Citigroup is marketing $216 million of reperforming residential mortgage-backed securities and Two Harbors returns to market with its fourth prime RMBS of the year.

Two Harbors Investment Corp. will deliver more of the same ultra-safe RMBS paper in its fourth transaction of the year, Agate Bay Mortgage Trust 2015-4. The trust is backed by a pool of 319, 30-year, fixed-rate mortgage loans with a balance of $252.9 million. Nearly half of the loans, 49.7%, are for properties located in California.

Much like its three previous deals, Agate Bay 2015-4 pools loans with strong credit quality. Borrowers in the pool have a weighted average FICO of 775 and an original combined loan-to-value ratio of 64%.

All of the loans are subject to new ability-to-repay rules and qualify for safe harbor status.

Standard & Poor's has assigned AAA ratings to the senior notes to be issued by the trust. Credit Suisse and JPMorgan are the lead underwriters.

Investors can find diversification away from the prime-quality RMBS in the crop of reperforming RMBS pipeline building.

Citigroup, the latest issuer, is pooling $216 million worth of reperforming, residential mortgage loans in its second deal this year backed by the asset class. Citigroup Mortgage Loan Trust 2015-RP2 pools fixed- and hybrid adjustable-rate mortgages, according to a Fitch Ratings presale report.

Approximately 50% of the loans have received one or more modifications since origination. All of them have made consecutive on-time payments under the original or modified note terms for at least the past two years.

Fitch assigned preliminary A ratings to the $159.5 million of class A-1 notes that benefit from 26.35% credit enhancement. The notes have a final maturity of January 2053. Fitch isn't rating either the $57 million of subordinate class B notes or $3 million of FB notes.

The class A and B notes are supported by 816 reperforming mortgage loans and the FB notes are supported by the deferred principal balances for the 57 loans that have received principal deferral modifications.

All of the loans were purchased in the secondary market from a number of sources.

Reperforming loans feature much lower LTVs relative to prime RMBS pools. The latest Citipgroup deal pools loans with a slightly lower average LTV of 78.8% compared to the average 80% LTV in the issuer's previous transaction, CMLTI 2015-A.

However, borrowers in Citigroup's current pool have a lower weighted average FICO of 687 and a higher debt-to-income ratio of 42.1% compared to 713 and 41.1% in its previous deal.

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