COVID-19 Performance Report, Volume 33

The latest installment of our COVID-19 Performance Report offers a comprehensive overview of the online lending, CRT, non-QM, and subprime auto markets.

Below are some quick updates:

• Online Lending: Prepayments rose for the first time in six months, returning to December’s levels (page 12).

• Non-QM: Prepayment rates fell nearly 400 bps MoM; the decline reflects the mortgage rate increases, which have affected refinance incentives (page 20).

• CRT: Cure rates breached 25% for the first time since the onset of COVID-19 (page 23).

• Subprime Auto: Impairment rates rose 90 bps MoM, contradicting seasonal patterns; this is potentially a red herring for sector performance (page 29).

Download the report to see updated insights with data through February 21, 2022 for online lending and January 31, 2021 for mortgages and subprime auto.