Non-agency MBS Weekly: Non-(Stop)-QM

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Non-agency MBS Weekly: Non-(Stop)-QM

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Non-agency MBS Weekly

Non-(Stop)-QM

Non-Stop Non-QM 26 June 2026

Non QM Originations for 2026 are once again on-track to become the highest post GFC Securitized Products Strategy

year on record. We project Non-QM originations to reach $175bn and securitizations to United States

reach $100bn ($57bn YTD). Driving this growth has been the increased volume of

DSCR/Investor loans within Non-QM with the share reaching 50% of all collateral. The PratikCLO/MBSK. GuptaStrategist

IMN/Informaconnect Non-QM conference saw record attendance with over 650 BofAS

+1 646 855 9146

attendees last week and was overall constructive. pratik.gupta@bofa.com

Resecuritize, Reuse, Recycle ChrisFI/MBS/CLOFlanaganStrategist

BofAS

NQM resecuritizations have increased following deal calls since 2025. 2026YTD +1 646 855 6119

resecuritized deals are around $4bn (vs $5.5bn calls YTD). Resecuritized Non-QM deals christopher.flanagan@bofa.com

have higher D60+%, higher GWAC dispersions. This could drive higher net-WAC Andy Fan

CLO/MBS Strategist

deterioration which lowers coupons on mezz bonds. We prefer seniors in these deals. BofAS

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Non-QM Performance: andy.fan3@bofa.com Akash Bhairav Gupta

Prepays: S-curves for the overall Non-QM market have become steeper over time. Due MBS/CLO Strategist

to variance in share of High FICO, High balance, and Full doc loans in Non-QM deals, as BofAS +1 646 855 7717

well as a varying share of such loans among issuers. This is further exacerbated by the akashbhairav.gupta@bofa.com

increase in larger loans in recent Non-QM deals.

Delinquencies: DQs have continued to creep up throughout 2022-2024 across vintages We provide a factbook that includes issuance,