A pool of non-prime mortgages underpinning the CROSS 2026-NQM11 Trust will support $735.3 million in residential mortgage-backed securities (RMBS), co-sponsored by CrossCountry Capital and APF II Resi 04B.
The deal will issue the notes through seven tranches of class A notes, a mezzanine tranche and three classes of B notes, which have a September 2071 final maturity date, according to Kroll Bond Rating Agency.
CROSS 2026-NQM11 will repay investors through a modified sequential payment structure. The senior notes, classes A1 through A3, will follow a pro rata schedule, and the mezzanine and class B notes will repay noteholders sequentially.
Bank statements spanning 12-23 months and debt service coverage ratio underwriting accounted for 32.2% and 26.52%, respectively, of the pool KBRA said. Full documentation underwriting only accounts for 22.5% of the pool. Also, a significant percentage of borrowers, 40.9%, are self-employed.
The transaction is slated to close on September 30, KBRA said. The structure includes first- and last-class flow pieces, plus A-1A and A-1B tranches, all of which are expected to pay a coupon of 6.25%, according to the rating agency. Classes A2, A3 and M1 should pay coupons of 6.35%, 6.45% and 6.85%, respectively.
Along with subordination, the capital structure will include excess cashflow, and trigger provisions that will pay principal sequentially first to unpaid interest and then to principal.
The underlying asset pool contains 1,481 mortgages, which have an average balance of $496,511, and the loans have a weighted average (WA) coupon of 7.23%. In aggregate, the top five balances account for 2.3% of the pool, the rating agency said. The mortgages have moderate leverage, with an original loan-to-value (LTV) ratio, on a WA basis, of 72.2%.
On a non-zero, WA basis, borrowers have an annual income of $983,736, and WA liquid reserves of $499.593, and a debt-to-income ratio of 34.1%.
Servicing responsibilities will be divided between Select Portfolio Servicing and Rushmore Servicing will service 94.3% and 5.7% of the pool, respectively.
KBRA assigns AAA to all A1 classes; AA and A to classes A2 and A3; and BBB-, BB- and B- to classes M1, B1 and B2.
