Performance Report: Non-QM and CRT Mortgages, November 2022

What's New

• A new section (Non-QM Prepayment Forecasting) is included and was conducted using dv01’s own model, which is available for use in the web app. More information on the dv01 Non-QM Prepayment Model can be found here.

• The dv01 Non-QM Prepayment Model allows for performance attribution and each month a randomly selected security will be compared against the Non-QM Benchmark performance. 

Quick Insights

• Non-QM: Total Impairments rose 39 bps MoM to 4.2%—the largest increase since the COVID surge—with about 30% of that increase driven by Hurricane Ian (page 3).

• Non-QM: Non-QM prepayments are forecasted to have an upward slope over the next 12 months (page 13).

• CRT: Although the three-month cure and Payment Made rates fell MoM, the one-month metrics increased, suggesting future increases (page 15).