Non-Agency Special Topics: June remits: Elevated deal redemptions and slower prepays

Research evidence excerpt

Non-Agency Special Topics: June remits: Elevated deal redemptions and slower prepays

Global Markets Research

1 July 2026Non-Agency Special Topics

Securitized Products - North America

Research AnalystsJune remits: Elevated deal redemptions and

US Securitized Productsslower prepays

Paul Nikodem - NSI

paul.nikodem@nomura.com

+1 212 667 2130

Rohit Sinha - NSI

Rohit.Sinha@nomura.com

Save the date: +1 212 298 4905

Nomura’s Securitized Products and US economics research teams will host a Mid-Year Chinmay Kulkarni - NSI

outlook call on 14 July at 3:00PM EST. Please register here for the call. chinmay.kulkarni1@nomura.com

+ 1 212 298 4598

Daivaksh Patel - NSI

daivaksh.patel@nomura.com

In June, aggregate prepays declined by 1-2 CPR for non-QM, jumbo prime and CRT, due +1 212 667 9238

to higher driving mortgage rates and lower day count partly offset by positive housing

seasonals. The decline in prepays was higher for 7-8% of the GWAC cohort within non-

QM and >8% GWAC cohort within the jumbo prime/CRT.

We expect aggregate prepays to remain largely unchanged in July as one additional day

count and positive housing seasonals should offset the impact of a 15bp backup in

mortgage rates. Across GWAC cohorts, we expect prepays to increase for seasoned low

GWAC cohorts, while prepays to decrease for less seasoned high GWAC cohorts.

Aggregate current to delinquency roll rates (Current to D30+) increased marginally across

sectors in June (non-QM: 0.1%, CES: 0.1%). In non-QM, 34 loans liquidated with losses in

June; most of these loans were liquidated via REO.

Deal redemption activity remained elevated in June as fifteen deals totaling $4bn

were redeemed, bringing YTD redemption volumes to $20bn. We expect call activity