CrossCountry Capital and APF II are co-sponsoring a $500.3 million securitization of a pool of residential mortgages, selling the bonds through the CROSS 2026-NQM7 Mortgage Trust.
Kroll Bond Rating Agency says the collateral pool is composed of 983 residential mortgages. A significant majority of non-prime loans (74.4%) and are either non-qualified mortgages (59.5%) or exempt from Ability-to-Repay/qualified mortgage rules, because they were originated for non-consumer loan purposes, KBRA said.
Investment properties account for 40% of the subject pool, while debt service coverage ratios (DSCR) represent 29.0%, KBRA said.
The deal is expected to close on June 12, according to KBRA, with Morgan Stanley,
CROSS 2026-NQM7 will sell the notes through about 11 tranches of class A, M and B notes, analysts at KBRA and Fitch Ratings said.
The senior, class A, notes include first cash flow (FCF) and last cash flow (LCF) tranches, the rating agencies said. KBRA notes that the A-1A notes are a super senior tranche that benefits from 32.70% in credit enhancement. Otherwise, the four other class A notes benefit from credit enhancement levels of 22.70%, KBRA said.
The notes will repay investors using a hybrid structure, according to the rating agencies. The senior notes will repay investors pro rata, and the mezzanine and subordinate notes will repay sequentially, KBRA and Fitch said.
Analysts at KBRA say the residential mortgage-backed securities (RMBS) from CROSS 2026-NQM7 benefit from several forms of credit enhancement, including excess spread.
On average, the mortgages have a balance of $508,954 and a weighted average (WA) coupon of 7.02%, and just 10.7% of the loans have an interest-only period, KBRA.
The pool also has a FICO score of 751, and modest leverage, with an original loan-to-value (LTV) ratio of 71.4%, the rating agencies said.
On a non-zero WA basis, the loans have average annual income of $1.1 million, and non-zero WA liquid reserves of $512,894, KBRA said.
Fitch assigns AAA to the A1 notes; AA and A to the A2 and A3 notes, respectively; and BBB- to the M1 notes. KBRA assigns AAA to the A1 notes; AA and A to the A2 and A3 notes; and BBB-, BB- and B- to the M1, B1 and B2, respectively.
