Performance Report: Non-QM, September 2023

1 November 2023

Mortgage Perf - Sept 2023

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

Quick Insights

  • dv01’s county affordability metrics have been updated for the third quarter of 2023, with a revised methodology that includes a more in-depth insurance estimate at the county level.

  • Overall Impairments rose 60 bps MoM to 5.2% in September, the largest single month increase in the sector’s history (excluding COVID).

  • DTI was arguably the largest differentiator of Prepay performance, with substantial declines in below 25 DTI Prepayments over the last couple of months

  • Performance attribution shows MFA 2022-NQM3 prepaying faster than the dv01 Non-QM Benchmark cohort. 


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