Morningstar DBRS Assigns Provisional Credit Ratings to New Residential Mortgage Loan Trust 2024-RPL1

DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2024-RPL1 (the Notes) to be issued by New Residential Mortgage Loan Trust 2024-RPL1 (NRMLT 2024-RPL1 or the Trust) as follows:

-- $155.2 million Class A at AAA (sf)
-- $13.8 million Class B-1 at AA (high) (sf)
-- $12.4 million Class B-2 at A (high) (sf)
-- $10.5 million Class B-3 at BBB (high) (sf)
-- $6.7 million Class B-4 at BB (high) (sf)
-- $5.3 million Class B-5 at B (high) (sf)

The AAA (sf) credit rating on the Notes reflects 31.00% of credit enhancement provided by subordinated notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B (high) (sf) credit ratings reflect 24.85%, 19.35%, 14.70%, 11.70%, and 9.35% of credit enhancement, respectively.

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

The Trust is a securitization of a portfolio of seasoned performing and reperforming, first- and second-lien residential mortgages, funded by the issuance of the Notes. The Notes are backed by 1,212 loans with a total principal balance of $224,949,945 as of the Cut-Off Date (March 31, 2024).

The portfolio is approximately 156 months seasoned on average, though the loan ages are quite dispersed, ranging from 11 to 383 months. In the portfolio, 71.5% of the loans are modified. The modifications happened more than two years ago for 89.5% of the modified loans. Within the pool, 345 mortgages have non-interest-bearing deferred amounts, which equates to 6.9% of the total principal balance. Unless specified otherwise, all statistics on the mortgage loans in the report are based on the current balance, including the applicable non-interest-bearing deferred amounts.

As of the Cut-Off Date, 78.4% of the loans in the pool are current. Approximately 0.4% are in bankruptcy (all bankruptcy loans are current), 18.2% are 30 days delinquent, and 3.4% are 60 days delinquent. Approximately 34.3% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under the Mortgage Bankers Association (MBA) delinquency method and 51.2% have been 0x30 for at least the past 12 months under the MBA delinquency method.

The majority of the pool (75.0%) is exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because the loans were originated prior to January 10, 2014, the date on which the rules became applicable, or originated as investor property loans. The loans subject to the ATR rules are designated as non-QM (9.5%).

The Sponsor, Rithm Capital Corp, (Rithm), acquired 72.9% of the Mortgage Loans prior to the Cut-Off Date in connection with the termination of various securitization trusts. Rithm or one of its majority-owned affiliates will acquire and retain a 5% eligible horizontal residual interest in the Notes, consisting of 100% of the Class B-6 Notes and Class XS Notes, in the aggregate, to satisfy the credit risk retention requirements.

Since May 2014, 29 seasoned securitizations have been issued from the NRMLT core shelf. These securitizations contained highly seasoned loans sourced from prior deal collapses. Historical performance for prior NRMLT deals has been generally satisfactory with relatively low realized losses.

As of the Closing Date, the mortgage loans will be serviced by NewRez LLC doing business as Shellpoint Mortgage Servicing (SMS; 99.0%) and Fay Servicing, LLC (1.0%). Approximately 66.0% of the pool is currently serviced by another servicer and will transfer to SMS prior to the first Payment Date. Nationstar Mortgage LLC will serve as the Master Servicer, and Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS) will serve as the Paying Agent.

There will not be any advancing of delinquent principal or interest on any mortgages by the related Servicer or any other party to the transaction; however, the related Servicer is obligated to make advances in respect to the preservation, inspection, restoration, protection, and repair of a mortgaged property, which includes delinquent tax and insurance payments, the enforcement of judicial proceedings associated with a mortgage loan, and the management and liquidation of properties (to the extent that the related Servicer deems such advances recoverable).

Each Servicer has the right to sell mortgage loans that become 60 or more days delinquent in the secondary market in an arms-length transaction at fair market value to maximize proceeds to the Issuer.

The Seller will have the option, but not the obligation, to repurchase any mortgage 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 unpaid principal balance of such loan (Optional Repurchase Price), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-off Date.

On the earlier of (1) the Payment Date occurring in April 2027 or (2) the Payment Date on which the aggregate Stated Principal Balance of the Mortgage Loans, as of the last day of the related collection period, is less than or equal to 25% of the aggregate Stated Principal Balance of the Mortgage Loans as of the Cut-Off Date, the Depositor or its assignee has the option to purchase all the outstanding notes at par plus interest.

The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest carryforward amounts on the Notes, but such interest carryforward amounts on Class B-1 and more subordinate bonds will not be paid from principal proceeds until Class A is retired.

The credit ratings reflect transactional strengths that include the following:
-- Loan-to-value ratios,
-- Structural features,
-- Current delinquency status,
-- Seasoning, and
-- Third-party due-diligence review.

The transaction also includes the following challenges:
-- Representations and warranties standard,
-- Assignments, endorsements, and missing documents, and
-- Each Servicer's financial capabilities.

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

Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the interest payment amount, interest carryforward amount, and note amount.

Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit rating on the Class A Notes does not address the payment of any Cap Carryover Amounts based on its position in the cash flow waterfall.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

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

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (23 January 2024), https://dbrs.morningstar.com/research/427030.

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

The principal methodology applicable to the credit ratings is RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (August 31, 2023), https://dbrs.morningstar.com/research/420108.

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

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

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

This is a solicited credit rating.

A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit rating assigned or may be discontinued. The assignment of final credit ratings on the above-mentioned securities are subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalize the credit ratings.

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

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

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

-- Assessing U.S. RMBS Pools Under the Ability-to-Repay Rules (April 28, 2023), https://dbrs.morningstar.com/research/413297
-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024), https://dbrs.morningstar.com/research/428623
-- Third-Party Due-Diligence Criteria for U.S. RMBS Transactions (September 8, 2023), https://dbrs.morningstar.com/research/420333
-- Representations and Warranties Criteria for U.S. RMBS Transactions (May 16, 2023), https://dbrs.morningstar.com/research/414076
-- Legal Criteria for U.S. Structured Finance (April 15, 2024), https://dbrs.morningstar.com/research/431205
-- Operational Risk Assessment for U.S. RMBS Originators (August 31, 2023), https://dbrs.morningstar.com/research/420106
-- Operational Risk Assessment for U.S. RMBS Servicers (August 31, 2023), https://dbrs.morningstar.com/research/420107

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.