KBRA Assigns Preliminary Ratings to New Residential Mortgage Loan Trust 2026-NQM8 (NRMLT 2026-NQM8)

Kroll Bond Rating Agency (KBRA) has assigned preliminary ratings to 10 classes of mortgage-backed notes from a $480.2 million non-prime residential mortgage-backed securities (RMBS) transaction. Sponsored by Rithm Capital Corp., the deal is backed by a pool of 883 residential mortgages primarily originated and serviced by NewRez LLC. This transaction highlights the continuing role of non-prime securitization in providing liquidity to the residential mortgage sector while maintaining specific credit standards for non-traditional borrowers.

NRMLT 2026-NQM8 is a $480.2 million non-prime RMBS transaction sponsored by Rithm Capital Corp., a publicly traded real estate investment trust formerly known as New Residential Investment Corp. The underlying collateral consists of 883 residential mortgages that have been seasoned for approximately three months. NewRez LLC originated 51.3% of the loans in the pool and will serve as the servicer for the entire transaction, while Champions LLC originated another 20.3% of the assets.

The borrower pool exhibits a weighted average original credit score of 751, paired with a weighted average original loan-to-value (LTV) ratio of 71.1% and a weighted average combined LTV of 71.1%. These figures indicate a relatively strong credit profile for a non-prime pool, providing a baseline for KBRA's credit analysis. The rating agency utilized its Residential Asset Loss Model (REALM) to perform a loan-level analysis of the mortgage pool to determine the preliminary ratings for the 10 classes of notes.

In addition to the loan-level analysis, KBRA’s review included an examination of third-party due diligence results on the loan files and cash flow modeling of the transaction’s payment structure. The agency also conducted reviews of the key transaction parties and assessed the legal structure and documentation to ensure alignment with its U.S. RMBS Rating Methodology. This comprehensive evaluation considers various credit considerations and sensitivity analyses that could impact the ratings' future stability, including potential ESG drivers and material assumptions in the rating models.