A pool of non-prime mortgages underpinning the CROSS 2026-NQM11 Trust will support $735.3 million in residential mortgage-backed securities, co-sponsored by CrossCountry Capital and APF II Resi 04B. The transaction matters because it shows continued investor appetite for non-prime RMBS even when a large share of borrowers are self-employed, a segment that can be harder to underwrite through traditional wage documentation. The deal is slated to close on September 30, according to Kroll Bond Rating Agency.
The capital structure will issue notes through seven tranches of class A notes, a mezzanine tranche and three classes of B notes, with a September 2071 final maturity date. CROSS 2026-NQM11 will repay investors through a modified sequential payment structure: senior notes classes A1 through A3 will follow a pro rata schedule, while the mezzanine and class B notes will repay noteholders sequentially. The structure includes first- and last-class flow pieces, plus A-1A and A-1B tranches, all expected to pay a coupon of 6.25%. Classes A2, A3 and M1 should pay coupons of 6.35%, 6.45% and 6.85%, respectively. Along with subordination, the capital structure will include excess cashflow and trigger provisions that will pay principal sequentially first to unpaid interest and then to principal.
The underlying asset pool contains 1,481 mortgages with an average balance of $496,511 and a weighted average coupon of 7.23%. On a non-zero, weighted average basis, borrowers have an annual income of $983,736, weighted average liquid reserves of $499.593, and a debt-to-income ratio of 34.1%. The mortgages have moderate leverage, with an original loan-to-value ratio of 72.2% on a weighted average basis. In aggregate, the top five balances account for 2.3% of the pool. Bank statements spanning 12-23 months and debt service coverage ratio underwriting accounted for 32.2% and 26.52% of the pool, respectively, while full documentation underwriting accounts for only 22.5%. A significant percentage of borrowers, 40.9%, are self-employed. Servicing responsibilities will be divided between Select Portfolio Servicing and Rushmore Servicing, which will service 94.3% and 5.7% of the pool, respectively.
KBRA assigns AAA to all A1 classes, AA and A to classes A2 and A3, and BBB-, BB- and B- to classes M1, B1 and B2. The rating distribution reflects a credit profile that combines high borrower incomes and moderate leverage with a heavy reliance on alternative documentation and self-employment income. For the non-prime RMBS sector, the deal illustrates how issuers are structuring around documentation risk by pairing bank statement and DSCR underwriting with high borrower liquidity and moderate LTVs. The 40.9% self-employed share is notable because self-employed income can be more volatile, but the pool's weighted average income near $984,000 and reserves near $500,000 provide a cushion that may offset documentation gaps.
The evidence base is limited to a single source read in full, so the analysis cannot independently verify pool performance, historical delinquency trends for similar CROSS transactions, or investor demand beyond the disclosed pricing and structure. The dossier does not provide loan purpose, geographic concentration, or credit score distributions, which are material to assessing default risk. What to watch is whether the high self-employed share and limited full documentation underwriting translate into elevated early delinquencies once the loans season, and whether the modified sequential structure and trigger provisions perform as designed if cashflows weaken.