DBRS Assigns Provisional Ratings to New Residential Mortgage Loan Trust 2019-2

DBRS, Inc. (DBRS) assigned provisional ratings to the following Mortgage-Backed Notes, Series 2019-2 (the Notes) to be issued by New Residential Mortgage Loan Trust 2019-2 (NRMLT or the Trust):

-- $406.4 million Class A-1 at AAA (sf)
-- $406.4 million Class A-IO at AAA (sf)
-- $406.4 million Class A-1A at AAA (sf)
-- $406.4 million Class A-1B at AAA (sf)
-- $406.4 million Class A-1C at AAA (sf)
-- $406.4 million Class A1-IOA at AAA (sf)
-- $406.4 million Class A1-IOB at AAA (sf)
-- $406.4 million Class A1-IOC at AAA (sf)
-- $444.3 million Class A-2 at AAA (sf)
-- $406.4 million Class A at AAA (sf)
-- $37.9 million Class B-1 at AAA (sf)
-- $37.9 million Class B1-IO at AAA (sf)
-- $37.9 million Class B-1A at AAA (sf)
-- $37.9 million Class B-1B at AAA (sf)
-- $37.9 million Class B-1C at AAA (sf)
-- $37.9 million Class B-1D at AAA (sf)
-- $37.9 million Class B1-IOA at AAA (sf)
-- $37.9 million Class B1-IOB at AAA (sf)
-- $37.9 million Class B1-IOC at AAA (sf)
-- $34.2 million Class B-2 at AA (sf)
-- $34.2 million Class B2-IO at AA (sf)
-- $34.2 million Class B-2A at AA (sf)
-- $34.2 million Class B-2B at AA (sf)
-- $34.2 million Class B-2C at AA (sf)
-- $34.2 million Class B-2D at AA (sf)
-- $34.2 million Class B2-IOA at AA (sf)
-- $34.2 million Class B2-IOB at AA (sf)
-- $34.2 million Class B2-IOC at AA (sf)
-- $26.0 million Class B-3 at A (sf)
-- $26.0 million Class B3-IO at A (sf)
-- $26.0 million Class B-3A at A (sf)
-- $26.0 million Class B-3B at A (sf)
-- $26.0 million Class B-3C at A (sf)
-- $26.0 million Class B-3D at A (sf)
-- $26.0 million Class B3-IOA at A (sf)
-- $26.0 million Class B3-IOB at A (sf)
-- $26.0 million Class B3-IOC at A (sf)
-- $11.9 million Class B-4 at BBB (sf)
-- $11.9 million Class B-4A at BBB (sf)
-- $11.9 million Class B-4B at BBB (sf)
-- $11.9 million Class B-4C at BBB (sf)
-- $11.9 million Class B4-IOA at BBB (sf)
-- $11.9 million Class B4-IOB at BBB (sf)
-- $11.9 million Class B4-IOC at BBB (sf)
-- $9.3 million Class B-5 at BB (sf)
-- $9.3 million Class B-5A at BB (sf)
-- $9.3 million Class B-5B at BB (sf)
-- $9.3 million Class B-5C at BB (sf)
-- $9.3 million Class B-5D at BB (sf)
-- $9.3 million Class B5-IOA at BB (sf)
-- $9.3 million Class B5-IOB at BB (sf)
-- $9.3 million Class B5-IOC at BB (sf)
-- $9.3 million Class B5-IOD at BB (sf)
-- $21.2 million Class B-7 at BB (sf)

Classes A-IO, A1-IOA, A1-IOB, A1-IOC, B1-IO, B1-IOA, B1-IOB, B1-IOC, B2-IO, B2-IOA, B2-IOB, B2-IOC, B3-IO, B3-IOA, B3-IOB, B3-IOC, B4-IOA, B4-IOB, B4-IOC, B5-IOA, B5-IOB, B5-IOC and B5-IOD are interest-only notes. The class balances represent notional amounts.

Classes A-1A, A-1B, A-1C, A1-IOA, A1-IOB, A1-IOC, A-2, A, B-1A, B-1B, B-1C, B-1D, B1-IOA, B1-IOB, B1-IOC, B-2A, B-2B, B-2C, B-2D, B2-IOA, B2-IOB, B2-IOC, B-3A, B-3B, B-3C, B-3D, B3-IOA, B3-IOB, B3-IOC, B-4A, B-4B, B-4C, B4-IOA, B4-IOB, B4-IOC, B-5A, B-5B, B-5C, B-5D, B5-IOA, B5-IOB, B5-IOC, B5-IOD and B-7 are exchangeable notes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents.

The AAA (sf) ratings on the Notes reflect the 21.40% of credit enhancement provided by subordinated notes in the pool. The AA (sf), A (sf), BBB (sf) and BB (sf) ratings reflect 15.35%, 10.75%, 8.65% and 7.00% of credit enhancement, respectively.

Other than the specified classes above, DBRS does not rate any other classes in this transaction.

This transaction is a securitization of a portfolio of seasoned performing and re-performing first-lien residential mortgages. The Notes are backed by 5,098 loans with a total principal balance of $565,283,647 as of the Cut-Off Date (March 1, 2019).

The loans are significantly seasoned with a weighted-average (WA) age of 172 months. As of the Cut-off Date, 95.1% of the pool is current, 3.9% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method, and 1.0% is in bankruptcy (all bankruptcy loans are performing or 30 days delinquent). Approximately 77.9% and 89.4% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for the past 24 months and 12 months, respectively, under the MBA delinquency method. The portfolio contains 48.9% modified loans. The modifications happened more than two years ago for 94.0% of the modified loans. The entire pool is exempt from the Ability-to-Repay/Qualified Mortgage rules because of seasoning.

The Seller, NRZ Sponsor IX LLC (NRZ), acquired the loans prior to the Closing Date in connection with the termination of various securitization trusts. Upon acquiring the loans, NRZ, through an affiliate, New Residential Funding 2019-2 LLC (the Depositor), will contribute the loans to the Trust. As the Sponsor, New Residential Investment Corp., through a majority-owned affiliate, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than the residual notes) to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. These loans were originated and previously serviced by various entities through purchases in the secondary market.

As of the Cut-off Date, 68.6% of the pool is serviced by Ocwen Loan Servicing, 21.5% of the pool is serviced by Nationstar Mortgage LLC (Nationstar), 4.2% of the pool is serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing (SMS), 3.9% of the pool is serviced by Wells Fargo and 1.8% of the pool is serviced by Select Portfolio Servicing Inc. Nationstar will also act as the Master Servicer, and SMS will act as the Special Servicer.

The Seller will have the option to repurchase any loan that becomes 60 or more days delinquent under the MBA method or any real estate-owned property acquired in respect of a mortgage loan at a price equal to the principal balance of the loan (Optional Repurchase Price), provided that such repurchases will be limited to 10% of the principal balance of the mortgage loans as of the Cut-Off Date.

Unlike other seasoned re-performing loan securitizations, the Servicers in this transaction will advance principal and interest on delinquent mortgages to the extent such advances are deemed recoverable. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure.

The ratings reflect transactional strengths that include underlying assets that have significant seasoning, relatively clean payment histories and robust loan attributes with respect to credit scores, product types and loan-to-value ratios. Additionally, historically, NRMLT securitizations have exhibited fast voluntary prepayment rates.

The transaction employs a relatively weak representations and warranties framework that includes an unrated representation provider (NRZ), certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools.

Satisfactory third-party due diligence was performed on the pool for regulatory compliance, title/lien and payment history. Updated Home Data Index and/or broker price opinions were provided for the pool; however, a reconciliation was not performed on the updated values.

Certain loans have missing assignments or endorsements as of the Closing Date. Given the relatively clean performance history of the mortgages and the operational capability of the servicers, DBRS believes the risk of impeding or delaying foreclosure is remote.

The full description of the strengths, challenges and mitigating factors are detailed in the related report.

The DBRS ratings address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, which can be found on dbrs.com under Methodologies & Criteria.

This rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrs.com.

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