RMBS Credit Commentary: Lower FICOs, lower LTVs

Research evidence excerpt

RMBS Credit Commentary: Lower FICOs, lower LTVs

John Sim AC (1-212) 834-3124 Isabella Lee (1-212) 834-4148 North America Securitized J P M O R G A Njohn.sim@jpmorgan.com isabella.lee@jpmorgan.com Products Research

J.P. Morgan Securities LLC J.P. Morgan Securities LLC

Ani Gelashvili (1-212) 834-2605 26 June 2026

ani.gelashvili@jpmorgan.com

J.P. Morgan Securities LLC

RMBS Credit Commentary

Lower FICOs, lower LTVs

• Housing market’s core issue remains affordability. With months’ supply rising and

builders leaning on incentives to clear inventory, the “massive undersupply” nar-

rative looks increasingly challenged, though regional shortages still exist and war-

rant close monitoring

• Both the Senate and House this week passed the 21st Century Road to Housing Act,

and the bill was set to head to the President’s desk. The signing has since been can-

celed on account of the SAVE America Act on voting eligibility

• If the president does not sign the bill within 10 days and Congress has adjourned,

the bill dies; if Congress remains in session during the 10 days, the bill automatical-

ly becomes law

• An increasing volume of re-levered non-QM deals is coming to market. Approxi-

mately $5bn of re-lever transactions have priced so far in 2026, primarily compris-

ing of 2022 and 2023 vintage deals that are just exiting their call protection periods

• A key question investors have raised is how to evaluate these deals from a credit

perspective

• On one hand, updated FICOs have decreased. On the other, LTVs are lower

• The evidence suggests that FICO remains the dominant forward-looking risk indi-

cator, one that is not offset by demonstrated payment performance

• All else equal, re-lever deals should have marginally higher default rates versus

new issue higher FICO deals.