The Hildene-CCC Loan Acquisition shelf is preparing the CROSS 2025-H2 securitization, with a sale of $429.7 million in residential mortgage-backed securities (RMBS).
Eight hundred, sixty residential mortgages make up the collateral pool, according to Kroll Bond Rating Agency, including a 69.8% concentration of non-prime mortgages. Fixed-rate mortgages and hybrid adjustable-rate mortgages accounting for 85.7% and 14.3% of the pool, respectively.
Full documentation accounts for a little over a third of the pool, while 12- to 23-month bank statement documentation accounts for 29.5% of the pool, KBRA said. Debt service coverage ration (DSCR) underwriting accounts for 27.8%, while bank statement and asset underwriting account for 5.9% and 4.5% of the pool, respectively, says KBRA.
CROSS 2025-H2 will sell the notes through about 13 classes of notes, according to Asset Securitization Report's deal database. The A1 notes—rated AAA by KBRA and Fitch Ratings and broken down into the A1A and A1B classes—are expected to pay a coupon of 5.79%, the ASR database said. The AA-rated notes in the A2 notes are expected to pay a coupon of 5.94%, the database said.
Outside of that coupons range from 6.09% on the A/A+ (Fitch/KBRA) notes 7.51% on the notes rated BB- by KBRA, according to the database.
All the notes have a final maturity of March 2070, according to Fitch Ratings.
The A1 classes benefit from credit enhancement representing 18.0% of the note balances; while enhancement ranges from 13.2% on the A2 notes to 1.2% on the B2 notes, according to KBRA. That credit support comes from excess spread, to offset losses and cap carryover amounts, plus a 90-day stop advance.
Underlying borrowers otherwise look like strong credits. Non-zero WA annual income reaches $1 million, and on the same NZWA basis liquid reserves are $601,496. On average, the loans have a balance of $496,274, an original loan-to-value (LTV) ratio of 72.4%, and a model FICO score of 747, according to Fitch. CrossCountry Mortgage originated the loans, while Select Portfolio is servicing, the rating agency said.
Aside from the A1 notes, Fitch assigns AA to the A2 notes; A to the A3 notes; and BBB- to the M1 notes. KBRA said.
