RMBS Credit Commentary: Whole Loan-ta Love: Best Execution

Research evidence excerpt

RMBS Credit Commentary: Whole Loan-ta Love: Best Execution

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 10 July 2026

ani.gelashvili@jpmorgan.com

J.P. Morgan Securities LLC

RMBS Credit Commentary

Whole Loan-ta Love: Best Execution

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• June was a record month for non-QM with $12bn+ priced across 27 deals. AAA

spreads widened ~15bp to the 130–140bp context due to supply technicals

• Home prices are growing slowly, and housing affordability remains strained

• Agency-eligible loans carrying high LLPAs have long found their way into PLS.

High-balance owner-occupied loans appeared in PLS as early as 2016. In 2021,

GSE caps on investor acquisitions pushed investor collateral into the channel, and

even after those caps were lifted, the loans stayed

• A handful of originators have now begun securitizing agency-eligible owner-occu-

pied loans in PLS, motivated by a mix of economics, distribution strategy and port-

folio construction

• For investor and second-home collateral, the execution math clearly favors PLS

• For owner-occupied collateral, the calculus is more nuanced. Still, even on owner-