A new non-prime residential mortgage-backed securities transaction backed by 870 recently originated home loans is coming to market with ratings assigned across eight note classes. The deal, New Residential Mortgage Loan Trust 2026-NQM11, is sponsored by Rithm Capital Corp. and features loans mainly originated by NewRez LLC.
Highlights
- KBRA assigned ratings to eight classes of notes from New Residential Mortgage Loan Trust 2026-NQM11, a $497.2 million non-prime RMBS sponsored by Rithm Capital Corp.
- The mortgage pool comprises 870 loans with a weighted average original credit score of 752 and an average loan-to-value ratio of 72.4%.
- NewRez LLC originated 66.5% and Cake Mortgage Corp 33.5% of loans, with all loans serviced by Shellpoint Mortgage Servicing, Rithm's affiliate.
Transaction structure and collateral profile
As reported by KBRA, citing Kroll Bond Rating Agency, the ratings cover eight classes of mortgage-backed notes from New Residential Mortgage Loan Trust 2026-NQM11, a $497.2 million non-prime RMBS transaction sponsored by Rithm Capital Corp., formerly New Residential Investment Corp.The underlying mortgage pool consists of 870 residential loans with an average seasoning of about three months. NewRez LLC originated 66.5% of the pool, while Cake Mortgage Corp originated 33.5%; all loans will be serviced by Shellpoint Mortgage Servicing, a brand and affiliate of NewRez LLC.
Borrowers in the pool have a non-zero weighted average original credit score of 752. The transaction also shows 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 rating analysis includes loan-level review of the mortgage pool through its Residential Asset Loss Model, or REALM, along with an examination of third-party loan file due diligence. The agency also applies cash flow modeling of the payment structure and reviews the transaction parties, legal structure and documentation.The transaction adds to ongoing issuance in the U.S. non-prime RMBS market, where investors track borrower credit characteristics, leverage metrics and servicing arrangements closely. Rithm Capital, a publicly traded REIT listed on the NYSE under ticker RITM, remains an active participant in residential mortgage finance through affiliated origination and servicing platforms.
The latest update follows our earlier article on sovereign borrowing risks amid geopolitical tensions and elevated fiscal spending.
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