Citigroup is securing more than $ 1 billion in "dirty" current and criminal mortgages that its real estate arm acquired through auction from Fannie Mae.
According to the rating agency's presale reports, Citigroup Global Markets Realty Corp. a $ 1.06 billion mortgage-backed securities offering backed by 6,739 well-educated and recurring loans.
According to presale reports from Fitch Ratings and DBRS Morningstar, there are currently around 9.5% of loans defaulted, and only 12.2% of loans have a clean payment history in the last 24 months.
The loans were purchased by Fannie Mae through GSE's regular sales auctions for bad and recurring loans to reduce the risk of serious or troubled mortgage accounts on their books.
Approximately 89% of mortgages (including fixed and adjustable mortgages) have previously been modified. According to each agency's presale reports, the loans have aged well an average of 167-169 months since they were granted.
While more than 90% of the loans were considered short-term, 11.5% were in default in the past 24 months – and more than 45% in the past year, according to DBRS Morningstar.
Fitch's report said that while only about 6% of loans are included in or have left a pandemic-related leniency plan, analysts believed that most of the arrears were recent. While Fitch did not speculate on how many are related to the economic fallout from the COVID-19 outbreak, "his transaction is among the highest percentages of dirty current loans Fitch has rated."
The DBRS Morningstar report found that the agency was anticipating increased arrears, forbearances and possible short-term deterioration in property value due to the coronavirus pandemic.
The loans have an average balance of $ 156,869 for borrowers with a current FICO Weighted Average Score of 646 (compared to 683 for Citigroup's previous loan securitization this year).
The transaction includes a $ 695.8 million Class A tranche of debt securities with preliminary AAA ratings from Fitch and DBRS Morningstar, as well as multiple classes of mezzanine and subordinated debt.
Citigroup was the main insurer of the deal. The loans are serviced by Select Portfolio Servicing, which does not have to make advances on defaulted principal and interest payments.