Kroll Bond Rating Agency assigned preliminary ratings on August 25, 2026, to ten classes of mortgage pass-through certificates from the CROSS 2026-NQM10 Mortgage Trust. The $836.7 million residential mortgage-backed securities (RMBS) transaction is issued under the CROSS shelf, with Hildene-CCC Loan Acquisition II, LLC and CrossCountry Capital acting as co-sponsors.
Non-prime loans represent 72 percent of mortgage pool
The transaction is collateralized by a pool of 1,680 residential mortgages. Kroll Bond Rating Agency identified a meaningful concentration of collateral considered to be “non-prime,” accounting for 72.0% of the pool. Fixed-rate mortgages make up 82.0% of the pool, while hybrid adjustable-rate mortgages comprise the remaining 18.0%. Most of the underlying loans are classified either as non-qualified mortgages (Non-QM) at 62.9% or as exempt from the Ability-to-Repay/Qualified Mortgage rule at 36.1% due to being originated for non-consumer loan purposes.
Analytical Methodology and Transaction Structure
Kroll Bond Rating Agency evaluated the mortgage pool using its Residential Asset Loss Model, alongside third-party loan file due diligence and cash flow modeling of the payment structure. RMBS Rating Methodology. Jenny Yu served as lead analyst for the transaction, supported by Associate Director Bianca Rexach and Rating Committee Chair Patrick Gervais.
Comparative Market Issuance
Kroll Bond Rating Agency also assigned preliminary ratings to New Residential Mortgage Loan Trust 2026-NQM10 (NRMLT 2026-NQM10), a $494.0 million non-prime RMBS transaction sponsored by Rithm Capital Corp. That separate pool contains 897 residential mortgages seasoned for approximately two months, featuring borrowers with a weighted average original credit score of 757 and a weighted average loan-to-value of 72.5%.
What is the total collateral value of the CROSS 2026-NQM10 Mortgage Trust?
What is the total collateral value of the CROSS 2026-NQM10 Mortgage Trust?
The transaction size is $836.7 million, backed by a pool of 1,680 residential mortgages.
Who are the co-sponsors of the CROSS 2026-NQM10 RMBS transaction?
Hildene-CCC Loan Acquisition II, LLC and CrossCountry Capital serve as the co-sponsors for the issuance under the CROSS shelf.
What percentage of the mortgage pool consists of non-prime loans?
Kroll Bond Rating Agency determined that non-prime collateral represents 72.0% of the mortgage pool in the CROSS 2026-NQM10 transaction.
Related reading