The latest securitization of reperforming residential mortgages offers investors less protection against future losses than the previous deal, and has earned correspondingly lower safety scores from Fitch Ratings.

Citigroup Mortgage Loan Trust 2015-A pools $297 million of reperforming fixed and hybrid adjustable-rate mortgages, according to Fitch's presale report. The loans were once delinquent, but have all been current for the past two years. Approximately 49% have received one or more modifications since origination.

The class A-1 notes to be issued by the trust benefit from credit enhancement of 30% and Fitch expects to rate them A.

By comparison, the senior tranche of the most recent nonperforming mortgage securitization, Towd Point Mortgage Trust 2015-1, benefited from credit enhancement of 50%, earning an AAA from Fitch. The pool of loans backing that deal, which was sponsored by Cerberus Capital Management, was arguably riskier, and so warranted higher credit enhancement. Roughly 16.3% of the loans had experienced a delinquency in the past 24 months.

Still, Fitch apparently felt that the additional 20 percentage points of credit enhancement more than offset the additional risk, and so warranted a higher credit rating.

There's another difference between the collateral of the two deal that arguable make the Citigroup pool of loans less risky. A smaller portion of the loans backing the deal, or 38%, are subject to future payment shock because they have variable rates that have yet to reset. (Roughly 5% are step rate loans with coupons that increase gradually over time and 35% pay only interest for an initial period). By comparison, 67% of adjustable-rate mortgages included in the Cerberus transaction.

Prior to that, in December 2014, Fitch rated a $644 million deal sponsored by Credit Suisse called RPMLT 2014-1 Trust. By some measures, the pool of loans backing this deal was even riskier than either Towd Point or CMLT 2015-1; approximately 21% had experienced a default in the previous 24 months, and roughly 5.6% were still behind on payments. The senior tranche issued by the trust earned a below-investment grade rating of BB from Fitch. Subordination was set at 48.95%.

Citigroup's deal will issue three subordinate tranches. Fitch expects to assign a BBB rating to the $18 million of class B-1 notes, a BB rating to the $4.9 million of class B-2 notes and a B rating to the $4.4 million of B-3 notes.

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