Performance Report: Non-QM, February 2023

dv01’s latest performance report is now available. 

Quick Insights

• Total Impairments rose 32 bps MoM, driven by higher delinquencies and lower cure rates (page 3). 
• Prepayments increased for the first time since October, rising 0.8 CPR MoM to 6.5 (page 8).
• When comparing GCAT 2021-NQM2 against its 2021 vintage Non-QM cohort, the GCAT deal prepays faster due to favorable occupancy and state concentrations, along with higher model errors (page 13).