Citigroup Mortgage Loan Trust 2022-RP3 (CMLTI 2022-RP3) will issue $725.2 million in Series 2022-RP3 mortgage-backed notes with a provisional Class A-1 at AAA (sf) DBRS Morningstar rating that reflects 28.40% of credit enhancement via subordinated notes.
The notes are backed by 5,173 loans with a total principal balance of roughly $1.013 billion, including 2,256 mortgages with an aggregate non-interest-bearing, deferred amount of over $55.2 million that represents 5.5% of the total principal balance.
The CMLTI 2022-RP3 securitization features a portfolio of approximately 106 months seasoned, performing and re-performing first-lien residential mortgages.
Up to 93.7% are modified loans as determined by the Issuer. DBRS does not consider “deferrals or forbearances due to a coronavirus-related hardship as modifications,” but classified 76.1% of the loan pool as modified since 62.4% of the loans experienced modifications more than two years ago, according to the rating report.
As of the May 31, 2022 cut-off date, 95.6% of the loans were current, of which 2.1% are bankruptcy-performing loans and 4.4% are 30 days delinquent. About 12% of the loans have not been 30 days delinquent for the past 24 months, and up to 56.5% of the loans have not been 30 days delinquent in 12 months.
DBRS does not rate any other classes in this transaction, according to analysts Natalie Triana, Rolando Tan, Quincy Tang and Kathleen Tillwitz, who reviewed the transaction.
Citigroup Global Markets Realty Corp. (CGMRC) will transfer the loans to CMLTI 2022-RP3 through its depository affiliate, Citigroup Mortgage Loan Trust Inc.
In addition, ”to satisfy the credit risk retention requirements” as the securitization sponsor, the analysts wrote, CGMRC will acquire and retain a 5% eligible vertical interest in each class, other than R Notes.
Rushmore Loan Management Services LLC will start servicing the loans, likely by August 2. The servicer or other parties to the transaction “will not advance delinquent, principal and interest (P&I) on any of the mortgages,” analysts wrote.
The transaction features a sequential-pay cash flow structure that allows principal proceeds to cover interest shortfalls on the notes, granted such shortfalls on Class M-1 and more subordinate P&I bonds “will not be paid from principal proceeds until the more senior classes are retired," analysts wrote.
The interest rate on all the notes is set at the Net Weighted-Average Coupon (Net WAC) of the mortgages, “rather than a fixed-capped rate, for certain classes,” which is similar to the prior DBRS Morningstar-rated CMLTI 2022-RP1 securitization. Analysts incorporated Net WAC in the cash flow analysis since it is “a nuanced feature used to prevent the creation of excess spread and Net WAC shortfall amounts.”
