Citigroup markets its first RPL mortgage securitization of 2019

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Citigroup went to market with its first securitized portfolio of reperforming residential mortgage loans this week.

According to presale reports issued Thursday, Citigroup Mortgage Loan Trust 2019-RP1 is a pool of 1,330 first-lien mortgage loans with a remaining balance of $262.8 million that will back an issuance of 11 classes of notes.

The capital stack includes a $162.6 million Class A-1 tranche with 38% credit enhancement and preliminary triple-A ratings from DBRS and Moody’s Investors Service.

Citi’s deal is its ninth since establishing the RPL shelf in 2015.

The pool’s loans are all current, with 49.6% current over 24 consecutive months. The presale reports state that 88.8% have been previously modified. The deal has a WA current loan-to-value figure of 93.5% according to Moody’s estimates (95.4% as measured by DBRS).

The weighted average borrower FICO score of 662 is among the weaker of RMBS securitization issuers in the nonperforming/reperforming space, including top two issuers New Residential Investment Corp. and FirstKey Mortgage (which sponsors asset-backeds through its Towd Point shelf).

The Citi loans, acquired from third-party sellers which originated the loans between June 1990 and June 2014.

The WA age of the loans is 149 months, and none are subject to the Consumer Financial Protection Bureau’s ability-to-pay and qualified mortgage rules, according to DBRS. However, Moody’s noted there could be some future losses to the trust due to exceptions with truth-in-lending and third-party due diligence compliance.

“Borrowers can still raise these legal claims in defense against foreclosure as a set off or recoupment, and win damages that can reduce the amount of the foreclosure proceeds,” Moody’s report stated.

The pool's cumulative loan balance does not include a principal reduction alternative amount of $572,484. That represents potential sums that Citi would forgive if particular borrowers maintain a timely payment history, according to DBRS.

The loans are serviced by Fay Servicing.

About 11.3% of the loan balance in the pool is non-interest-bearing, and 10.8% of the loans (by pool balance) have balloon payments. About 3.1% are reperforming loans that emerged from bankruptcies.

Moody’s expected losses average 13% in its base case scenario; DBRS estimates base-case losses at 12%.

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