Oct Update: Impairments Stall, Prepayments Surge

The latest dv01 research is now available for download.

Quick Insights

• No recovery from August’s impairment spike: October impairments were essentially unchanged, marking zero retracement of the late-August Sunday month-end surge—far from the typical 40–80% recovery seen historically.

• LTV drove October deterioration: Impairments rose exclusively among Above-80 LTV borrowers, now sitting nearly 40 bps above their February peak.

• Cure behavior remains a relative bright spot: Cure and Made Payment rates improved for the third time in four months, one of the few metrics holding steady despite broader 2025 deterioration.

• dv01’s Non-QM Prepayment Model continues to lead the market: Our model captured the majority of October’s sharp prepayment increase—even as 12-month bank statement loans saw one of the fastest MoM CPR spikes in years—underscoring its accuracy in volatile rate environments.