Citigroup's prime residential mortgages to support $323.6 million in MBS

The Citigroup Mortgage Loan Trust is preparing to issue $323.6 million in securitized bonds, secured by a pool of mostly non-agency eligible, prime residential mortgages.

CMLTI 2025-3 will issue notes through classes A and B notes and will repay investors through a senior-subordinate and shifting-interest structure, according to the Kroll Bond Rating Agency.

According to Asset Securitization Report's deal database, coupons range from 0.37% on the most senior interest-only notes, with ratings from Aa1/AAA from Moody's Ratings and DBRS, to 6.73% on the B1 tranche, the most senior of the subordinate notes. The B1 tranche received Aa3 and AA ratings from Moody's and DBRS.

The three super senior tranches of notes, with AAA ratings from KBRA and Aaa from Moody's, benefit from credit enhancement that equals 15.0% of their note balances. The senior support class, with Aa1/AAA ratings benefits from 9.40% in credit enhancement.

Citigroup Mortgage's pool of 365 fixed-rate mortgages, all first lien, breaks down to mostly non-agency loans (61.4%). The rest, 38.6%, are agency eligible. PennyMac Loan Services, while Fay Servicing will service 52.2% of the pool. PennyMac entities, specifically PennyMac Loan Services and PennyMac Corp. account for 47.8% of the pool, while Rocket Mortgage, First United Bank and Trust and United Wholesale Mortgage represent 23.0%, 10.8% and 10.0% of the pool.

There are several key elements that strengthen the credit to the notes, including Citigroup Global Markets Realty's strength as an aggregator. Also, the borrowers

have an original FICO score of 765, on a weighted average (WA) basis. All the loan in the pool benefit from third-party due diligence, and even though they aren't all agency eligible, all the loans are qualified.

Mortgages have an average balance of $886,818. On a non-zero WA basis, borrowers have an annual income of $447,724, with reserves of $443,356. Also, the pool has an LTV ratio of 74.7%, on a WA basis.

Geographically, the pool appears to be heavily concentrated, with the top three states California (39.4%), Texas (18.1%) and Florida (7.9%) accounting for 65.4% of the pool.