Non-QM Performance Attribution Report, December 2021

Our latest Non-QM Performance Attribution Report was released today, comparing the impairment performance of active non-QM securitizations against the dv01 Non-QM Benchmark.

Each securitization is broken out by the most explanatory factor of performance, such as loan documentation type, allowing you to better understand how and why certain cohorts are affecting overall performance.

Quick updates:

• Overall impairments for the Non-QM Benchmark decreased 28 bps MoM and are now at 7.23%.

• CHNGE 2022-1 and NRZT 2022-NQM1 were onboarded to the dv01 platform and are included in the Non-QM Benchmark.