The latest addition to RiskSpan’s free RS Insights dashboard enables users to delve into insightful non-Agency delinquency trends. Slice and dice CoreLogic loan-level data by LTV, FICO, balance, vintage, doc type and program.

This post identifies just a few of the trends in non-QM loan performance that users can explore more deeply (and for free) by registering at https://riskspan.com/request-access/.

Accelerating Delinquency Rates Among Low-FICO Cohorts

Plotting delinquency rates by FICO bands makes it easy to visualize why the market punishes low-FICO loan cohorts the way it does.

In this first visualization, we look at non-QM loans irrespective of document type. We see that following the recovery from the Covid shock in early 2020, serious delinquency rates (60+ days) have begun to creep higher again across all FICO bands, but more dramatically among loans with sub-740 FICO scores, and particularly among loans with sub-680 FICO scores.

Drilling deeper, we can visualize the impact documentation type has on this difference. While the most pronounced difference between the lowest-FICO borrowers and other borrowers can be seen in full-doc loans, the steepness of the upward slope of the delinquency curve for these borrowers is more pronounced among bank statements loans and DSCR Investor Cash Flow loans, as well:

The relationship among 60+ default rates by documentation type (regardless of FICO) score is depicted in the visualization below:

Not surprisingly, the data reveals a sharp increase in delinquency rates for sub-680 FICO borrowers, regardless of doc type:

Accelerating Delinquency Rates Among High-LTV Cohorts

Analogously to low-FICO loans, markets punish loans with high loan-to-value ratios. The reason why is clear in the data.

As has been observed with FICO scores, the performance differences between the LTV bands are more pronounced among full-doc loans than among bank statement and DSCR loans.

Conclusion

Non-Agency Loan Performance Trends is only the latest addition to the suite of free dashboards available to subscribers and non-subscribers alike of RiskSpan’s award-winning Edge Platform. The Platform’s free dashboards include:

• Daily GSE prepayment data
• Whole loan trading market color
• TBA Pricing Reports
• Interactive prepayment model back-testing reports

The Non-Agency Loan Performance Trends dashboards enables users to create their own fully customized overview of the current state of non-QM performance by evaluating the collective and individual impacts of vintage, documentation type, loan size, and purpose on delinquency performance.

The dashboard provides a roadmap for analysts seeking to closely monitor delinquency trends in a dynamic economic environment, navigate non-QM credit and adopt strategies to mitigate risks and support borrowers.