Citigroup Mortgage Trust Issues $ 2.6 Billion



The outstanding and revolving loan pool is pledged by Citigroup Mortgage Loan Trust 2021-RP4 Mortgage Backed Securities (RMBS).

Approximately 98% of the outstanding principal on loans was changed, so FitchRatings increased its expectations of losses due to non-performing loans and a high percentage of so-called dirty current loans.

Various organizations called Citigroup play key roles in transactions, from sponsor and seller to depositor, issuer and lead underwriter.

The capital structure has three securities rated from AAA to A followed by three subordinate bond classes rated BBB to B in a traditional sequential structure. Subordinate bonds will not receive any principal payments until the most senior outstanding bonds have been paid in full.

Fitch views this structure as positive. In addition, the trust has a principal redeployment clause to pay interest on bonds rated ‘AAA’ and ‘AA’ prior to other principal distributions. In Fitch’s view, this will facilitate the timely repayment of interest in these classes if the service company does not make upfront payments.

This is an important feature because the maintenance staff in this transaction, Rushmore Loan Management Services, will not advance late monthly principal and interest payments. The lack of core and interest financing means that the severity of credit-level losses for Citigroup Mortgage Loan Trust 2021-RP4 is less than for those where maintenance personnel have to advance these funds.

Structural reserves and cash flow priorities, as well as increased subordination of the transaction, allow for timely payment of interest in AAA and AA grades.

Fitch noted that the transaction’s operational risk is low as it is well controlled.

The rating agency is also closely monitoring several potential problems, including a significant level of deferred amounts or an interest-free deferral of principal payments. Deferrals totaling US $ 558.7 million, or 21.21% of UPB’s total loan amount, are outstanding for 11,115 loans. Fitch has included deferral amounts in calculating the loan-to-borrower value ratio and their sustainable LTVs. This inclusion resulted in a higher probability of default and severity of loss, even if there were no deferrals.


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