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Investments

Nomura RMBS deal carries highest geographic concentration risk post-crisis

Nomura Corporate Funding Americas debuted, post-crisis, on the private-label residential mortgage-backed securitization scene, becoming one of a few issuers in that segment of the market.

The financial services group is bringing NPR Mortgage Trust 2013-1 to the market with a reported total balance of $440.1 million. NPR Mortgage Trust is a special-purpose servicer entity used to bring RMBS to market.

Kroll Bond Ratings pre-rated the deal, giving the majority of the tranches AAA ratings.

The mortgage pool also exhibits significant geographic concentration with the top three Core Based Statistical Areas (CBSAs) accounting for 73.8% of the pool and the top three states making up 94.4%, the credit ratings agency noted.

To put it into perspective, 74% of the pool is comprised of mortgages on properties located in California, which is the highest concentration seen in that state in any post-crisis RMBS transaction, Kroll noted.

The platform will contain 463 loans in the deal and the weighted average borrower credit score is 770.

First Republic Bank (FRC) will be the servicer for all the loans. Additionally, Wells Fargo (WFC) will act as the master servicer and custodian.

Nomura (NMR)  will be the sponsor for the transaction and intends to sell all of classes of the pool. Neither the seller, depositor, nor any of their affiliates intend to retain any interest in the securitization.

The pool is comprised entirely of 30-year, fixed-rate mortgages. Additionally, there are no loans with a collateral loan-to-value ratio greater than 80%.

High net-worth borrowers often by expensive homes with so-called 'super-jumbo' or 'mega-jumbo' loans.

While the terms and underwriting on such loans may generally be conservative, they still present risk in the context of a pool where a single such loan may comprise close to 1% of the pool balance.

The largest loan in NRPMT 2013-1 transaction is $3.325 million, representing 0.76% of the mortgage pool and 16 loans have unpaid principal balances over $2 million, Kroll explained.

As a result, there is bigger risk associated with such large loans in the pool. 

cmlynski@housingwire.com

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