Citigroup plans to issue another $421 million of re-performing residential mortgage bonds from its Citigroup Mortgage Loan Trust, according to DBRS.
CMLT 2015-PS1 bundles loans that have never been modified or been in foreclosure. By comparison, the last two securitizations issued by Citigroup this year, CMLT 2015-RP2 and CMLT 2015-A, both included loans that had either been modified or were in foreclosure.
Citigroup latest deal's also benefits from loans with low levels of delinquencies; all of the loans being securitized have made consecutive, on-time payments over the last two years.
The notes to be issued by the trust can be grouped into two categories: Group I notes are backed by 646 adjustable-rate loans with a total principal balance of $197. 4 million and group II notes are backed by 1,104 fixed-rate first-lien loans with a total principal balance of $236.6 million. Group I notes are due in June 2048 and group 2 notes are due in September 2042.
The loans backing group I notes are approximately 110 months seasoned and are 100% current; loans backing group II notes are approximately 86 months seasoned and also 100% current. Nearly all of the loans pool under the 2015-PS1 have been current for the past 36 months and none have had no delinquencies in the past 24 months. None of the loans are in bankruptcy nor have they ever been modified.
DBRS assigned preliminary 'AA' ratings to the group I, class A notes with 14.6% credit enhancement as well as to group II, class A notes with 13.85% credit enhancement.
Group I loans are serviced by Fay Servicing and Shellpoint Mortgage Servicing (SMS); group II loans are serviced by Fay, SMS and CitiMortgage. All of the servicing of loans will be transferred to Fay by January 1, 2016.
Borrower credit scores and loan-to-value (LTV) ratios of the loans in the collateral pool are generally stronger than other re-performing portfolios reviewed by DBRS.
Group I loans have a weighted average FICO of 646 and the loans have a WA LTV of 79.2%; group 2 has WA FICO of 742 and WA LTV of 76.5%. By comparison Cerberus Capital Management's TOWD Point Mortgage Trust 2015-5, the last re-performing RMBS rated by DBRS, featured a pool of loans with a WA FICO of 682 and a WA LTV of 80.2%.