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Citigroup readies another reperforming RMBS

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Citigroup is teeing up another reperforming mortgage securitization, according to rating agency presale reports.

Citigroup Mortgage Loan Trust 2018-RP2 is a securitization of 1,139 seasoned performing and reperforming first-lien residential mortgages with a total principal balance of $342.8 million.

The loans have a weighted average updated primary borrower FICO score of 651, a current loan-to-value ratio of 94.1% and a total unpaid collateral balance of $344,794,833. Approximately 10.5% of the pool balance is non-interest-bearing, which consists of both principal reduction alternative (PRA) and non-PRA deferred principal balance.

The loans are approximately 139 months seasoned, and all are current, including the 2.5% held by borrowers in bankruptcy. Nearly 86% of the loans have been modified; for just over half of them, the modifications happened more than two years ago.

By comparison, about 97.2% of the loans backing Citigroup’s previous deal, completed in February, were previously modified, according to Moody's Investors Service.

Moody's expects losses over the life of the deal to be 14% of the collateral, in its base-case scenario. That's up from 13% for the prior transaction.

Both Moody's and DBRS have assigned provisional triple-A ratings to the senior tranche of notes to be issued, which benefits from 40.25% credit enhancement.

Fay Servicing, the servicer, will not advance delinquent principal or interest on any mortgages; however, it is obligated to make advances in respect of homeowner association fees, taxes and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties.

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RMBS Citigroup