Skip to main content

KBRA Rates Non-QM Offering NRMLT 2022-NQM5

Sep 28, 2022
Rithm Capital Corp.

The preliminary ratings are for mortgage-backed notes, with all loans originated by NewRez LLC or Caliber Home Loans.

KBRA said Wednesday it has assigned preliminary ratings to six classes of mortgage-backed notes from New Residential Mortgage Loan Trust 2022-NQM5 (NRMLT 2022-NQM5), a $262.3 million non-prime residential mortgage-backed securities (RMBS) transaction sponsored by Rithm Capital Corp. (formerly New Residential Investment Corp.). 

All of the underlying mortgages in the subject pool were originated, directly or via correspondent, by NewRez LLC (10.7%) or Caliber Home Loans (89.3%), both of which are subsidiaries of Rithm Capital. In addition, all loans will be serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing.

The underlying collateral, comprising 529 residential mortgages, is characterized by a significant concentration of loans underwritten using alternative income documentation. Borrowers in the subject pool possess a non-zero weighted average (WA) original credit score of 751 and exhibit modest equity in each mortgaged property, with WA loan-to-value (LTV) and combined LTV (CLTV) ratios of 71% each.

Approximately 71% of the loans were designated as Non-QM, as they do not benefit from safe harbor legal protections and are potentially at heightened risk of litigation-related losses, KBRA said. The remaining loans (29%) were categorized as exempt from the Ability-To-Repay/Qualified Mortgage rule, as those loans were originated for business purposes on investment properties.

KBRA assigned the preliminary ratings as follows:

  • A-1: AAA (sf)
  • A-2: AA+ (sf)
  • A-3: A (sf)
  • M-1: BBB (sf)
  • B-1: BB (sf)
  • B-2: B (sf)
  • B-3, XS-1, XS-2, A-IO-S, R: Not rated.

KBRA said its rating approach incorporated loan-level analysis of the mortgage pool through its RMBS Credit Model, an examination of the results from third-party loan file due diligence performed at the time of origination of the loans, cash-flow modeling analysis of the transaction’s payment structure, reviews of key transaction parties, and an assessment of the transaction’s legal structure and documentation. 

The full report is available at www.kbra.com (registration required).

About the author
David Krechevsky was an editor at NMP.
Published
Sep 28, 2022
More from
Non-QM
A&D Mortgage Updates Non-QM Loan Programs

The changes are designed to expand loan accessibility and simplify the application process.

Apr 12, 2024
Change Lending Approved For Membership In Federal Home Loan Bank Of San Francisco

Change Lending, a CDFI, obtains membership approval from FHLB-SF after meeting all statutory requirements.

Mar 13, 2024
Verus Mortgage Capital Leads Non-Agency MBS Issuance In 2023

Specialist in Non-QM and investor rental programs emerges as dominant player.

Mar 12, 2024
Angel Oak Mortgage REIT, Inc. Weathered Financial Headwinds In 2023

Despite missing non-GAAP EPS forecasts, Angel Oak grows loan portfolio, enhances liquidity, and optimizes operations.

Mar 06, 2024
dv01 Analysis Reveals Shift In Non-QM Loan Modifications

Despite decrease in loan modifications, more borrowers opt for permanent payment reductions.

Mar 06, 2024
dv01 and Fitch Ratings Collaborate On Non-Agency RMBS Benchmarks

Strategic collaboration between dv01 and Fitch Ratings introduces benchmarks aiming to enhance transparency and redefine market analysis in Non-QM and Prime Jumbo markets.

Feb 21, 2024