Strong Performance in Non-QM MBS

According to a study conducted by Inside Nonconforming Markets, using data from Bank of America Merrill Lynch and CoreLogic, post-crisis non-QM RMBS collateral has performed particularly well, with the current-to-delinquent roll rate at 0.4 percent. The report noted that not only are non-QM MBS deals better underwritten, but also that credit enhancement on non-QM MBS has been increased significantly. According to the Bank of America research note, "AAA enhancement of 35 percent to 40 percent in non-QM deals should not be breached even if the collateral performance turns out to be as bad as 2007 vintage legacy Alt A/subprime cohorts."

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