Research

Performance Report: Non-QM, August 2023

28 September 2023

Mortgage Perf - Aug 2023

dv01’s latest performance report is now available. Download now for trends through August 2023.

Quick Insights

  • Total Impairments rose 20 bps MoM, primarily driven by increased modifications.

  • Prepayments rose 0.2 CPR MoM despite increasing mortgage rates in May and June.

  • Performance attribution shows the NRZT 2022-NQM1 prepaying slower than its 2022 Non-QM cohort on a six-month basis. 

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