mortgage-loans
Performance Report: Non-QM, August 2023
28 September 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.
