DBRS Updates Performance of Non-QM Securitizations

From 38 outstanding non-QM MBS deals, only three had accumulated net losses as of August 2018, according to research by DBRS, covered by Inside Mortgage Finance. The report noted that of these net losses, the highest on record was five bps, and that 60-day-plus delinquency rates are generally below four percent, indicating that the non-agency, non-conforming loans are performing well. That said, the report notes, “If the economic environment becomes more distressed, some of the non-QM borrowers, particularly those with prior credit events, may come under pressure, although DBRS generally believes that the rated securitizations are sufficiently credit enhanced to withstand the expected losses at various stress levels.”

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