dv01 and Fitch Launch New RMBS Benchmarks—Available for Free

Research

Performance Report: Non-QM and CRT Mortgages, January 2023

3 March 2023

Mortgage Perf - jan

dv01’s latest performance report is now available. There has been a shift in impairments between Non-QM and CRT over the past six months, which largely continued in January, and the big divergence has been among cure rates. Download the report to learn more.

Quick Insights

  • Non-QM: Foreign National doc type has emerged as one of the fastest-prepaying attributes (page 10).

  • Non-QM Performance Attribution: When comparing ARRW 2021-1R against its 2021 vintage Non-QM cohort, the difference is just 0.1% SMM; the main driver is higher rate incentive and different occupancy statuses (page 13).

  • CRT: Prepayments fell 1 CPR—its largest decline in four months—to set another record low (page 17).

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