Non-agency MBS Weekly: FLHB update and July Remits: Well-Seasoned

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Non-agency MBS Weekly

FLHB update and July Remits: WellSeasoned

Market Overview

31 July 2026

Issuance for the week was around $8bn, YTD at $155bn. Spreads widened across NQM

by 5bps for AAA and 10bps lower down the stack. Floaters still attractive with HELOC

floaters at 140, Jumbo 6cap 175, 6.5cap 145, and Non-QM 6cap floaters 135 as issuance

picked up this week. We introduce whole loan spreads for Non-QM (185bps), 2nd liens

(190bps) and Jumbo pools (170bps) in this publication.

Securitized Products Strategy

United States

With mortgage rates increasing by ~40bps, Non-QM rate locks have seen a modest

decline MoM, particularly given the seasonal impact. This could moderate Non-QM deal

volume in the medium term, although elevated deal calls and resecuritization should still

keep primary market activity high.

FHLB Policy Updates to Drive More Mortgages

The Federal Home Loan Bank System is seeking regulatory updates to better promote

mortgage growth, origination, and market liquidity. Recent discussions and policy

proposals in the July 21st hearing are generally positive for mortgage and MBS supply

and demand. Though considering that Non-Agency RMBS remains a very small part of

FHLB activities, the positive impact for our sector remains muted.

July Remits

Prepayments: Prepayment speeds decreased across all sectors for July remits apart

from HELOC/CES. Prepays have dropped significantly in the past few months due to

rising mortgage rates. Jumbo 2.0 decreased by 1CPR MoM to now 9CPR, and Non-QM

decreased by 1CPR MoM to 13CPR. Agency investor prepays declined by 2CPR MoM to

7CPR, and CES/HELOC prepays increased by 2CPR MoM to 18CPR.

Delinquencies: D30+% and D60+% mostly unchanged, except for Agency Investor

which increased by 0.2% to 1.2%. Non-QM D60+% is at 3.2%, Jumbo 2.0 is at 0.6%

Deal Calls: Deals worth $24bn prior to call were called YTD, with $2.8bn called this

month. This month saw 8 Non-QM deals called with around $1.5bn pre-call balance. YTD

36 Non-QM deals with a combined $7.2bn pre-called balance were called.

Deal call levels in RMBS are the highest they have been, with over 117 deals being called

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