Sponsor Hildene-CCC Loan Acquisition (CROSS) has approached the market with its eighth RMBS deal this year. The CROSS 2024-H8 Mortgage Trust offering securitizes 824 loans totaling $403 million, with 3.1% of its mortgages subject to a new risk: borrower deportations under the Trump administration.
Those mortgages were made to taxpayers with Individual Tax Identification Numbers (ITINs), a designation enabling those without Social Security numbers to pay taxes and indicating they may be working in the U.S. without legal authorization. Lending to ITIN holders is legal, according to ratings agency KBRA in a Dec. 10 pre-sale report, but their mortgages cannot be readily sold to the GSEs or insured by the FHA, limiting credit availability to those borrowers and their ability to refinance.
"In addition, such borrowers may be subject to political risks affecting their ability to legally reside in the U.S.," KBRA said. "Because of these factors, KBRA floored its default assumptions for these loans."
The transaction pool's home price values overall are 11.6% above a long-term sustainable level, the same over-valuation of home price values nationally, Fitch Ratings estimated.
"Home prices increased 4.2% year-over-year as of August 2024, notwithstanding modest regional variations, and remain supported by limited inventory," Fitch said.
The borrowers have moderate credit profiles, with average FICOs of 749 and debt-to-income ratios (DTI) of 43%, according to Fitch.
The ABS offering is split into five rated and five nonrated tranches. The largest tranche, at $262.2 million and rated AAA, carries credit enhancement of 35% and a final scheduled maturity of December 2029, according to Fitch. The transaction, expected to close Dec. 19, will be managed by Hildene-CCC Loan Acquisition, a new firm established in 2022 that Fitch describes as "untested." The entity is managed by Hildene Capital Management, which was formed in May 2008 and currently manages more than $14 billion in structured financial assets.
CROSS currently purchases only non-QM products from CrossCountry Mortgage, which also provides the sponsor's corporation functions, including HR vendor management and payroll.
Hildene closed the previous CROSS deal on Nov. 1, a $493 million offering led by Goldman Sachs and J.P. Morgan, according to the ASR database. The eighth deal CROSS deal this year will increase its issuance to $3.3 billion.
