KBRA Assigns Preliminary Ratings to CROSS 2026 — NQM12 Mortgage Trust
For best results when printing this announcement, please click on link below: KBRA Assigns Preliminary Ratings to CROSS 2026-NQM12 Mortgage Trust KBRA assigns preliminary ratings to ten classes of mortgage pass-through certificates from CROSS 2026-NQM12 Mortgage Trust, an RMBS transaction issued under the CROSS shelf, where Hildene-CCC Loan Acquisition II, LLC and CrossCountry Capital are the co-sponsors. This $663.3 million transaction is collateralized by a pool of 1,361 residential mortgages, including a meaningful concentration of collateral that KBRA considers to be “non-prime” (77.7%), with fixed-rate mortgages (FRMs) and hybrid adjustable-rate mortgages (ARMs) making up 86.4% and 13.6% of the pool, respectively. Most loans are either classified as non-qualified mortgages (Non-QM; 58.1%) or exempt (41.1%) from the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule due to being originated for non-consumer loan purposes. KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its Residential Asset Loss Model (REALM), an examination of the results from third-party loan file due diligence, cash flow modeling analysis of the transaction’s payment struct
For best results when printing this announcement, please click on link below: KBRA Assigns Preliminary Ratings to CROSS 2026-NQM12 Mortgage Trust KBRA assigns preliminary ratings to ten classes of mortgage pass-through certificates from CROSS 2026-NQM12 Mortgage Trust, an RMBS transaction issued under the CROSS shelf, where Hildene-CCC Loan Acquisition II, LLC and CrossCountry Capital are the co-sponsors. 6% of the pool, respectively. 1%) from the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule due to being originated for non-consumer loan purposes.
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its Residential Asset Loss Model (REALM), an examination of the results from third-party loan file due diligence, cash flow modeling analysis of the transaction’s payment structure, reviews of key transaction parties and an assessment of the transaction’s legal structure and documentation. S. RMBS Rating Methodology. To access ratings and relevant documents, click here Click here to view the report.
S. RMBS Rating Methodology Structured Finance: Global Structured Finance Counterparty Methodology Disclosures Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.
A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here Information on the meaning of each rating category can be located here Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. S. Securities and Exchange Commission as an NRSRO.
Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. In addition, KBRA is designated as a Designated Rating Organization (DRO) by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. S.
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