Second Half 2019 Non-QM RMBS Performance Update: Fast Prepays Continue to Bolster Credit Performance as Delinquencies Remain Generally Low

From June through November 2019, the credit performance of residential mortgage-backed securities backed by non-qualified, or non-QM, mortgage loans that DBRS Morningstar rated remained generally favorable. Fast voluntary prepayments continued to bolster credit performance by causing credit-enhancement levels for all rated bonds to rise because the pools paid down and the share of the outstanding subordinated bonds increased. The rise in credit enhancement levels offset an increase in a share of the seriously delinquent loans (60 or more days past due), which remained generally low but jumped in a few seasoned deals as the collateral pools shrunk amid paydowns and a few previously current borrowers became delinquent on mortgage payments.