July Breaks End-of-Month Rebound Trend as Total Impairments Rise

The typical rebound observed in the month following a Sunday month-end failed to materialize in July, in a very ominous sign for performance. Total Impairments rose 6 bps MoM in July, on top of June’s 62 bps increase.

Quick Insights

• LTV: Above 80 LTV loans continue to exhibit disproportionately high Impairment growth, with the difference relative to other LTV ranges widening substantially throughout 2024.

• Deal Age: The 2023 vintage continues to significantly underperform previous vintages, with a steeper rate of increase than any other. However, this underperformance is notably less severe when focusing solely on Purchase loans, where the 2023 vintage actually outperformed the 2021 vintage.

• Prepayment Forecasting: The dv01 Non-QM Prepayment Model has consistently demonstrated remarkable accuracy, with a difference of less than 1 CPR between forecasted and actual prepayments for ten consecutive months.