CrossCountry Capital and APF II RESI O4B are co-sponsoring a residential mortgage-backed securities (RMBS) deal, secured by a pool of primarily fixed-rate and non-prime mortgages, raising $588.6 million.
With an August 7 closing date, the deal will sell notes through a series of class a notes that include a first cash flow(A-1FCF) and a last cash flow (A-1LCF) tranche, according to Kroll Bond Rating Agency.
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The capital structure will follow a hybrid pro-rata repayment sequence on the senior notes, and one tranche, the A1 notes, contains exchangeable notes, KBRA.
A mezzanine tranche and three subordinate tranches will repay investors sequentially, the rating agency said.
Coupons on the A-1FCF, A-1LCF, A-1A and A-1B tranches are expected to pay a coupon of 5.69%, while classes A2, A3 and M1 pay coupons of 5.84%, 5.94% and 6.17%, respectively.
The rating agency also notes that the A-1FCF, A-1LCF, A-1B and A-1 benefit from credit enhancement levels of 23.11%. Credit enhancement levels on the A-1A notes are 33.11%, KBRA said.
After those tranches, classes A2 through B2 enjoy credit enhancement levels ranging from 14.45% to 0.80%, the rating agency said.
A mix of underwriting methods were used on the asset pool, but alternative documentation took a larger portion than the rest, accounting for 35.5%, KBRA said. Compared with CROSS's previous pools for this year, traditional, full-doc underwriting accounted for a larger portion of the pool in the 2026-NQM9 series, 31.5%, KBRA said.
Primary residences accounted for a slight majority of the pool, 57.3%, and investment properties account for 37.5% of the pool, KBRA said.
One third of borrowers in the pool, 32.1%, are self-employed. Overall, borrowers have a non-zero weighted average (WA) annual income of $605,710, and non-zero liquid reserves of $569,845. Also, borrowers have a WA original FICO score of 752, and moderate leverage, with a WA original loan-to-value (LTV) ratio of 71.5%, according to KBRA.
KBRA assigned AAA ratings to the A-1FCF through A-1 notes.
