The impairment rate on non-QM MBS declined to 19.3% in July from 20.4% in June. While loan performance is improving, MBS investors could suffer reduced cash flows and losses as modifications end.

The majority of loans in Goldman's MBS were included in deals issued in 2017 and 2018 that were subsequently collapsed. Angel Oak, Chase and MFA also issued MBS within the past two weeks.

Only four deals were issued during the second quarter as industry participants dealt with volatility from the coronavirus. (Includes two data charts.)

A proposal by the FHFA regarding capital requirements could help non-agency execution options better compete with the GSEs due to an expected increase to the guarantee fees charged by Fannie and Freddie.

MFA was one day away from pricing its first non-QM MBS in March when volatility from the coronavirus struck. Result: deal scuttled but there's a happy ending: the REIT finally issued its first non-QM MBS this week.

Non-agency loans in forbearance decline; Moody's downgrades JPM's jumbo-mortgage aggregation unit; Pacific Private Money issues MBS backed by  bridge loans.