U.S. RMBS: Q3 2024 Non-QM Recap - DQs Higher, Prepayments Mostly Inch Up, Structures Performed Soundly, While New Deals Continued to Look Familiar

For Q3 2024, the U.S. non-qualified mortgage (non-QM) residential mortgage-backed securities sector saw delinquencies rise quarter-over-quarter while prepayments edged up and structural performance over the vast majority of non-QM deals remained on track. Q3 transaction closings volume was solidly within context of 2024's average quarterly pace, coming in at just over $9.8 billion in collateral securitized, versus about $10.5 billion in Q2, with largely similar deal attributes to what has been generally seen in non-QM deals this year.

The primary drivers for this past quarter's non-QM credit performance included a continuingly resilient macroeconomic backdrop. The unemployment rate across Q2 and Q3 held within a modest range between 3.9% and 4.3%, ending at 4.1% in September, while nonfarm payrolls showed the economy progressively added more jobs over the same period. The latest Q2 gross domestic product numbers reflected economic activity growing at a respectable annualized rate of 3.0%, while inflation continued to edge down towards the Fed's target of 2.0% as September headline CPI posted a 3.0% year-over-year gain.