A pool of seasoned performing and reperforming loans, including some that are in early stages of delinquency, will secure the latest issuance from Citigroup Mortgage Loan Trust. The transaction, 2022-RP5 will raise about $322.7 million in notes.
The issuance amount includes $26.7 million of the aggregate pool balance in noninterest bearing deferred principal amounts as of the cutoff date, according to FitchRatings.
From a credit perspective, Fitch raised a number of concerns, especially with pay histories among distressed assets. As of the cutoff date, 2.9% of the pool—comprised of 1,705 loans—was 30 days delinquent, and 68.3% of the loans had experienced one or more delinquencies in the past 24 months, the rating agency said.
The rest of the portfolio, about 28%, has had clean payment histories for at least the past two years, however, so Fitch reduced the pool's lifetime default expectations to account for the loans that have paid on time.
Other aspects of the deal offset the impact of distressed mortgages. For one, the pool consists of loans with a weighted average (WA) combined loan-to-value (LTV) ratio of 86.7%. Also, property values on the loans have been updated, translating to a WA current, month-to-month combined LTV of 51.4% and sustainable LTVs of 58.5%.
"This reflects low leverage borrowers and is stronger than in recently rated SPL/RPL transactions," according to a pre-sale report from the rating agency.
Citigroup is lead underwriter on the deal, and related entities are serving as sponsor and seller, depositor and representations and warranty provider, according to Fitch. The trust operates through a senior-subordinate, where a sequential-pay structure will lock out subordinated notes until the most senior notes in the deal have been repaid, according to Fitch.
In addition to those forms of credit enhancement, initial enhancement ranges from 23.5% on the A-1 class to 3.85% on the B-2, Fitch rated notes.
Fitch expects to assign a 'AAA' rating to the most senior class, A-1. The rest of the notes are slated to receive ratings of 'AA' through 'B'.
On average, the loans have a balance of $188,973, a WA model FICO of 679, plus an original debt-to-income ratio of 47.2%. An overwhelming majority of the pool, 88.6%, will fund a primary residence, and 85.2% of mortgages are on single-family properties.
