Commentary
U.S. RMBS Frontline Perspectives: U.S. Non-QM RMBS Recent Performance and New Issue Trends: Presentation Slides
RMBSSummary
Thanks to the pandemic, RMBS credit performance backed by non-QM loans rated by DBRS Morningstar had weakened due to a jump in shares that became delinquent since March 2020. Non-QM issuance went on a roller coaster ride in the first half of 2020 as volumes dropped in March, bounced back in May, and rose in June. It was anticipated that new issuance in H2 2020 would continue to include transactions backed by non-QM pools with high share of delinquent loans because of borrowers under forbearance or payment relief plans.