The CROSS platform is preparing to sell $502.6 million in residential mortgage-backed securities (RMBS) secured by mostly non-prime and fixed-rate mortgages, with a significant concentration of investment properties.
Of the investment property loans, debt service coverage ratio (DSCR) underwriting standards were applied to 23.2% of them, according to Kroll Bond Rating Agency.
CROSS 2026-NQM1 Mortgage Trust will issue about 11 tranches of class A, M and B notes. The senior notes will repay investors on a pro rata basis, and the mezzanine and subordinate classes will repay sequentially, KBRA said.
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Slated to close on February 10, CROSS 2026-NQM1's notes are slated to mature in January 2030, KBRA said. ASR's database adds that the A1 tranche of notes are expected to pay coupons of 5.02%, with AAA ratings from KBRA and Fitch Ratings, which also assessed the notes.
The A2, A3 and class M notes, meanwhile, are expected to pay coupons of 5.22%, 5.42% and 5.89%, respectively, the database reports.
Coupon rates are not slated to be static for the duration of the deal, however. Fitch notes that the senior classes have a step-up coupon structure. After four years, the senior note classes will either pay a 100 basis-point increase to the fixed coupon or the net weighted average coupon (WAC) rate, whichever is lower.
The B3 tranche serves to support the senior classes through a cap carryover arrangement, Fitch says. Interest allocation on that tranche goes toward the senior cap carryover amount anytime, if there is an unpaid cap carryover amount for any of the senior classes.
CROSS' collateral pool consists of 958 residential mortgages, 69.6% of which are considered non-prime. Most of the loans in the pool (63.9%) are either non-qualified or exempt from ability-to-repay or qualified mortgage rules (35.5%).
On average, the first-lien loans have a balance of $524,648, with a weighted average coupon 7.15%, with original terms of 360 months, KBRA said. Leverage is moderate, with a loan-to-value ratio of 72.4%, Fitch said.
