The CROSS 2025-H8 Mortgage platform is preparing to issue $495.5 million in residential mortgage-backed securities (RMBS) from sponsor Hildene Capital Management, in affiliation with CrossCountry Mortgage and CrossCountry Capital.
Most of the pool of 1,011 residential mortgages, 69.7%, are considered non-prime mortgages, mostly due to the documentation and styles of underwriting, which include bank statements (28.9%), debt service coverage ratio (DSCR), (26.3%) and asset underwriting (5.4%), according to Kroll Bond Rating Agency analysts.
The collateral has modest leverage, with a demonstrated 69.5% weighted average (WA) original loan-to-value ratio.
CROSS 2025-H8 will issue the ABS through about nine tranches of notes, according to KBRA. Credit enhancement levels range from 30% on the A1A notes to 0.10% on the B2 notes, according to KBRA.
CROSS 2025-H8 will repay principal to senior note holders on a pro-rata basis, before any principal is paid to the class M1 or class B notes, KBRA said.
The underlying mortgages, all of which are first lien, have an average balance of $480,168, with a weighted average (WA) coupon of 7.50%. A slight majority of the loans are funding a primary residence, while a significant percentage, 36.0% are financing investment properties. Second homes account for just 5.6% of the mortgage purposes, the rating agency said.
Also on a WA basis, borrowers have a FICO score of 747, and an original loan-t0-value (LTV) ratio of 69.5%. Also, all the loans in the pool received a third-party due diligence review, KBRA said.
KBRA also noted that 41.6% of the borrowers, which have a non-zero WA annual income of $828,763, are self-employed, KBRA said. Also, borrowers have a non-zero WA liquid reserves of $617,874. They also have a WA debt-to-income ratio of 35.6%.
KBRA assigns ratings of AAA to all the A1 tranches; AA to the A2 notes; A to the A3 notes; BBB to the M1 notes; BB- to the B1 notes; and B- to the B2 tranche.
