Non-agency MBS Weekly: May Remits: Business as usual

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Non-agency MBS Weekly: May Remits: Business as usual

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Non-agency MBS Weekly

May Remits: Business as usual

Market Overview 05 June 2026

Issuance for the week was around $3.8bn, YTD at $119bn. Spreads tightened slightly Securitized Products Strategy

over the week, with Non-QM AAAs at 115bps, HELOC/CES at 125bps, Jumbo 2.0 PT at United States

132bps.

Pratik K. Gupta

May Remits CLO/MBSBofAS Strategist

+1 646 855 9146

Prepayments: Prepayment speeds decreased across all sectors for May remits. Jumbo pratik.gupta@bofa.com

2.0 decreased by around 8CPR to 14CPR, and Non-QM by 2CPR to 17CPR. 2023/2024 Chris Flanagan

vintages are prepaying the fastest at 30 CPR for Jumbo, 20 CPR for Agency investor, 20- FI/MBS/CLO Strategist

BofAS

25 CPR for NQM and 20 CPR for 2nd lien/HELOCs. Fast prepays => Residuals in those +1 646 855 6119

vintages are likely to underperform. christopher.flanagan@bofa.com

Andy Fan

Delinquencies: D30+% mostly unchanged for May remits. Non-QM increased 0.17% to CLO/MBS Strategist

6.19%. Jumbo 2.0 is at 1%. D60+% is mostly unchanged in May remits. Non-QM is at +1 646 855 9145

3.93%, Jumbo 2.0 is at 0.6% andy.fan3@bofa.com

Akash Bhairav Gupta

Deal Calls: 14 deals with a $3.2bn balance called in May (79 deals, $16bn YTD) across MBS/CLO Strategist BofAS

RMBS sectors. Most calls were for Non-QM, NPL, and RTL sectors. YTD, 22 Non-QM +1 646 855 7717

($4.8bn UPB) have been called. Call activity will remain elevated for 2022-23 vintage akashbhairav.gupta@bofa.com

deals. In this report, we also look at Non-QM deals that have stepped up in coupon but

have not been called yet. We see 32 NQM deals from 2021-22 vintage that have Wespreads,provideperformance,a factbook collateralthat includescharacteristics,issuance,

stepped up.