Rithm Capital-backed NRMLT 2026-NQM11 draws preliminary KBRA ratings on $497.2 million RMBS deal

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NRMLT 2026-NQM11 RMBS ratings

Highlights

KBRA assigns preliminary ratings to 10 classes of mortgage-backed notes totaling $497.2 million issued by New Residential Mortgage Loan Trust 2026-NQM11, sponsored by Rithm Capital Corp.
The RMBS transaction is collateralized by 870 residential mortgages with a weighted average original credit score of 752 and loan-to-value ratio of 72.4%.
KBRA's analysis incorporates its REALM model, cash flow modeling, and focuses on borrower credit profile, leverage, and centralized servicing from Shellpoint Mortgage Servicing.

Preliminary ratings and collateral profile

As reported by Kroll Bond Rating Agency, KBRA assigns preliminary ratings to 10 classes of mortgage-backed notes issued by New Residential Mortgage Loan Trust 2026-NQM11, a transaction sponsored by Rithm Capital Corp., formerly New Residential Investment Corp. Rithm Capital is a publicly traded real estate investment trust listed on the NYSE under the ticker RITM.

The underlying mortgage pool is originated by NewRez LLC, which accounts for 66.5% of the loans, and Cake Mortgage Corp, which accounts for 33.5%. All loans in the transaction will be serviced by Shellpoint Mortgage Servicing, a brand and affiliate of NewRez LLC.

NRMLT 2026-NQM11 is collateralized by 870 residential mortgages. Borrowers in the pool have a weighted average original credit score of 752, with a weighted average original loan-to-value ratio of 72.4% and a weighted average combined loan-to-value ratio of 72.4%.

Methodology and market relevance

KBRA says its analysis incorporates loan-level review of the mortgage pool through its Residential Asset Loss Model, or REALM, alongside an examination of third-party loan file due diligence. The agency also applies cash flow modeling of the transaction's payment structure, reviews key transaction parties and assesses the legal structure and documentation.

The preliminary ratings mark another step in the U.S. non-prime RMBS market, where investor focus remains on borrower credit characteristics, leverage metrics and servicing arrangements. In this deal, the combination of recent loan seasoning, relatively strong borrower credit scores and centralized servicing forms part of the transaction profile considered in the ratings review.

Our earlier article on sovereign resilience in a higher-rate environment explained how persistent geopolitical tensions and elevated fiscal spending can tighten financing conditions and raise borrowing risks for governments. We also noted that emerging and frontier markets are particularly exposed as higher energy- and food-driven inflation pressures budgets and increases refinancing strain.

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