In June, KBRA published its inaugural RMBS Default Study, examining the performance of the non-qualified mortgage (NQM) market over the past 10 years and across a number of loan attributes. NQM loans are those that do not meet the qualified mortgage (QM) requirements established by the Consumer Financial Protection Bureau (CFPB). NQM securitizations typically include loans with alternative income documentation, credit impairments, business-purpose or property-focused underwriting, and foreign national borrowers. As noted in the inaugural report, we believe the NQM market is perhaps better described as “non-prime.”
In this report, we add new borrower- and loan-level variables and report results for these additions through August 30, 2025 (the latest available), to capture emerging trends in the non-prime RMBS market. These include: