Non-QM Impairments Continue to be Impacted by Hurricane Effects

The latest dv01 research is now available for download.

Quick Insights

• Overview: Non-QM impairments rose in December, driven entirely by hurricane-related impacts.

• Deal Age Analysis: The 2023 vintage of Non-QM loans underperforms, with higher delinquency and impairment rates, driven by product mix and Cash Out loans.

• Prepayment Forecasting: All doc types saw the difference between actual and model-predicted performance below 1 CPR for the second consecutive month.