Non-QM Performance Attribution Report, August 2020

Our latest Non-QM Performance Attribution Report was released today, comparing the impairment performance of 28 non-QM securitizations against the dv01 Non-QM Benchmark.

Each securitization is broken out by the most explanatory factor of performance, such as loan documentation type, a borrower’s ability to repay, and geographic location, allowing you to better understand why certain cohorts are affecting overall performance. In this edition, we walk through GCAT 2019-NQM3.

Download the latest report for the August 2020 collection period to understand how non-QM securitizations are performing against an industry benchmark.