Citi compiles bevy of 'dirty' currents in next RPL deal

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Citigroup is securitizing more than $1 billion in “dirty” current and delinquent mortgages that its realty arm acquired via auction from Fannie Mae.

According to ratings agency presale reports, Citigroup Global Markets Realty Corp. is sponsoring a $1.06 billion mortgage-backed securities offering that is secured by 6,739 well-seasoned performing and re-performing loans.

Approximately 9.5% of the loans are currently delinquent, and only 12.2% of the loans have a clean payment history for the past 24 months, according to presale reports from Fitch Ratings and DBRS Morningstar.

The loans were purchased from Fannie Mae as part of the GSE’s periodic whole-loan sales auctions of nonperforming and reperforming loans to reduce its exposure to seriously delinquent or troubled mortgage accounts on its books.

Approximately 89% of the mortgages (which include fixed- and adjustable-rate) have been previously modified. The loans are well-aged at an average of 167-169 months since origination, according to the presale reports from each agency.

While more than 90% of the loans were considered current, 11.5% have been delinquent in the past 24 months — and more than 45% within the past year, according to DBRS Morningstar.

Fitch’s report stated that although only about 6% of the loans are in — or have exited — a pandemic-related forbearance plan, analysts have “assumed” most of the delinquencies were recent. While Fitch did not speculate on how many were related to economic fallout from the COVID-19 outbreak, “[t]his transaction has among the highest percentage of dirty current loans Fitch has rated.”

DBRS Morningstar’s report noted the agency expects increased delinquencies, forbearances and potential near-term property value degradation due to the coronavirus pandemic.

The loans have an average balance of $156,869 to borrowers with current weighted average FICO scores of 646 (compared to 683 on Citigroup’s previous re-performing loan securitization this year).

The transaction includes a $695.8 million Class A tranche of notes with preliminary AAA ratings from Fitch and DBRS Morningstar, as well as several classes of mezzanine and subordinate notes.

Citigroup served as the lead underwriter of the deal. The loans will be serviced by Select Portfolio Servicing, which is not required to make advances on delinquent principal and interest payments.

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