Nomura Asset Depositor Company, LLC ABS-15G

Exhibit 99.26

Selene Diligence LLC (“Selene”) 

Due Diligence Review Narrative (“Report”)

Selene’s Report, which is to be made available to the recipients by the Client, includes the loan level results of Selene’s independent, third-party due diligence review conducted on behalf of the Client. The scope of review for these loans is as follows:

DESCRIPTION OF SERVICES:

(1) Type of assets that were reviewed. 

Selene Diligence LLC (“Selene”) performed certain due diligence services described below on residential mortgage loans originated by numerous entities and obtained by Pretium (“Client”). The review was conducted between April 13 2022 and January 15, 2025 via files imaged and provided for review (the “Review”).

(2) Sample size of the assets reviewed. 

This Review consisted of 100% of the loan population.

FINAL SECURITIZATION POPULATION 

Selene was instructed to perform a review on a population totaling 1 ATR-QM Exempt loans and 19 Non-QM loans for a total of 20 loans the “Final Securitization Population”).

Credit Reviews (20):

During the Review, Selene performed a credit review on 20 mortgage loans in the Final Securitization Population.

Compliance Review (20)

During the Review, Selene performed a compliance review on 20 mortgage loans in the Final Securitization Population.

Valuation Reviews (9):

During the Review, Selene performed a property valuation review on 9 mortgage loans in the Final Securitization Population.

Data Integrity Review (20):

During the Review, Selene performed a Data Integrity Review on 20 mortgage loans in the Final Securitization Population.

FINAL SECURITIZATION POPULATION

After Selene’s initial review was completed, the Client provided Selene with a confirmed list of 20 mortgage loan that formed the Final Securitization Population. The table below summarizes the reviews conducted by Selene.

(3) Determination of the sample size and computation. 

The Review was conducted with sample size criteria that has been communicated by the Client to Selene to be consistent with the criteria for the nationally recognized statistical ratings organizations identified in Item 3 of the ABS Due Diligence-15E.s, Fitch Ratings (“Fitch”) the (“NRSRO(s)”).

(4) Quality or integrity of information or data about the assets: review and methodology. 

Where available, Selene compared the data fields on the bid tape provided by the Client to the data found in the actual loan file as captured by Selene. This information may not have been available for all mortgage loans.

(5) Origination of the assets and conformity to stated underwriting or credit extension Guidelines, standards, criteria or other requirements: review and methodology. 

Selene assessed the underwriting Guidelines and compared the documentation in the loan file against the stated Guidelines for adherence.

GUIDELINES

Deephaven Mortgage Correspondent - Expanded Prime (collectively the “Guidelines”) 5^th Street Capital Underwriting Guidelines (collectively the “Guidelines”) 

American Mortgage Inc. Loan Guidelines 2nd Mortgage (collectively the “Guidelines”)

LOAN GRADING

The Guidelines referenced above served as the benchmark for grading loans with respect to credit, compliance, underwriting, property valuation and data integrity. Each loan received an “initial” and a “final” grade. The “initial” grade was assigned during the initial loan review. The “final” grade considers additional information and supporting documentation that may have been provided by the originators to clear outstanding conditions. Selene’s loan grading is solely based on Selene’s independent assessment of all Guideline exceptions and compensating factors for each of the component reviews. Selene is providing a comprehensive loan-level analysis that includes initial grades, final grades and detailed commentary on the rationale for any changes in grades and sets forth compensating factors and waivers.

SCOPE OF REVIEW

Selene examined the selected loan files with respect to the presence or absence of relevant documents, enforceability of mortgage loan documents, and accuracy and completeness of data fields. Selene relied on the accuracy of information contained in loan documentation provided to Selene (for more detail, please refer to Appendix A, B, and C, attached hereto).

Selene’s credit scope of review conducted on this transaction included the following elements:

Selene’s compliance scope determined whether the mortgage loans comply with the Federal Truth in Lending Act, Sections 1098 and 1100A of Dodd Frank, and Sections 1411 and 1412 of the Wall Street Reform and Consumer Protection Act.

Selene’s Property Valuation scope of review conducted on this transaction included the following elements.

Selene reviewed the original appraisal provided to determine whether the original appraisal was complete, thorough and the original appraised value was reasonably supported.

 Selene applied a cascade methodology to determine if the original appraised value was reasonably supported when compared to an independent third-party valuation product provided by the Client.

Selene uploaded tape data into its due diligence application and compares it to the actual documents provided. 

Selene provided the Client with a copy of the initial loan level tape discrepancy report which shows the differences between the data received by the Client versus the data captured by Selene during the loan review.

SUMMARY OF FINDINGS & CONCLUSIONS OF REVIEW

The NRSRO criteria referenced for this report and utilized for grading descriptions is based upon the requirements of the NRSROs.

With respect to the Final Securitization Population, Selene conducted (i) a Credit Review on 20 mortgage loans, (ii) a Compliance Review on 20 mortgage loans (iii) a Valuation Review on 9 mortgage loans, and (iv) a Data Integrity Review on 20 mortgage loans; the results of these reviews are discussed below. All grades shown below are based upon the NRSRO grading methodologies utilized by the NRSROs.

REVIEW RESULTS SUMMARY 

After review of the 20 mortgage loans; 3 mortgage loans had a rating grade of A, 1 mortgage loans had a rating grade of B, 4 mortgage loans had a rating grade of C, and 12 mortgage loans had a rating grade of D.

Final Grades per loan broken out by compliance, credit and property: 

REVIEW RESULTS SUMMARY (EXCEPTION LISTING)

Review of the Final Grading Summary (redacted) provides the exceptions in detail and the migration from the initial rating agency grade to the final rating agency grade, based on mitigation/resolution from the client.

Disclaimer: Please be advised that Selene did not make a determination as to whether the mortgage loans complied with federal, state or local laws, constitutional provisions, regulations or ordinances that are not expressly enumerated below. There can be no assurance that the Review uncovered all relevant factors relating to the origination of the mortgage loans, their compliance with all applicable laws and regulations and the original appraisals relating to the mortgaged properties or uncovered

all relevant factors that could affect the future performance of the mortgage loans. Furthermore, the findings reached by Selene are dependent upon its receiving complete and accurate data regarding the mortgage loans from mortgage loan originators and other third parties upon which Selene is relying in reaching such findings.

Please be further advised that Selene does not employ personnel who are licensed to practice law in the various jurisdictions, and the findings set forth in the reports prepared by Selene do not constitute legal advice or opinions. They are recommendations or conclusions based on information provided to Selene. Information contained in any Selene report related to the applicable statute of limitations for certain

claims may not be accurate or reflect the most recent controlling case law. Further, a particular court in a particular jurisdiction may extend, not enforce or otherwise allow claims beyond the statute of

limitations identified in the report based on certain factors, including the facts and circumstances of an individual mortgage loan. Risk levels associated with a loan may have changed an exception level, given rating agency published guidance, written guidance, or other guidance from the rating agency team on the transaction. All final decisions as to whether to purchase or enter into a transaction related to any individual mortgage loan or the mortgage loans in the aggregate, any investment strategy and any legal conclusions, including the potential liability related to the purchase or other transaction involving any such mortgage loan or mortgage loans, shall be made solely by the Client, or other agreed upon party, that has engaged Selene to prepare its reports pursuant to its instructions and Guidelines. The Client, or other agreed upon party, acknowledges and agrees that the scoring models applied by Selene are designed to identify potential risk and the Client, or other agreed upon party, assumes sole responsibility for determining the suitability of the information for its particular use. Selene does not make any representation or warranty as to the value of any mortgage loan or mortgage loans collateral that has been reviewed by Selene.

THIRD PARTY REVIEW REPORTING DELIVERED 

Selene furnished the following reports on this transaction:

APPENDIX A – CREDIT REVIEW SCOPE

Selene reviewed the origination documentation contained in the mortgage loan file to determine conformity to the stated underwriting or credit extension Guidelines, standards, criteria or other requirements that are provided to Selene and/or as directed by Client.

Non-QM Scope

Credit Application

For the Credit Application, Selene verified whether:

Credit Report

Selene verified:

Employment and Income

Selene determined whether all applicable supporting documentation as required by the Guidelines is in the file and note indications of potentially fraudulent documents. The documentation will also be used to verify whether the income used to qualify the loan was calculated in accordance with applicable Guidelines. Documentation verifying employment and income may include:

Asset Review

Selene assessed whether the asset documentation required by the Guidelines is present in the file. In addition, a review of the reserve calculation was performed. Documentation verifying assets for down payment, closing costs, prepaid items and reserves may include:

Hazard/Flood insurance

A review of the insurance present on the loan was also performed. Selene:

Title

Verified whether the appropriate vestee is on the title document: if a purchase, the seller; if a refinance, the borrower and review the Title Commitment for the disclosure issues.

Fraud

To the extent potentially fraudulent activity is identified as part of the document review, such information will be reported to Client. In addition, when required, Selene looked for an independent, third-party fraud report in each file and reviewed the results of the fraud report in conjunction with source documents found in the file to assess the likelihood of any misrepresentations associated with the origination of the loan. If the loan did not contain a fraud report and the counterparty cannot produce one, Selene conditioned the loan for the missing product.

On this Fraud report Selene:

Additional Review

Selene’s review procedures also included:

DSCR Scope

Selene reviewed each loan file to determine whether it contains the following borrower documents and if they adhere to the Guidelines: 

Selene reviewed each loan file to determine whether it contains the following entity documents and if they adhere to the Guidelines: 

Selene reviewed each loan file to determine that property manager entity is incorporated and operated in the United States with bank accounts located in U.S. state and federally chartered bank accounts.

Selene reviewed each loan file to determine whether a Business Purpose Loan is present and properly executed.

Selene reviewed each loan file to determine whether each property contains a valid lease and determine if it is executed in compliance with the Guidelines, including a review of the following: 

Selene reviewed the appraisal provided for each property in the loan file to ensure that the value meets the Guidelines and that the market value concluded on the appraisal is properly supported. Selene reviewed the Loan to Value (“LTV”) of each loan for program eligibility, pursuant to the Guidelines. Specifically, Selene: 

Selene reviewed each loan file to ensure that the property, flood, and hazard insurance policies are in compliance with the Guidelines.

Selene reviewed each loan file to determine whether it contained the following collateral documents and if they are in compliance with the Guidelines: 

Selene reviewed each loan file to determine whether it contained the following financial documents and if they are in compliance with the Guidelines:

APPENDIX B – COMPLIANCE REVIEW SCOPE

Selene reviewed the Non-QM loans to determine, as applicable, to the extent possible and/or applicable and subject to the caveats below, whether the loan complies with:

General Ability to Repay

Selene reviewed the Non-QM mortgage loans to determine whether, based on available information in the mortgage loan file, the creditor considered, as applicable, the following eight underwriting factors, and verified such information using reasonably reliable third-party records, at or before consummation: (i) the consumer's current or reasonably expected income or assets, (ii) if the creditor relied on income from the consumer's employment in determining repayment ability (the consumer's current employment status); (iii) the consumer's monthly payment; (iv) the consumer's monthly payment on any simultaneous loan that the creditor knows or has reason to know will be made; (v) the consumer's monthly payment for mortgage-related obligations; (vi) the consumer's current debt obligations, alimony, and child support; (vii) the consumer's monthly debt-to-income ratio or residual income; and (viii) the consumer's credit history. This portion of the Review also focuses on full recalculation of income and debts, as well as the documentation provided to support each item used in originator’s determination of the ability to repay.

Selene reviewed the Non-QM mortgage loans to determine their conformity with the ATR/QM factors above, and is not rendering an independent assessment or opinion, warranting or representing that a mortgage loan will be deemed to conform to Safe Harbor, Rebuttable Presumption, ATR or other status based on any additional or revised factors that may be considered by legislative, regulatory, administrative or judicial authorities (“Authorities”). Selene does not represent or warrant that the factors for which it is reviewing the mortgage loans constitute all of the factors and/or criteria that Authorities may consider in determining the status of a mortgage loan. Selene’s review is based on information contained in the mortgage loan file at the time it is provided to Selene to review, and only reflects information as of that point in time.

4. The disclosure requirements and prohibitions of Section 50(a)(6), Article XVI of the Texas Constitution.

SEASONED COMPLIANCE REVIEW

The Client shall upload a complete electronic file of the loan documents to Selene’s portal (the “Loan File”). The documents located within each Loan File shall be indexed and imaged prior to upload. The images must be organized by property address, preferably in individual folders. Selene shall review each file as further described below.

I. Compliance Review 

Selene will review each residential mortgage loan to determine, as applicable, to the extent possible and/or applicable and subject to the caveats below, whether the loan complies with:

Selene reviews applicable mortgage loans for compliance with the ATR and QM rule requirements based upon each mortgage loan’s originator designation (Safe Harbor QM, Higher-priced QM, Temporary SHQM, Temporary HPQM, Non-QM, Exempt from ATR). Selene determines the mortgage loan’s status under the ATR or QM rule requirements and assigns a due diligence mortgage loan designation. Generally, Selene notes as a material exception if the due diligence findings do not confirm the originator’s mortgage loan designation. Additionally, Selene notes if an originator mortgage loan designation was not provided.

Providing Appraisals and Other Valuations (12 C.F.R. 1002.14): 

II. Data Collection and Data Integrity Review

Selene will compare data fields on the bid tape provided by the Client to the data found in the actual file as captured by Selene. All material discrepancies will be noted.

III. Grading 

After completing its review, Selene will deliver a final decision on the loan. Selene will not make a determination as to whether the loans comply with federal, state or local laws, constitutional provisions, regulations or ordinances that are not expressly enumerated above. Furthermore, the findings reached by Selene are dependent upon its receiving complete and accurate data regarding the loans from loan originators and other third parties upon which Selene is relying in reaching such findings.

Selene does not employ personnel who are licensed to practice law in the various jurisdictions, and the findings set forth in the reports prepared by Selene do not constitute legal advice or opinions. They are recommendations or conclusions based on information provided to Selene. All final decisions as to whether to purchase or enter into a transaction related to any individual loan or the loans in the aggregate and any legal conclusions, including the potential liability related to the purchase or other transaction involving any such loan or loans, shall be made solely by the clients that have engaged Selene to prepare their reports pursuant to their instructions and guidelines. Client acknowledges and agrees that the scoring models applied by Selene are designed to identify potential risk and the Client assumes sole responsibility for determining the suitability of the information for its particular use.

IV. Reporting 

Standard Reports (Non-Securitization) 

Shortly after this SOW is executed by the parties, Selene will use reasonable efforts and will work with Client’s staff to complete an agreed upon reporting set. 

Client acknowledges that the Services provided by Selene rely on information supplied by the Client or other third parties and any errors, inaccuracies or omissions in that information is likely to result in inaccuracies with regard to the Services and any reports and materials related thereto. Selene does not make any representations or warranties as to the accuracy or completeness of any information obtained by Selene from third-party information providers.  

Securitization Reports 

Selene will provide securitization reports as may be required by selected Rating Agencies to facilitate a Client securitization. At a minimum, these reports will include the reports below.

V. Exception Clearing

Selene will accept documentation to clear exceptions that Selene has noted on applicable loans through a mutually agreed upon process between the parties. Loan conditions not cleared within two (2) weeks of the initial review will be charged at a Condition Clearing rate to be mutually agreed upon by the parties. 

VI. Redaction 

Notwithstanding anything in the Agreement or this SOW to the contrary, Selene shall have no obligation to redact, remove or otherwise review for the inclusion or exclusion of customer information in any report, extract or other grouping of information and data that has been requested by Client, or any authorized issuer, underwriter or other party, including, without limitation, a party's determination as to what information is furnished under Form ABS-15G, pursuant to 17 CFR 240.15Ga-2, as "findings and conclusions" of the Services. To the extent Client or any authorized issuer, underwriter or other party requests that Selene redact, remove or otherwise review for the inclusion or exclusion of Customer Information from the “findings and conclusions” of the Services, which shall be determined by Client or any authorized issuer, underwriter or other party in its sole discretion, Selene makes no representation or warranty to the completeness of such redaction, removal and review and shall have no liability with respect thereto. 

VII. Non-covered services 

Any services not covered under this Statement of Work will not be included in the base cost of review. Research of such items may be performed on an hourly basis under the conditions set forth in Exhibit A, attached hereto. When such services are requested, Selene will notify Client of our belief that such services are outside the existing scope and additional charges will apply and Client must approve the work to be performed.

APPENDIX C – VALUATION REVIEW SCOPE

Selene reviewed the valuation materials utilized during the origination of the loan which confirmed the value of the underlying property. Selene verified the appraisal report was (i) on the appropriate GSE form, as applicable (ii) materially complete, (iii) in conformity with the guideline requirements for the property type in question, (iv) completed by an appraiser that was actively licensed to perform the valuation, (v) completed such that the named client on the appraisal report is the lender or a related entity that is permitted to engage the lender per Title XI of FIRREA, (vi) made and signed prior to the final approval of the mortgage loan application, (vii) completed and dated within the Guidelines restrictions, and (vii) made on an “as is” basis or provides satisfactory evidence of completion of all material conditions including all inspections, licenses, and certificates (including certificates of occupancy) to be made or issued with respect to all occupied portions of the mortgaged property and with respect to the use and occupancy of the same, have been made or obtained from the appropriate authorities.

If more than one valuation is provided for review, Selene confirmed consistency among the valuation products and if there are discrepancies that cannot be resolved, Selene created an exception and worked with the Client on the next steps, which may include ordering of additional valuation products such as collateral desktop analyses, broker’s price opinions, and full appraisals. If the property valuation products included in Selene’s review results in a variance of more than 10% then the Client was notified of such variance and a second independent valuation product shall be ordered. On all loans, Selene made a determination as to whether appraised value is supported based on documentation available at the time of review and adds exceptions or comments as appropriate.

Selene confirmed consistency among the valuation products and where applicable, if there was a discrepancy in value between two appraisals in the form of a variance greater than 10%, Selene reviewed the file for a desktop analysts/evaluation of the appraisals and determine which appraised value was used for qualification purposes. If there were discrepancies that could not be resolved, Selene created an exception and worked with the client on the next steps for resolution.

Disclaimer