Performance Report: Non-QM, August 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.