A pool of seasoned performing and re-performing home loans will support the $487.8 million issuance of mortgage-backed securities deal from the Citigroup Mortgage Loan Trust, 2023-RP2.
After SitusAMC and Clayton Services performed due diligence on all of the loans in the transaction, Fitch applied some ratings adjustments to address outstanding liens and taxes that could take priority over the subject mortgage, missing modification agreements and material TRID exceptions, according to a pre-sale report from Fitch Ratings.
Fitch also noted that non-interest-bearing principal forbearance, or deferred amounts, is outstanding on 998 loans, which comes to about $12.1 million. Fitch included these amounts when calculating the borrower's loan-to-value, despite the fact that the lower payment and amounts are not owed during the term of the loan.
Yet the deal has one very positive aspect, which Fitch highlighted, and that' the representation and warranty framework. The loan seller, Citigroup Global Markets Realty Corp.—also the deal's sponsor—provides the loan-level representations and warranties for the trust. Further, 293 loans were considered newly originated in Fitch's analysis, because they were seasoned less than 24 months. The new origination loans, as Fitch considers them, are subject to additional representations that aren't included in the R&W framework. The rating agency treated those loans as Tier 3 loans, it said.
Citigroup is the lead underwriter on the deal, which is shaping up to be a smaller deal with higher quality assets, compared with the CMLTI 2022-RP4, the earliest deal for comprison. CMLTI 2023-RP2 has a loan count of 2,669—a moderate amount compared with the size of previous collateral pools. The average loan balance was $182,777, the smallest since the CMLTI 2022-RP4, according to Fitch. On a weighted average (WA) basis the cumulative LTV was 52.9%, the smallest since CMLTI 2022-RP4. At 718, its WA model FICO score is the highest, and its original debt-to-income ratio was 39.5%, since the CMLTI 2022-RP4.
The current deal also has the highest concentration of full documentation loans, at 85.3%. Also the percentage of clean current loans is 39.0%, the highest amount compared with the CMLTI 2022-RP4 deal.
Fitch plans to assign 'AAA', 'AA' and 'A' ratings to the A-1 through M-1 classes of notes, respectively; and 'BBB', 'BB' and 'B' to the M-2, B-1 and B-2 notes, respectively.
