Non-QM Underperformance Continues, With Overall Impairments Rising 38 bps MoM

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Quick Insights

• Census Homeownership: Lower-income households experienced a massive increase in homeownership, offsetting declines from previous quarters.

• Overview: November saw continued underperformance, but unlike October, a much smaller portion is attributable to post-hurricane issues.

• Deal Age Analysis: The 2023 vintage continues to materially underperform earlier vintages, with a steeper rate of increase than any other vintage.

• Prepayment Forecasting: November saw a massive decline in prepayments among 12– and 24-Month Bank Statement loans, reversing most of October’s spike and bringing all doc types to within 1 CPR of model predictions in November.