A pool of more than 1,000 prime mortgage loans is serving as collateral on the Citigroup Mortgage Loan Trust 2021-INV2 transaction, which will issue about $311.3 million in pass-through certificates at the end of August.
First-lien, fixed-rate mortgages on residential investment properties will back the mortgage-backed securitization deal, for which Citigroup Global Markets is acting as initial note purchaser, according to DBRS Morningstar.
Other Citigroup entities have key roles on the deal, including acting as mortgage loan seller, sponsor and depositor.
PennyMac originated the mortgage loans underpinning the deal, which have an original maturity of 30 years and were underwritten using an agency-designated automated system, DBRS said. PennyMac is also seller and servicer.
To maintain credit support throughout the deal’s term, the capital structure uses a senior-subordinate, shifting-interest cash flow structure that also features a locked-out class and a senior-enhancement floor. The notes have a legal final maturity date of May 2051.
Citigroup Mortgage Loan Trust’s sponsors appear anticipate relatively tight pricing, according to coupon estimates from Moody’s Investors Service, though the coupons do range from 0.49% to 3.0%.
The deal is highly diversified in certain respects, with the top 20 borrowers making up just 5.1% of the entire pool, Moody’s finds. Broken down by place of origination, however, the deal is more concentrated, with California accounting for about 42.1% of the mortgage loans. Five states, California, Washington, Texas, New Jersey and North Carolina account for about 60.5% of the properties underpinning the mortgage loans.
While self-employed borrowers are present on the pool of underlying loans, they represent just 16.3% of the pool, by loan balance. The self-employed also have a high weighted average (WA) FICO score of 763, and low WA original LTV of 62.0%, and low debt-to-income ratio of 35.4%.
Moody’s expect to assign ‘AAA’ ratings to all of the classes of notes that it will assess. DBRS, meanwhile, expects to assign ‘AAA’ ratings from classes A-1 through class A-6, including super senior and senior, interest-only slices. DBRS expects to assign ‘AA’ to class B-1 notes, and ‘A’ to class B-2 notes.
