April Update: Non-QM Prepayments Increase; Closed-End Seconds Show Regional Weakness

The latest dv01 research is now available for download. April data reveals rising borrower activity in response to falling rates, continued divergence between purchase and cash-out loan performance, and additional insights from our Closed-End Seconds Benchmark.

Quick Insights

Non-QM

• Prepayments climb again: CPR rose 1.9 MoM to 16.2—marking the highest level since April 2022. California and West-ex-Cali regions led the surge, especially among 740+ FICO borrowers.

• Impairments tick up: April impairments rose 9 bps, but pace of deterioration slowed; CPA/P&L loans remain weakest by document type.

• Purchase vs. Cash-out split widens: 2024-H2 purchase loans are outperforming and tracking close to 2022 vintages. In contrast, cash-out loans continue to underperform, with 2024-H1 60+ DQ rates now above 2023 levels.

• Impairments decline in higher-LTV loans: Above 80 LTV segment posted its first two-month impairment improvement streak since 2022.

Closed-End Seconds

• Natural disaster effects linger: CES impairments remain elevated in FL/GA/SC and TX/OK/LA, even as other sectors normalized.

• Cure trends align with Non-QM: Cure and Made Payment rates suggest borrowers treat second liens similarly to firsts—indicating broad financial stress vs. strategic nonpayment.

• Prepay activity widens: Like Non-QM, CES saw increased prepayments in April, with both low and high FICO cohorts leading the pace.