Citigroup Mortgage Loan Trust 2022-RP3 (CMLTI 2022-RP3) will issue $725.2 million in Series 2022-RP3 Mortgage-Backed Notes with a preliminary category A-1 to AAA (sf) DBRS Morningstar rating that reflects 28.40% credit enhancement via subordinated notes Notes.
The notes are backed by 5,173 loans with a total principal balance of approximately $1.013 billion, including 2,256 mortgages with a total non-interest bearing deferred amount of more than $55.2 million, representing 5 .5% of the total principal balance.
The CMLTI 2022-RP3 securitization comprises a portfolio of approximately 106 months of seasoned, performing and re-performing first-rank residential mortgages.
Up to 93.7% are modified loans as determined by the Issuer. DBRS does not consider “deferrals or forbearances due to coronavirus-related difficulties as modifications,” but classified 76.1% of the loan pool as modified since 62.4% of loans had modifications over 100 years ago. two years, according to the staff report.
As of the May 31, 2022 cut-off date, 95.6% of loans were outstanding, of which 2.1% are bankrupt loans and 4.4% are 30 days past due. About 12% of loans have not been 30 days late in the last 24 months, and up to 56.5% of loans have not been 30 days late in 12 months.
DBRS does not rate any other class in this transaction, according to analysts Natalie Triana, Rolando Tan, Quincy Tang and Kathleen Tillwitz, who reviewed the transaction.
Citigroup Global Markets Realty Corp. (CGMRC) will transfer the loans to CMLTI 2022-RP3 through its custodial subsidiary, Citigroup Mortgage Loan Trust Inc.
Additionally, “to satisfy credit risk retention requirements” as a sponsor of the securitization, the analysts wrote, CGMRC will acquire and retain a qualifying vertical interest of 5% in each class, other than the R Notes.
Rushmore Loan Management Services LLC will begin servicing loans, likely by August 2. The manager or other parties to the transaction “will not advance arrears, principal and interest (P&I) on any of the mortgages,” the analysts wrote.
The transaction features a sequential payment cash flow structure that allows principal proceeds to cover interest shortfalls on the Notes, with the understanding that such shortfalls on the Class M-1 and other subordinated P&I obligations “will not will not be paid from the principal proceeds until the more senior classes are withdrawn,” the analysts wrote.
The interest rate on all ratings is fixed at the weighted average net coupon (Net WAC) of the mortgages, “rather than a fixed capped rate, for certain categories”, which is similar to the former CMLTI 2022 rated by DBRS Morningstar – RP1 securitization. Analysts have incorporated Net WAC into the cash flow analysis because it is “a nuanced feature used to prevent the creation of net WAC excess spreads and deficits.”