DBRS Morningstar Assigns Ratings to NRPL 2023-RPL1 Trust

DBRS, Inc. (DBRS Morningstar) assigned ratings to the following Mortgage-Backed Notes, Series 2023-RPL1 (the Notes) issued by NRPL 2023-RPL1 Trust (the Trust):

-- $117.8 million Class A-1 at AAA (sf)
-- $18.2 million Class A-2 at AA (sf)
-- $13.4 million Class M-1 at A (sf)
-- $11.3 million Class M-2 at BBB (sf)
-- $7.4 million Class B-1 at BB (sf)
-- $6.5 million Class B-2 at B (sf)

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

The AAA (sf) rating on the Class A-1 Notes reflects 40.40% of credit enhancement provided by subordinate notes. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 31.20%, 24.40%, 18.70%, 14.95%, and 11.65% of credit enhancement, respectively.

This is a securitization of a portfolio of seasoned performing and reperforming first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 1,216 loans with a total principal balance of $197,640,059 as of the Cut-Off Date (February 28, 2023).

The mortgage loans are approximately 174 months seasoned. As of the Cut-Off Date, 94.6% of the loans are current (including 3.8% bankruptcy-performing loans), and 5.4% of the loans are 30 days delinquent (including 0.1% bankruptcy nonperforming loans) under the Mortgage Bankers Association (MBA) delinquency method. Under the MBA delinquency method, 14.9% and 59.4% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively.

The portfolio contains 75.0% modified loans as determined by the Issuer. The modifications happened more than two years ago for 57.6% of the loans that DBRS Morningstar classified as modified. Within the pool, 492 mortgages have an aggregate non-interest-bearing deferred amount of $11,381,319, which comprises 5.8% of the total principal balance.

NRPL 2023-RPL1 Trust represents the first rated securitization of the seasoned performing and reperforming residential mortgage loans issued by the Sponsor, Nomura Corporate Funding Americas, LLC (NCFA). The Sponsor is registered with the U.S. Securities and Exchange Commission and incorporated in the state of Delaware. NCFA has been purchasing reperforming loans since 2014, and became more focused in this sector in the last four years.

The Seller, NNPL Trust Series 2012-1, acquired the mortgage loans from a third-party aggregator. The Seller will then contribute the loans to the Trust through an affiliate, Nomura Asset Depositor Company, LLC (the Depositor). As the Sponsor, NCFA or one of its majority-owned affiliates will acquire and retain a 5% eligible vertical interest in each class of Notes (other than the Class R Notes) and the Trust certificate to satisfy the credit risk retention requirements. The loans were originated and previously serviced by various entities.

As of the Cut-Off Date, all of the loans are being serviced by an interim servicer. All servicing will be transferred to Newrez LLC doing business as Shellpoint Mortgage Servicing on or before April 24, 2023. There will not be any advancing of delinquent principal and interest (P&I) on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect of homeowner’s association fees in super lien states and, in certain cases, taxes and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties.

When the aggregate pool balance is reduced to less than 10% of the balance as of the Cut-Off Date, the directing noteholder may purchase all of the mortgage loans and real estate owned properties from the Issuer, as long as the aggregate proceeds meet a minimum price that meets or exceeds par plus interest.

The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M-1 and more subordinate P&I bonds will not be paid from principal proceeds until the more senior classes are retired.

The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2022 Update, published December 21, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.

The ratings reflect transactional strengths that include the following:
-- LTVs,
-- Satisfactory third-party due-diligence review,
-- Seasoning,
-- Structural Features.

The transaction also includes the following challenges:
-- Representations and Warranties Standard
-- No Servicer Advances of Delinquent P&I
-- Assignments and Endorsements

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

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings (May 17, 2022).

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

The principal methodology applicable to the ratings is RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (March 3, 2023; https://www.dbrsmorningstar.com/research/410473).

Other methodologies referenced in this transaction are listed at the end of this press release.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

The 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 Morningstar had access to the accounts, management and other relevant internal documents of the rated entity or its related entities in connection with this rating action. This is a solicited credit rating.

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 [email protected].

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277

The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

-- Assessing U.S. RMBS Pools Under the Ability-to-Repay Rules (May 4, 2020),
https://www.dbrsmorningstar.com/research/360574/assessing-us-rmbs-pools-under-the-ability-to-repay-rules

-- Interest Rate Stresses for U.S. Structured Finance Transactions (August 30, 2022),
https://www.dbrsmorningstar.com/research/402153/interest-rate-stresses-for-us-structured-finance-transactions

-- Third-Party Due-Diligence Criteria for U.S. RMBS Transactions (September 11, 2020),
https://www.dbrsmorningstar.com/research/366613/third-party-due-diligence-criteria-for-us-rmbs-transactions

-- Representations and Warranties Criteria for U.S. RMBS Transactions (April 22, 2020),
https://www.dbrsmorningstar.com/research/359902/representations-and-warranties-criteria-for-us-rmbs-transactions

-- Legal Criteria for U.S. Structured Finance (December 7, 2022),
https://www.dbrsmorningstar.com/research/407008/legal-criteria-for-us-structured-finance

-- Operational Risk Assessment for U.S. RMBS Originators (November 23, 2022),
https://www.dbrsmorningstar.com/research/405664/operational-risk-assessment-for-us-rmbs-originators

-- Operational Risk Assessment for U.S. RMBS Servicers (November 23, 2022),
https://www.dbrsmorningstar.com/research/405665/operational-risk-assessment-for-us-rmbs-servicers

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].