are no piggybacks included in this pool. DBRS calculates future equity in two years for every loan using its MSA-based peak-to-trough home price forecast model and applies additional market value decline (“MVD”) assumptions by rating category (described further in the “Key Loss Severity Drivers” section). The top three MSAs in this pool are San Jose-Sunnyvale-Santa Clara, CA (12.7% of the pool), San Francisco-San Mateo-Redwood City, CA (9.2% of the pool) and Oakland-Fremont-Hayward, CA (7.6% of the pool). When forecasted over a two-year horizon, the DBRS projected CLTV at the “B” rating level equals 74.1%, representing sizeable equity after peak-to-trough home price and MVD stresses.

Key Probability of Default Drivers



Borrower Credit The weighted-average FICO score of 778 indicates strong borrower credit profiles. Approximately 0.8% of the loans have FICOs lower than 720, and 12.7% have FICOs of 800 or higher. When underwriting the loans, the Originators typically used the middle of three or lower of two scores. Borrower Income and Liquid Reserves For the entire pool, the (non-zero) weighted-average borrower income exceeds $380,000 annually. For the entire pool, the weighted-average liquid reserves for the loans are approximately $296,000, enough to cover over six years of monthly mortgage payments. On average, 6.6% of the loans have liquid reserves higher than their current loan balance. Clean Payment Histories The pool is on average four months seasoned, with six loans aged over six months and a max age of eight months. Although some loans are seasoned, the payment histories on the loans are clean. No loan has had prior delinquencies since origination. Documentation Type Of the loans in CMLTI 2013-J1, 100.0% were underwritten to a full documentation standard. Full documentation generally consists of:

(1) Two years of W-2 forms and paystub(s) with year-to-date earnings. (2) Verification of employment. (3) Signed and executed IRS 4506-T form. (4) Two months bank statements for closing funds and reserves.

In addition, the borrowers are expected to have been current on their prior mortgage (or rental) payments for at least 12 months. Self-Employed Borrowers Approximately 23.3% of the loans are to self-employed borrowers, which were analyzed separately by DBRS. Compared to the salaried borrowers in the pool, the self-employed loans have lower CLTV, higher income and higher reserves. As confirmed by third-party due diligence, when underwriting the self-employed loans, all loans had at least two years of personal or business tax returns from either a borrower or a co-borrower. CPA certifications were provided by approximately 44.7% of the self-employed borrowers. Nonetheless, to address the concentration risk of self-employed loans in this transaction, DBRS analyzed certain loans separately and assigned additional penalties. Product Type The collateral pool consists of 100.0% first lien fixed rate mortgages with an original term to maturity of 30 years. None of the loans have interest only features with 120 month interest only terms. Fully amortizing fixed rate loans generally pose the lowest default risk given the stability in monthly payments. Additionally, about 6.8% of the pool has amortization terms of 180 months (i.e. 15-year mortgages). These borrowers have historically exhibited better performance for their ability to assume higher monthly payments than their 30-year counterparts. Fast amortization also builds equity more rapidly, thus resulting in lower default risk. Occupancy (% of Second Homes) Approximately 1.6% of the loans are to finance second homes. These loans represent slightly higher default risk (1.2 x penalty) relative to owner-occupied loans. However, the liquid reserves for these borrowers are much higher, with reserves of $688,169. The second home borrowers have total annual



incomes of $625,218. There are no mortgages to finance investment properties in the CMLTI 2013-J1 pool. Geographic Concentration and Large Loans The CMLTI 2013-J1 pool has relatively moderate geographic composition, with California representing 49.9% of the pool and the top three states representing 63.9%. The average loan size of $766,253, while elevated, is not considered significant for a non-conforming pool, given that maximum conforming loan limit for high cost areas is as high as $625,500 for single-family homes. DBRS measures concentration risk by a Herfindahl index calculated on both a geographic (MSA-level) and loan size basis. The concentration measure, along with credit quality, derives the level of asset correlation, which is an important factor in the determination of rating category stresses. Compared to other recently DBRS-rated prime jumbo securitizations in the market, the asset correlation for this portfolio suggests a comparable level of concentration. Multiple Loans to a Single Borrower Approximately 36.1% of the borrowers have more than one mortgaged property. Borrowers with three or more mortgages (with a maximum of six) represent 11.0% of the pool and generally show considerable income and liquid reserves. The weighted average debt-to-income ratio for borrowers with multiple properties is 30.6%, slightly above the overall debt-to-income ratio for the entire pool of 28.0%. One borrower has two mortgages in the CMLTI 2013-J1 pool. This borrower has low DTI, substantial income and significant liquid reserves. DBRS calculates loss severity as follows:

(1) A recovery value is estimated from the statistical recovery model. In order to derive a recovery value, DBRS first estimates an updated property value at liquidation, which includes the following considerations: • The number of months each subject loan takes to migrate through the delinquency,

foreclosure and REO timeline. • MSA-level home price forecast using DBRS peak-to-trough home price forecast model. • Market value decline (MVD) stress by rating category. • Distressed sale discount of 30.8%. • Further adjustment based on borrower and property characteristics.

(2) Interest advancing (through liquidation) is subtracted from the recovery. (3) Loss is calculated as the shortfall of recovery to loan balance outstanding.

Peak-to-Trough Home Price Forecast (MSA-level) DBRS developed its own home price forecast model based on a data analytic approach. Using month-by-month Case-Shiller home prices to identify and calculate the regional peak-to-trough declines prior to 2000, DBRS selected counties that have experienced a two-year price increase prior to the peak of at least 10%, and a decline of 10% or more following the peak. The model then looks for consistencies in the length and severity of the decline to forecast future price drops from the most recent housing market peak. Market Value Decline (by rating level) DBRS applies a market value decline to all property values, ranging from 28% in the AAA scenario to 5% in the B scenario, to all rating levels.

Key Loss Severity Drivers



Distressed Sale Discount DBRS applies a 30.8% haircut to the updated property values. This haircut is meant to address property sales in a liquidation scenario, which often represents distressed sales and therefore beaten-down prices. The value, one of the terms of the recovery model, has been estimated from past liquidations. In addition, the haircut also includes liquidation costs such as maintenance, repairs, attorney and real estate agent fees, etc. Further Property Value Adjustment (Generally Negative) Once the distressed sale discount is applied, further value adjustments, calculated based on the updated property value, are made based on the following characteristics. These adjustments are generally negative.

(1) Expensive properties. (2) Months in REO. (3) Property type. (4) Occupancy. (5) FICO. (6) Months since loan origination. (7) Property state.

These adjustments are made because each has a significant impact on the actual recovery percentage. Based on our analysis, each month in REO reduces the recovery amount by 1.8%. Expensive and inexpensive properties tend to recover less as a percentage of updated property value. Two property types are called out as different: MH and multi-unit, each of which produces lower recoveries, but neither exist in this pool. Investor homes and second homes have reduced recovery rates. Homes associated with higher-FICO borrowers have improved recovery rates. Recovery declines with increased time since loan origination. Additionally, a handful of states (IL, PA, MI) had reduced recovery rates. Advancing (Calculated based on the note rate at a state-level) The servicers are obligated to advance for principal and interest for delinquent mortgages as long as such advances are deemed recoverable. If the servicers fail their obligations to advance, the master servicer will be obligated to fund such servicing advances. Given the expected performance of a prime pool as well as the financial strength of the servicers and/or the master servicer, DBRS assumes that servicer advancing would occur and continue through liquidation. Interest advancing at the note rate is included in the loss severity calculation. In the “B” base case scenario, the number of months interest is advanced follows the DBRS-derived state-by-state timeline from current to REO (about 24 months currently). For each rating level higher than a “B”, two incremental months are added to the timeline of the previous rating category. Aggregator, Originators and Historical Performance Review

Citi Jumbo Conduit Program (“Citi Conduit”) The loans were acquired by Citi through its Jumbo Conduit Program established in April 2011. All the loans in this portfolio were purchased either on a flow or bulk basis from various originators. DBRS conducted an aggregator review of the Citi Conduit operation in 2013. Citigroup Global Markets Realty Corp. is a subsidiary of Citigroup Inc. which is publicly rated by DBRS at “A” Under Review with Negative Implications.

Aggregator: Citigroup Global Market Realty Corp. (“Citi”)



Originator Review Process and Monitoring (flow) Citi launched its conduit in April 2011 and began acquiring mortgage loans from various lenders through established relationships. Citi requires each prospective seller to complete a seller questionnaire and performs an on-site review of each of the originators that includes the financial capability (including tangible net worth and historical repurchase activities), company background, senior management, business strategy, origination process, underwriting, technology and quality control. In addition, for each originator, an independent division within Citi conducts a “Know Your Customer” review. With each seller, Citi enters into a mortgage loan purchase agreement that specifies various contract terms including the sale and transfer, administration and servicing (if applicable) of the mortgage loans, as well as representation and warranty provisions. As part of its monitoring process, Citi conducts an annual review of each of the originators in its conduit program. Loan Acquisition and Third-Party Due Diligence (flow) At loan acquisition, a third-party due diligence firm performs reviews on credit, compliance, data integrity and property valuation analysis. All due diligence reviews are conducted on a post-close pre-funding basis. With respect to property valuation, the originator sends appraisals directly to the third-party due diligence firm. An appraisal goes through several layers of valuation reviews if needed, including an enhanced desk review and field review if applicable. Credit and compliance due diligence generally encompass document inventory, guideline standards, data analysis and verification, credit risk evaluation, fraud check and compliance review. The diligence firm re-underwrites mortgage loans, independently calculates debt-to-income ratios and assets, verifies income, FICO sourcing, and employment based on the relevant documents in the loan files and authenticates occupancy status by using available fraud prevention tools. Third-party due diligence was performed on 100.0% of the Citi conduit loans. DBRS generally adjusts property valuations and other attributes as appropriate based on the due diligence results. Underwriting Criteria DBRS analyzed the following key areas of the underwriting guidelines provided by Citi. The seller guides generally conform to the following standard.

(1) Income and employment verification For salaried borrower:

• Two years of W-2. • A pay stub with year-to-date earnings or traditional written VOE. • Verbal verification of employment required within 10 calendar days. • 4506T is required to be signed, executed and transcript document must be provided.

For self-employed: • Two years of personal tax returns. • Two years of business tax returns. • Verbal verification of employment required within 10 calendar days. • 4506T is required to be signed, executed and transcript document must be provided.

(2) Asset verification Full verification of asset for closing funds and reserves including the most recent two months bank statements.

(3) Reserve requirement Minimum reserve of 9 to 12 months of loan payments, depending on FICO score.

(4) Credit report/score



Credit reports/scores must be from within the last 90 days. The middle of three scores or lower of two scores is applied. The primary borrower’s score is used.

(5) Prior mortgage delinquency A borrower must be 0 x 30 days delinquent in the previous 12 months. Borrowers with prior bankruptcy, short sales or deed-in-lieu in the past five years are not allowed and borrowers with a foreclosure in the past seven years are not allowed.

(6) Appraisal Two appraisals are required for loans greater than $1 million and must include interior photos. Appraisals are only good for 90 days.

(7) Maximum LTV, DTI, cash-out amount and minimum credit score The maximum LTV, DTI, and cash-out amount and minimum credit score will vary by loan amount, property type, occupancy and purpose.

(8) Tradelines A Borrower(s) credit profile must include a minimum of three active trade lines that have a 24-month history.

(9) Subordinate financing New subordinate financing is not allowed.

Historical Performance As of October 2013, Citi has purchased 778 mortgage loans through the conduit, and of these loans, eight or 1.0% by loan count have had early payment default (“EPD”) and have all been repurchased by the respective originators. Of the eight EPDs, four loans missed a payment due to servicing transfer errors and three loans missed a payment due to servicer errors. For one loan, the borrower became 30 days delinquent in one month and subsequently paid the loan in full the following month.

Nationstar, Inc. Nationstar, Inc. (“Nationstar”) is the originator of approximately 43.7% of the loans in this transaction. DBRS performed an on-site review of Nationstar and determined that they are an acceptable mortgage loan originator. Nationstar is a real estate services company engaged primarily in the origination and servicing of residential mortgage loans Nationstar originated over $23B of annual production as of Q1 2013, up significantly compared to $7.9B in 2012 and $3.4B in 2011. In June 2013, Nationstar completed its acquisition of the origination platform and unfunded pipeline of Greenlight Financial Services, including Greenlight’s reverse mortgage division. The company maintains an experienced management team that averages over 20 years of industry experience. Company tenure across the executive management team averages three years, however, many senior executives have prior shared work experience. The company employs nearly 6,000 mortgage professionals, of which approximately 2,400 full time equivalents (“FTE”) are dedicated to originations. The company has a knowledgeable underwriting staff of approximately 460 FTE who average nearly 11 years of industry experience. Additionally, the company utilizes offshore resources for strategically placed back-office originations functions. Headquartered in Lewisville, TX, Nationstar sources its originations primarily through four channels. The company’s direct/retention channel focuses on refinancing borrowers currently serviced by Nationstar. The wholesale channel focuses on non-delegated third party originations serving brokers, mortgage companies and financial institutions. The correspondent channel focuses on delegated third party originations with experienced lenders that underwrite and close loans in their own name. Nationstar performs a pre-purchase review on 100% of originations sourced through its correspondent channel. The

Originators



company’s retail channel sources prospective homebuyers through real-estate professionals, builders, financial planners, and established borrowers. The company’s jumbo prime product is sourced primarily through its retail channel in accordance with investor guidelines. Nationstar uses independent third party appraisal firms and maintains an appraisal review department staffed with six licensed appraisers. An appraisal review is performed on all loans greater than $415,000 and on any loan requested at the underwriter’s discretion. Nationstar maintains a reliable control environment. The company’s Chief Risk Officer (“CRO”), reports directly to the Chief Executive Officer (“CEO”) and employs over 220 FTE that provide risk oversight across Nationstar’s origination and servicing platforms. The internal audit function reports directly to the company's Audit Committee. All functions with a high risk rating are audited every 18 months, areas rated medium are audited every two years and Low rated areas are audited every three years. As well, the company maintains a separate QC department that performs periodic business practice reviews across the origination platform and a segregated quality control function that performs post funding reviews on a statistically valid sampling of loans within 60-90 days of closing. Stearns Lending, Inc. Stearns Lending, Inc. (“Stearns”) is the originator of approximately 28.5% of the loans in this transaction. DBRS performed an on-site review of Stearns and determined that they are an acceptable mortgage loan originator. Founded in 1989, Stearns is a private, independent mortgage origination company based in Santa Ana, CA. The company employs over 1,461 full-time equivalents and maintains acceptable turnover rates of approximately 14%. In 2012 Stearns completed approximately $12B loan fundings and is on track to originate approximately $15B of production in 2013. The company maintains an integrated technology platform to support its growth initiatives, including a proprietary web-based communications portal for broker interface enabling registration of application of new loans as well as rate, fee and lock communication between brokers and Stearns. Throughout 2012, Stearns continued to enhance the depth of its senior leadership and currently maintains an experienced senior management team that averages over 26 years of industry expertise. The company employs a staff of 238 underwriters who maintain a minimum of five years industry experience. All underwriters are located in twelve regional operations centers and four fulfillment centers separate from the company’s sales force. Centralized groups in the corporate headquarters perform underwriting of special loan products such as jumbo loans and 203k loans. The underwriters of this group maintain an average of 19 years industry experience. Stearns originates mortgage loans through wholesale, retail, financial institutions and correspondent channels. As of June 30, 2013, the company’s originations were sourced 75% through wholesale, 12% through retail, 8% through correspondent and 3% through financial institutions channels. For the same period, the product mix included 80% conventional, 14% FHA, 4% VA and 1% each USDA/RHS and conventional jumbo product. The company follows investor and insurers’ underwriting guidelines with Stearns overlays that are more restrictive. Approximately 50% of appraisals are performed by a separate entity with the same ownership structure as Stearns that undergoes the same level of due diligence and ongoing review as all other independent third party appraiser firms utilized by the company. Stearns quality control (“QC”) reviews are performed both by in house QC staff as well as by an independent third party on random sample of loans that is selected by the vendor. As well, in May 2012, Stearns implemented an internal audit function reporting the company’s Board of Directors. Management has indicated that there were no material audit findings or litigation that would impact their ability to originate mortgage loans in the past 12 months.



Freedom Mortgage Corporation Freedom Mortgage Corporation (“FMC”) is the originator of approximately 12.3% of the loans in this transaction. DBRS performed an on-site operational risk review of FMC and determined that they are an acceptable mortgage loan originator. FMC is a privately held independent mortgage company that was founded in 1990. Stanley Middleman is the sole stockholder and CEO of the company which is headquartered in Mount Laurel, New Jersey. FMC employs almost 2,000 staff and originates residential mortgage loans in all 50 states and the District of Columbia. The company has been a Fannie Mae-approved seller since 1993 and a Ginnie Mae-approved issuer since 1999. The company maintains a stable and experienced leadership team that averages over 25 years of industry experience. The company also employs a knowledgeable underwriting staff of 140 FTEs averaging 10 years of industry experience. In 2012, FMC originated $13 billion of primarily conventional, FHA and VA mortgage loans and anticipates that it will originate approximately the same loan volume in 2013. FMC sources its originations predominantly through its retail, correspondent and wholesale channels. The company underwrites to FNMA, Ginnie Mae and their investor guidelines. Additionally, in certain circumstances the company utilizes credit policy overlays that are more restrictive than the agencies and investors underwriting criteria. All loans are underwritten in-house and there are no exceptions allowed to the respective agency or investor underwriting criteria. The company uses independent third party appraisal management firms and requires that all non-conforming jumbo products have full appraisals and an enhanced desk review. Additionally, FMC requires two full appraisals and an enhanced desk review for all jumbo transactions over $1 million in loan amount. FMC maintains a reliable system of controls and utilizes separation of duties in many of its processes to prevent fraud and errors. Quality Control (“QC”) reviews are performed pre- and post-close on a random and targeted sample of loans. FMC follows agency requirements and as requested by investors to ensure there are no discrepancies in data. FMC also supports a comprehensive regulatory compliance program with an internal compliance department that is independent of the business units. Additionally, management has indicated that, in the past 12 months, there have been no material audit findings or litigation that would impact the firm’s ability to originate mortgage loans. Fifth Third Bank Fifth Third Bank is the originator of approximately 7.5% of the loans in this transaction. In April 2013, DBRS performed a telephone review of Fifth Third Bank and determined that they are an acceptable mortgage loan originator. Headquartered in Cincinnati, Ohio, Fifth Third Bank has been in business for over 130 years and employs 21,000 full-time equivalents (“FTE”). The company operates four main businesses: Commercial Banking, Branch Banking, Consumer Lending, and Investment Advisors. They are among the largest money market managers in the Midwest and, as of March 31, 2013, had $318 billion in assets under care. The Fifth Third Mortgage Company maintains a stable and experienced leadership team that averages over 20 years of industry experience. The company also employs a knowledgeable underwriting staff of 220 FTE of which approximately 65% average more than 5 years of industry experience. In 2012, Fifth Third originated $24 billion of prime quality mortgage loans and anticipates that it will originate approximately the same loan volume in 2013. Fifth Third sources its originations predominantly through retail (telemarketing) and brokers with a small amount produced through correspondents. The company follows FNMA/Freddie Mac underwriting guidelines that may allow specific overlays or exceptions as appropriate. The company uses an independent third party appraisal firm and requires that all jumbo products have full appraisals. Fifth



Third typically requires two full appraisals for loans over $650,000 and will now allow exceptions on loans that were sourced through brokers. Fifth Third maintains a reliable system of controls and utilizes separation of duties in many of its processes to prevent fraud and errors. Quality Control (“QC”) reviews are performed pre-close, post-close and post funding to ensure there are no discrepancies in data. Additionally, Fifth Third supports a focused effort on regulatory compliance with an independent compliance department and legal staff that meet on a monthly basis. Furthermore, management has indicated that there were no material audit findings in the past 12 months and they are using Ernst and young to implement the CFPB regulations. Servicers and Trust Administrator Nationstar Mortgage, LLC Nationstar Mortgage, LLC (“Nationstar”) is the servicer of 92.5% of the loans in this transaction. DBRS performed an on-site review of Nationstar’s servicing platform and determined that they are an acceptable mortgage loan servicer. Headquartered in Lewisville, TX, Nationstar is a residential mortgage loan servicer and originator. In March 2012, Nationstar’s parent, Nationstar Mortgage Holdings Inc. completed an initial public offering and related reorganization transactions pursuant to which all of the equity interests in Nationstar were transferred from Fortress Private Equity Funds III and IV to two direct, wholly-owned subsidiaries of Nationstar Mortgage Holdings, Inc. Following the initial public offering, Fortress owns approximately 78.5% of the company’s common stock. As of Q1 2013, Nationstar serviced a portfolio of over 1.9 million loans with an aggregate unpaid principal balance of $312.5 billion. Since July of 2011, Nationstar has been aggressively acquiring MSRs and subservicing rights to grow its portfolio. From July 2011–July 2012, the company acquired over 547,000 loans with a UPB of $120.8 billion. Additionally, in January 2013 Nationstar agreed to purchase approximately 1.3 million loans with a UPB of $215B, to be boarded on to its platform in stages throughout 2013. As well, in June 2013, Nationstar completed its acquisition of the origination platform and unfunded pipeline of Greenlight Financial Services, including Greenlight’s reverse mortgage division. While Nationstar to date has been able to fully integrate all of its acquisitions, DBRS will continue to closely monitor the company with regard to its ability to continue to purchase more portfolios and platforms and to successfully integrate them into their existing operations. Nationstar operates its servicing platform from its headquarters as well as additional offices located in Indianapolis, IN, Scottsbluff, NE, Denver, CO, Houston, TX and Chandler, AZ. The company has a seasoned management team averaging over 22 years of industry experience. As of June 2013, the servicing platform employed approximately 5,600 FTE. In line with its aggressive acquisition strategy, Nationstar has expanded its servicing staff both through platform acquisitions and reasonable controlled staffing hires which averaged approximately 200-250 FTE per month throughout 2013. Nationstar maintains a reliable control environment. The internal audit function reports directly to the company's Audit Committee. All functions with a high risk rating are audited every 18 months, areas rated medium are audited every two years and Low rated areas are audited every three years. As well, the company maintains a separate QC department that performs periodic process reviews across the servicing platform. In an effort to provide additional oversight to address the servicing platform’s rapid growth, the QC department also validates all servicing process maps on a monthly basis.

Servicers



Nationstar utilizes a suite of proprietary models across its collection and loss mitigation efforts. The models are used to focus file penetration and calling efforts on high risk loans while allowing lower risk accounts to self-cure throughout the month. Once the borrower’s account becomes 16-59 days past due, Nationstar initiates calling efforts until contact is established. Calls continue until a right party contact has been made and a promise to pay or payment is received, or a reasonable resolution has been negotiated. At 60 days past due, loans are assigned a specific single point of contact and are placed in manual dialing campaigns. The single point of contact is responsible for the workout follow-up and all collection efforts until the delinquency is resolved or foreclosure has been completed. Nationstar reports right party contact rates of 30.9% and maintains solid call metrics for hold times and abandonment rates of 7 seconds and 2.2% respectively. Based upon a borrower’s capacity and desire to stay in the home, Nationstar will attempt a modification based on specific investor requirements. The company’s modification waterfall usually follows HAMP then proprietary modifications starting with capitalization mods and then rate/term modifications. Nationstar allows for multiple modifications but looks to cap the number of modifications to three for the life of the loan. Nationstar reports a modification stick rate of 80% at 18-24 months post modification. Fifth Third Bank Fifth Third Bank is the servicer of approximately 7.5% of the loans in this transaction. In April 2013, DBRS performed a telephone review of Fifth Third Bank and believes that the company is an acceptable mortgage loan servicer. Fifth Third Mortgage Company services approximately 549,000 single family residential loans totaling $79.8 billion. The servicing is predominantly FNMA and FHLMC product done primarily out of its platform in Madisonville, Ohio with vendor employees in Manila and Mexico for early stage delinquencies. The company employs a tenured servicing staff of approximately 660 FTE who average nearly five years with the company. Fifth Third utilizes proprietary scoring analysis to development its calling campaigns and approach to collection efforts. Collection strategies, which include early, mid, and late stage teams, focus on properly resolving a borrower’s short-term or long-term issue with an eye on reducing roll-rates, delinquency, and losses, with a strong focus on regulatory and compliance and oversight. Calling strategies begin as early as 3 days past due and include a combination of auto dialer calls, manual calls, outreach letters and door knock representatives who visit homes personally. These efforts continue through default. Loss mitigation tools include Forbearance Plans, Repayment Plans and Modifications. When all of the options above fail, the company utilizes Deed-in-Lieu, Short Sale and Cash for Keys to avoid foreclosure. The workout eligibility analysis considers both hardship and a borrower’s capacity first, with the hope that they can offer a retention option. If Fifth Third determines that maintaining ownership is not an option, they consider disposition with a focus on maximizing net proceeds and reducing their loss exposure. Deficiency notes are negotiated and obtained whenever possible. Once a loan has been foreclosed, the company immediately works to secure the property and assign it to an asset management firm. Currently, Fifth Third has approximately 730 REO assets in their portfolio totaling $116.4 million. Deutsche Bank National Trust Company (“DBNTC”) will act as the Trust Administrator and Custodian for CMLTI 2013-J1. As the Trust Administrator, DBNTC is responsible for the aggregation of monthly servicer reports and remittances. Upon the occurrence of certain servicer events of default under the terms of the servicing agreements, the Trust Administrator may be required to enforce certain remedies on behalf of the issuing entity against such defaulting servicer. In particular, if the applicable servicer fails its

Trust Administrator



obligation to make advances, DBNTC will be obligated to fund such servicing advances and may be directed to terminate the defaulting servicer. DBNTC is also responsible for the administration of the issuing entity, which includes pool performance calculations, distribution calculations and the preparation of monthly distribution reports. As Trust Administrator, DBNTC is responsible for the preparation and filing of all Real Estate Mortgage Investment Conduit (REMIC) tax returns on behalf of the issuing entity. As the Trust Administrator, DBNTC will perform, on behalf of the Trustee, the duties of authenticating agent, paying agent, collateral reporting agent and certificate registrar. Transaction Structure

Class A Certificates

(Senior Certificates)

Class B Certificates

(Subordinate Certificates)

Delaware Trustee: Christiana Trust, a Division

of Wilmington Savings Fund Society, FSB

Servicers: Nationstar Mortgage

Fifth Third Bank

Trust Administrator: Deutsche Bank National Trust

Company

DepositorCitigroup Mortgage Loan

Trust Inc.

SponsorCitigroup Global Markets

Realty Corp.

Issuing EntityCMLTI 2013- J1

OriginatorsNationstar Mortgage LLC

Stearns Lending, Inc.Freedom Mortgage CorporationFi fth Third Mortgage CompanyReal Estate Mortgage Network,

Inc.RMR Financial, LLC

Available Distribution Amount For each related distribution period, the available distribution amount is the sum of:

(1) Scheduled interest (net of aggregate expense fees) and principal payments. (2) Servicer advances of interest and principal on delinquent loans. (3) Full and partial prepayments of principal and prepayment interest shortfalls. (4) Insurance proceeds and net liquidation proceeds. (5) Any other recoveries of funds and repurchase and substitution amounts.

minus: (1) Advances and other amounts that the Servicers and Trust Administrator are entitled to be

reimbursed.

Cash Flow Structure and Features

Transaction Diagram



(2) Related trust expenses not already paid. (3) Amounts payable to a responsible party representing collections received on any loan or REO

property after a repurchase by the responsible party. (4) Amounts deposited to the distribution account in error.

Related trust expenses not already paid include (a) capped extraordinary trust expenses (up to $200,000 annually) and (b) uncapped trust expenses. The uncapped trust expenses relate to the enforcement for breaches of representations and warranties, action against a governmental authority with respect to eminent domain, servicing transfer costs and other expenses of the servicers to which they are entitled to reimbursement by the Trust. When running cash flows for this transaction, DBRS incorporated the capped extraordinary trust expenses (discussed later in the cash flow analysis section) but applied no additional stresses with respect to the uncapped expenses. Priority of Payments On each distribution date, the available distribution amount will be applied in the following order of priority:

(1) Pay the current and unpaid interest to the Class A-1, Class A-2 and Class A-IO Certificates, pro rata. (2) Pay the scheduled principal and the allocated share of unscheduled principal payments (senior

principal distribution amount) pro rata to the Class A-1 and Class A-2 Certificates in accordance with the senior prepayment percentages set forth in the table below.

(3) Sequentially to Classes B-1, B-2, B-3, B-4 and Class B-5 Certificates, the current and unpaid interest and then each class’s pro rata share of principal payments (“IPIP”). The principal payments to the Class B Certificates consist of the scheduled principal and their allocated share of the unscheduled principal payments subject to certain performance tests as described below in “Step-Down Test”.

(4) To the Class LT-R and Class R Certificates, any remaining amounts.

Table: Senior Prepayment Percentage Distribution Date Occurring in the Period Senior Prepayment Percentage

Prior to November 2018 100% November 2018 to October 2019 the Senior % plus 70% of the Subordinate % November 2019 to October 2020 the Senior % plus 60% of the Subordinate % November 2020 to October 2021 the Senior % plus 40% of the Subordinate % November 2021 to October 2022 the Senior % plus 20% of the Subordinate % November 2022 and thereafter the Senior %

Step-Down Test The step-down test consists of a delinquency and a cumulative loss component. Upon the satisfaction of the two tests (or triggers), the subordinate classes may receive their allocated share of prepayments. The tests are as follows: Delinquency Test: The outstanding principal balance of all loans delinquent 60+ days or more (including loans in foreclosure, REO or bankruptcy status, as well as any mortgages subject to a servicing modification in the prior 12 months), averaged over the preceding six months, as a percentage of the aggregate then-current principal balance of the subordinate classes, does not equal or exceed 50%. Cumulative Loss Test:

Distribution Date Occurring in the Period Cumulative Realized Losses as a % of the Original Aggregate Subordinate Class Principal Amounts

November 2018 to October 2019 20% November 2019 to October 2020 25% November 2020 to October 2021 30%



November 2021 to October 2022 35% November 2022 and thereafter 40%

Applicable Credit Support Percentage The structure locks subordinate classes out of principal distributions if the then-current credit support percentage (defined as (i) the sum of the current balance of a respective subordinate class and all classes subordinate to it divided by (ii) the total then current collateral balance) fall below the applicable credit support percentage as indicated in the table below. In such instances, these principal distributions will be redirected to the more senior classes to accelerate their pay-downs. Table: Applicable Credit Support Percentage

Class Applicable Credit Support Percentage B-1 6.50% B-2 5.45% B-3 4.45% B-4 4.10% B-5 1.60%

Enhanced Structural Features There are certain structural enhancements in the CMLTI 2013-J1 transaction, compared to a traditional shifting interest structure. The transaction benefits from a subordination floor of 2.00% of the collateral principal balance at issuance. This prevents a certain level of credit support from leaking out of the capital structure even when the transaction is performing within expectation (i.e. the subordinate classes are receiving unscheduled principal). Such subordination floor also provides protection against tail risk when the pool reduces to a small loan count. Allocation of Realized Losses Realized losses will first be allocated in a reverse sequential order from the most subordinate class and up (Class B-5, Class B-4, Class B-3, Class B-2 and Class B-1, in that order), until the principal balance of each class is reduced to zero. Second, losses will be applied to Class A-2 until reduced to zero. Third, losses will be applied to Class A-1 until reduced to zero. Cash Flow Analysis DBRS generally undertakes a detailed structural analysis that encompasses 40 cash flow scenarios. The cash flow modeling assumptions focus on the following risk factors:

(1) Prepayment speeds (2) Timing of losses (3) Interest rate stresses (when there is a mismatch between collateral and bond coupons)

DBRS incorporates a dynamic cash flow analysis in our rating process. As indicated in the table below, a baseline of five prepayment scenarios (under two Intex conventions – Standard and Max4) and two loss timing curves were applied to test the resilience of the rated classes. No interest rate stresses were run for this pool as the mortgages are fixed rate and the bonds bear coupons subject to the weighted average of the net mortgage rates (Net WAC). Therefore, DBRS ran a total of 20 cash flow scenarios for this transaction. A 60+ days delinquency curve was approximated based on the collateral attributes of the

4 Standard: The standard prepayment rate consists of voluntary prepayments only. Prepayment amount and default amount are applied to the loans independently. Max: Intex will first apply the defaulted amount, then apply the prepayment amount such that the total amount applied is equal to the larger of the prepayment or the default amount.



pool. Coupled with the losses derived from the RMBS Insight model, DBRS tested both the delinquency and cumulative loss triggers as part of the step-down test. Table: 20 Cash Flow Scenarios Applied by DBRS for CMLTI 2013-J1

DBRS Cash Flow Scenario Prepayments Intex Prepayment Convention Loss Timing 1-5 5 – 25% CPR Standard Front-loaded

6-10 5 – 25% CPR Standard Back-loaded 11-15 5 – 25% CPR Max Front-loaded 16-20 5 – 25% CPR Max Back-loaded

In a shifting interest structure, the bonds typically need additional subordination relative to expected losses, particularly in a back-loaded loss timing environment. As scheduled principals are distributed to the subordinate classes from deal inception, credit support for the more senior classes gradually leak out from the capital structure. The later the losses occur, the lower level of credit support remains to cover such losses. As a result, the proposed structure typically warrant higher credit enhancement by approximately 0.25% to 1.00% (from the lowest to the highest ratings levels) to cover losses at the respective ratings. For this transaction, capped extraordinary trust expenses, up to $200,000 annually, may be paid from available funds before any distribution to the securities, thus potentially reducing the interest and principal available to the certificate holders. DBRS ran additional cash flow stresses to capture these potential expenses to ensure that there will be no ultimate principal writedowns on any rated bonds. As a result, the proposed structure warranted higher credit enhancement. DBRS’s ratings do not address the likelihood that there may be interest shortfalls as a result of the extraordinary trust expenses in any given month. Rating Category Analysis DBRS employs various home price assumptions in its credit analysis at each rating category. Although an important driver of defaults and loss severities, home prices alone do not necessarily warrant rating changes. Many other factors including economic measures and prepayment behaviors can also cause changes in transaction performance. Higher rating levels by design have the ability to withstand increasing stresses than the lower rating levels. Rating Category Stresses DBRS incorporates home prices, asset correlation and simulation in determining rating category stresses. Associated with each rating category is a home price or market value decline scenario. All future house values are adjusted downward by this percentage. The adjustment is applied in addition to a) the peak-to-trough home price forecast scenario, b) distressed sale discount and c) further property value haircuts by property and loan characteristics as described in the “Key Loss Severity Driver” section. The table below illustrates the key home price decline assumptions for each rating category. Table: Home Price Decline Assumptions by Rating Category

Rating Category

Peak-to-Trough Forecast*

Base Home Price Decline

Distressed Sale Discount

Total Home Price Decline

AAA -7% -28% -31% 54% AA -7% -25% -31% 52% A -7% -20% -31% 49%

BBB -7% -15% -31% 45% BB -7% -9% -31% 41%



B -7% -5% -31% 39%

* Further market value haircuts by property and loan characteristics are not included in this example. The example uses a 7% peak-to-trough forecast which represents the DBRS national forecast. Actual forecasts vary by MSA and are estimated by the DBRS Peak-to-Trough Forecast Model as described in the “Key Loss Severity Drivers” section. Asset correlation is determined by the level of concentration (in geography and loan size) and credit quality. A simulation approach is utilized to determine the portfolio-level distribution of default and recovery. Simulations are run until the probability of exceeding the estimated rating stress level is less than a target value, or confidence interval, as established by the DBRS idealized default table. Third-Party Due Diligence JCIII and Associates, Inc. (“JCIII”), LenderLive Network Inc. (“LenderLive”) and Opus Capital Markets Consultants, LLC (“Opus”) (together the “TPR Firms”) performed the third-party due diligence review for this transaction. DBRS has conducted on-site reviews of the TPR Firms and believes that the companies have adequate staffing, infrastructure and capabilities to effectively perform residential mortgage due diligence reviews. For this transaction, 100% of the final pool was reviewed for credit, compliance and property valuation. Data integrity checks were also performed on the pool. For this transaction, payment history reviews were not performed given the relatively low seasoning of the loans. The scope of the due diligence review included:

(1) Regulatory compliance – The compliance review included testing for certain Federal, State and Local regulatory compliance conditions.

(2) Credit – The detailed credit review included a compare of various documentation in the loan files to the origination guidelines. The TPR Firms recalculated various ratios including DTI, LTV and CLTV and compared them against the origination guidelines. Asset statements were reviewed to assess whether required funds and reserves to close the loan were documented and were within the origination guidelines. The TPR Firms verified and confirmed that FICO and credit histories were within the origination guidelines. The loan files were evaluated for evidence of borrower’s willingness and ability to repay the obligation and reviewed for reasonability of income, employment, assets and occupancy status.

(3) Valuation Review – The review included making a reasonable assessment of whether the appraisal was thorough, complete, and the appraised value appeared to be supported.

The TPR Firms performed an initial review and assigned grades for compliance, credit and valuation. Following the initial grading, additional information and supporting documentation may have been provided by the originators and the Sponsor to clear outstanding conditions. DBRS received a comprehensive loan-level analysis from The TPR Firms that includes initial grades, final grades and detailed commentary on the rationale for any changes in grades including compensating factors and waivers. DBRS reviews due diligence results and generally makes adjustments to documentation types, property values and hence loss rates on certain loans, as described in the relevant sections in this report. DBRS also indexed the property values using Case-Shiller home price indices on certain loans. For this transaction, the TPR Firms provided DBRS written attestations that generally includes the following:

(1) The diligence review was conducted without influences from the sponsor of the transaction. (2) The review was completed in accordance to DBRS third-party due diligence criteria. (3) The reviewers have the appropriate level of experience to complete the due diligence review.



(4) Ample time was given to the firm to perform the review and report the findings to DBRS. Representations and Warranties Each originator has made certain representations and warranties concerning the mortgage loans. Such representations and warranties will be restated in the Assignment and Recognition Agreements (“AAR”) to and for the benefit of the Trust and the certificateholders either as of the Closing Date or a date prior to closing date. With respect to the latter, the Sponsor or the Servicer will be covering the gap for the period between the restatement date (prior to closing date) and the Closing Date. The representations and warranties provided for the transaction substantially conform to DBRS Representations and Warranties Criteria for U.S. RMBS Transactions.

Upon the occurrence of a trigger event (a loan becomes seriously delinquent, a loan incurs a loss, or an actual notice of a breach is given to the Trust Administrator), the Trust Administrator will notify the Originator and Sponsor and include a notice on the next distribution date statement. The Responsible Party (the applicable Originator or the Sponsor) may effect a remedy by curing any breach of representations and warranties, repurchasing the related mortgage loan or substituting a similar mortgage loan (“Effective Remedy”). If a remedy notice is not submitted during the Initial Period, the Trust Administrator shall engage a third-party (“Qualified Reviewer”) to review each such loan to determine if the Responsible Party is obligated to remedy the breach. If as the result of such review, there is evidence of a breach of a representation and warranty that meets the remedial conditions, the Responsible Party may complete an Effective Remedy or submit a dispute notice. If it is concluded that there is no breach, or if the Responsible Party submits a dispute notice, the loan will become eligible for arbitration. In accordance with the transaction documents disputes are ultimately subject to determination made in a related arbitration proceeding.

Enforcement Mechanism

http://dbrs.com/research/231098/representations-and-warranties-criteria-for-u-s-rmbs-transactions.pdf



Standard Process for Review and Arbitration TA Trust AdministratorCH Controlling HolderQR Qualified ReviewerRP Responsible PartyAA Alternate AppointerQA Qualified ArbitratorDP Directing Party

Trigger Event occursReported on 1st Distribution Date

Effective Remedy in Initial Period

Y/N?

Remedial Status Reported on 2nd Distribution Date

Review Status Reported on 2nd Distribution Date

Yes No

TA engages QR promptlyGenerally within 10 business days

Two failed attempts to engage QR

QR completes review & submits Final Review Determination to

RP & TAGenerally in 60 days from receipt

of documents

RP completes

Effective Remedy Y/N?

Remedial StatusNo:

RP sends Dispute Notice

QR is engaged

CH or AA submits Arbitration Request

NoticeGenerally within 30

daysY/N?Arbitration Status

Reported on the next distribution

statement

NoYes:

Identify three QA for TA to

retain

No further action needed & RP has no

obligation to remedy

Arbitration Eligible Status

Reported on the next distribution statement

RP, TA & DP will reasonably cooperate to engage three QA

Within 10 business days post Arbitration Election Period

Repeat process until three QA are engaged

QA determines by majority vote if

review was properly performed

Y/N?Final Review

Determination: Upheld or Reversed

NoYes

(2) QA can nonetheless make a determination on the

breach

Final Arbitration Determination wil be final and binding

TA can cease review process

with permission from CH

Yes:RP sends Remedy Notice

(1) QA can revert loan back to Review Status

OR

Initial Period

Review Period

ArbitrationPeriod

Breach meets remedial

conditions No

breach



The representations and warranties from the Originators remain in effect for the life of the transaction. The loans (other than those originated by Fifth Third Bank) benefit from representations and warranties back-stopped by Citi, a wholly owned subsidiary of Citigroup Inc. in the event of an originator’s bankruptcy or insolvency proceeding, and if the originator fails to cure, repurchase or substitute such breach or loans. However, such backstop is subject to sunset provisions as described below. Sunset Provisions The Sponsor backstop on two representations and warranties with respect to fraud and underwriting shall generally expire if notice of such breach is not given by 36 months after the Cut-off Date. However, these sunset provisions also give consideration to loan performance. The sunsets will occur on the later of (a) 36 months after the Cut-off Date if the borrower has made 36 scheduled payments and (b) 36 months after the delinquent loan is cured if the borrower has become 30 days or more delinquent. Other than the underwriting and fraud representations, the rest of the representations and warranties will remain in effect for the life of the transaction. DBRS reviewed the various aspects of the transaction representations and in conjunction with a detailed analysis of (a) the quality of the underlying prime mortgage loans, (b) third-party due diligence sample size and results and (c) financial assessment of the entities providing such representations and warranties, DBRS deems the representations and warranties standard for the CMLTI 2013-J1 transaction as acceptable. However, the relatively weak financial strength of certain originators and the sunset provisions on the backstop by Citi still demand additional penalties and credit enhancement protections. To capture this potential weakness, DBRS discounted the Sponsor backstop and adjusted downward the origination score of certain originators and hence increased the loss rates. DBRS based its analysis on representations and warranties standard on the following factors:

(1) Strong credit quality of the underlying prime mortgages. (2) The Originators will provide standard life-time representations and warranties with no sunset

provisions. (3) Third-party due diligence was conducted on 100% of the pool with satisfactory results, which

mitigates the risk of future representations and warranties violations. (4) Automatic reviews for breaches of representations are triggered on any loan that becomes more

than 120 days delinquent or incurs a loss upon liquidation. (5) All disputes are ultimately subject to determination made in a related arbitration proceeding.

In certain cases, DBRS assigned additional penalties and adjusted certain loan attributes based on third-party due diligence results to provide added cushion in its expected losses analysis.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link or by contacting us at [email protected]. In accordance with the operational risk framework outlined in the DBRS RMBS Insight model and rating methodology, the framework takes into consideration aspects of our originator and servicer assessment,

What DBRS Thinks…

Rule 17g-7 Report

Sponsor Backstop

http://dbrs.com/research/257806/dbrs-17g-7-disclosure-report-csmc-trust-2013-ivr3.pdf

mailto:[email protected]



the results of the third-party due diligence review and the strength of the representations and warranties provided which may result in a credit or penalty applied to the default and loss severity rates of a mortgage pool. Methodologies Applied The following are the primary methodologies DBRS applied to assign a rating to the above referenced transaction, which can be found on www.dbrs.com under the heading Methodologies, Alternatively, please contact [email protected], or contact the primary analysts whose information is listed in this report:

• RMBS Insight: U.S. Residential Mortgage-Backed Securities Loss Model and Rating Methodology • Unified Interest Rate Model for U.S. RMBS Transactions • Third-Party Due Diligence Criteria for U.S. RMBS Transactions • Representations and Warranties Criteria for U.S. RMBS Transactions • Legal Criteria for U.S. Structured Finance Transactions

Monitoring and Surveillance The transaction will be monitored in accordance with the DBRS U.S. RMBS Surveillance Methodology.

http://www.dbrs.com/

mailto:[email protected]

http://dbrs.com/research/244808/rmbs-insight-u-s-residential-mortgage-backed-securities-loss-model-and-rating-methodology.pdf

http://dbrs.com/research/242596/unified-interest-rate-model-for-u-s-rmbs-transactions.pdf

http://dbrs.com/research/241165/third-party-due-diligence-criteria-for-u-s-rmbs-transactions.pdf

http://dbrs.com/research/231098/representations-and-warranties-criteria-for-u-s-rmbs-transactions.pdf

http://dbrs.com/research/230081/legal-criteria-for-u-s-structured-finance-transactions.pdf

http://dbrs.com/research/244809/u-s-rmbs-surveillance.pdf



Note: All figures are in USD unless otherwise noted.

This report is based on information as of October 2013, unless otherwise noted. Subsequent information may result in material changes to the rating assigned herein and/or the contents of this report.

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Citigroup Mortgage Loan Trust 2013-J1 Pre Sale Report

Documents

Transcript of Citigroup Mortgage Loan Trust 2013-J1 Pre Sale Report