CrossCountry Capital and Hildene-CCC Loan Acquisition II are sponsoring an $836.7 million securitization backed by 1,680 residential mortgages, issuing bonds through the CROSS 2026-NQM10 Mortgage Trust.
The deal will offer notes in 10 classes: six class A tranches, one class M tranche and three class B tranches. All notes have a final scheduled maturity of September 2071, with ratings from AAA(sf) on the A-1FCF, A-1LCF, A-1A and A-1B notes down to BBB-(sf) on the M-1 notes, according to Fitch Ratings.
The pool contains a significant concentration of non-prime collateral, with 72% of loans considered non-prime. Fixed-rate mortgages account for 82% of the pool, while hybrid adjustable-rate mortgages make up the remaining 18%, according to Kroll Bond Rating Agency (KBRA).
Most loans are non-qualified mortgages, accounting for 62.9% of the pool, while 36.1% are exempt from the ability-to-repay and qualified mortgage rule because they were originated for non-consumer loan purposes, KBRA says.
CrossCountry Mortgage originated all of the collateral under its Signature Expanded guidelines, which it has used since 2020, according to KBRA. Many loans were previously sold into the STAR securitization platform.
Fitch and KBRA are rating the transaction, which is expected to close on September 9, 2026. Select Portfolio Servicing will act as servicer, while Computershare Trust Company will serve as master servicer and securities administrator, according to Fitch.
The structure features a step-up coupon for the senior classes, A-1FCF, A-1LCF, A-1A, A-1B, A-2 and A-3, which Fitch views positively. According to the rating agency, after four years the senior classes pay the lower of a 100-basis point increase to the fixed coupon or the net weighted average coupon rate.
The unrated class B-3 interest allocation is applied to the senior cap carryover amount on any date that a senior class has an unpaid cap carryover amount. This structure increases the principal and interest allocation for the senior classes if the B-3 class is not written down, Fitch says.
Fitch notes that due diligence is the only factor that directly affects its loss expectations. A third-party review firm conducted due diligence on all loans in the transaction. Fitch applies a 5% probability of default reduction to loans that received a final grade of "A" or "B" from the review.
Fitch assigns AAA(sf) to the A-1FCF, A-1LCF, A-1A and A-1B notes; AA(sf) to the A-2 notes; A+(sf) to the A-3 notes; and BBB-(sf) to the M-1 notes. Fitch does not rate the B-1, B-2 and B-3 classes.
KBRA assigns AAA(sf) ratings to the A-1A, A-1B, A-1, A-1FCF and A-1LCF notes; AA(sf) to the A-2 notes; A(sf) to the A-3 notes; and BBB-(sf), BB-(sf) and B-(sf) to the M-1, B-1 and B-2 notes, respectively. The B-3 notes are not rated.
