KBRA Assigns Preliminary Ratings to CROSS 2026-NQM3 Mortgage Trust RMBS

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KBRA, a credit rating agency, has assigned preliminary ratings to ten classes of mortgage pass-through certificates from the CROSS 2026-NQM3 Mortgage Trust, a $538.3 million transaction. The trust is collateralized by 911 residential mortgages, with a significant portion (72.6%) considered 'non-prime' and 64.6% being non-qualified mortgages (Non-QM).

Why it matters

The CROSS 2026-NQM3 transaction underscores the continued growth and investor interest in the non-prime mortgage-backed securities (RMBS) market, despite broader economic uncertainties. Non-QM lending has been steadily increasing as a segment of the mortgage market, catering to borrowers with unique financial situations who may not qualify for traditional mortgages.

The details

The CROSS 2026-NQM3 trust is collateralized by 911 residential mortgages, with fixed-rate mortgages (FRMs) comprising the majority of the pool at 78.2% and hybrid adjustable-rate mortgages (ARMs) making up the remaining 21.8%. Approximately 64.6% of the loans are non-qualified mortgages (Non-QM), and 34.9% are exempt from the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule. KBRA's assessment involved a thorough analysis of the mortgage pool using its Residential Asset Loss Model (REALM), including third-party loan file due diligence, cash flow modeling, and reviews of transaction parties and legal documentation.

• KBRA recently assigned preliminary ratings to the CROSS 2026-NQM3 Mortgage Trust.
• On February 27, 2026, KBRA assigned ratings to the CROSS 2026-NQM3 Mortgage Trust, a $612.2 million transaction.