Performance Report: Non-QM, September 2023

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

Quick Insights

• dv01’s county affordability metrics have been updated for the third quarter of 2023, with a revised methodology that includes a more in-depth insurance estimate at the county level.

• Overall Impairments rose 60 bps MoM to 5.2% in September, the largest single month increase in the sector’s history (excluding COVID).

• DTI was arguably the largest differentiator of Prepay performance, with substantial declines in below 25 DTI Prepayments over the last couple of months

• Performance attribution shows MFA 2022-NQM3 prepaying faster than the dv01 Non-QM Benchmark cohort.