dv01 and Fitch Launch New RMBS Benchmarks—Available for Free

Research

Performance Report: Non-QM, November 2023

3 January 2024

Mortgage Perf - Nov 2023

Download the dv01 performance report to stay up-to-date on the latest trends. 

Quick Insights

  • Total Impairments rose 38 bps MoM—the largest surge in the sector's history outside of COVID. Impairments are now at 5.1%.

  • All Doc Types converged between actual and model performance, with not a single doc type showing more than a 0.5 CPR difference relative to the Benchmark.

  • Performance attribution shows PRKCM 2023-AFC1 prepaying faster than its Non-QM Benchmark cohort. This was driven by a better rate incentive, SATO, and loan seasoning.

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