Hildene Capital Management has sponsored the CROSS 2024-1 Mortgage Trust, a residential mortgage-backed securities deal to that will raise $318.4 million.
Hildene is completing the deal under the Hildene-CCC Loan Acquisition shelf, and includes collateral that CrossCountry Mortgage originated under its Signature Expanded guidelines, according to Kroll Bond Rating Agency. The deal is the latest to come out of the multi-year strategic relationship that CrossCountry Mortgage and CrossCountry Capital struck with Hildene in 2022, according to a statement from Hildene about the deal.
CROSS issues the notes through a senior-subordinate structure, KBRA said. The trust will repay senior note holders on a pro rata basis, while repaying the mezzanine and subordinate notes sequentially, KBRA said.
Some 630 residential mortgages provide the collateral for the deal, and that includes a substantial majority, 81.0% that the rating agency considers to be non-prime. Fixed-rate and hybrid, adjustable-rate mortgages make up another 19% of the RMBS deal's underlying loans, KBRA said. As for how the collateral pool breaks down in terms of their underwriting methods, KBRA notes that most of the mortgages (66.2%) are classified as either non-qualified or exempt from the ability-to-repay or qualified mortgage guidelines, at 33.8%.
Asset Securitization Report's deal database notes that Atlas SP Securities,
Pricing guidance notes that the AAA-rated class A1 notes came in at about 160 basis points over the three-month interpolated yield curve, and ranged to 290 bps over the 3-month I-Curve on the M1 class of notes, at press time.
Fitch Ratings also assessed the CROSS 2024-1, and from its point of view the deal has mixed and negative main ratings drivers, including that the home values in the pool are about 11% above a long-term sustainable level. Also, servicers can advance delinquent monthly principal and interest payments, but only for the initial 90 days.
Still, the A1, A2, and A3 notes benefit from total initial credit enhancement levels of 23.05%, 15.75% and 10.25%, Fitch said.
All of the tranches have a final scheduled maturity of December 2068.
