Performance Report: Non-QM, March 2023

dv01’s latest performance report is now available. Download now for trends through March 2023.

Quick Insights

• Prepayments hit a new seven-month high, perhaps indicating the bottoming out of Non-QM prepayment behavior (page 8).

• The accuracy of the dv01 Non-QM Prepayment Model was near all-time highs in March (page 11).

• When comparing VERUS 2021-1 to its 2021 vintage Non-QM cohort, the VERUS deal prepaid slower due to worse doc type profiles and higher forecasting errors (page 13).