dv01 and Fitch Launch New RMBS Benchmarks—Available for Free

Research

Performance Report: Non-QM, March 2023

1 May 2023

Mortgage Perf - march 2023

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

Quick Insights

  • Prepayments hit a new seven-month high, perhaps indicating the bottoming out of Non-QM prepayment behavior (page 8).

  • The accuracy of the dv01 Non-QM Prepayment Model was near all-time highs in March (page 11).

  • When comparing VERUS 2021-1 to its 2021 vintage Non-QM cohort, the VERUS deal prepaid slower due to worse doc type profiles and higher forecasting errors (page 13).

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