Six hundred, thirty-seven home loans of non-prime credit quality are securing about $319.5 million in mortgage-backed securities through the CROSS 2024-H2 Mortgage Trust, which had a slightly higher concentration of mortgages originated with full-documentation underwriting compared with previous deals.
CrossCountry Mortgage originated the loans, but Hildene-CCC Loan Acquisition is sponsoring the deal, according to analysts at FitchRatings. According to the transaction's capital structure CROSS 2024-H2 Mortgage Trust will issue notes through nine tranches of notes.
The transaction includes three class A tranches, an M class tranche, four B class tranches and an XS tranche. All are scheduled to mature in April 2069, Fitch said. Select Portfolio Servicing will service the notes, while Computershare Trust is on the deal as master servicer, the rating agency said.
The trust will repay senior note investors principal amounts on a pro rata basis, shutting out subordinate bonds from principal payments until all outstanding senior balances are reduced to zero, Fitch said.
The A1 through A3 classes benefit from trigger mechanisms. If a cumulative loss trigger or delinquency trigger occurs, the trust will distribute principal sequentially on those senior notes until outstanding principal amounts are reduced to zero.
Still, there are positive highlights to the deal, including low operational risks and third-party due diligence on all the assets.
Full documentation-based underwriting accounts for 21.6% of CROSS 2024-H2's collateral pool, Fitch's ratings analysts said. While that is in the minority, it's the highest that the program has seen since CROSS 2023-H2 came to market, and it clears the bar on the 2021-2023 non-prime industry average, 13.2%, the rating agency said. One other element also looks better, the $353,542 in reserves on a weighted average basis, compared with $282,254 in reserves according to that nonprime industry average.
Virtually the entire collateral pool, 99.5%, is considered clean current, the rating agency said. Also, on a weighted average basis, the loans have a FICO score of 740, higher than recent deals and the industry average, and an original debt-to-income ratio of 43.1%, also higher.
Fitch assigns ratings of AAA to the A1 notes; AA to the A2 notes; A to the A3 notes and BBB- to the M1 notes.
