Performance Report: Non-QM, May 2023

dv01’s latest performance report is now available. 

Quick Insights

• New Impairment metrics hit new post-COVID lows in May and, for the first time since 2021, are below their pre-COVID trends (page 3).

• dv01 Non-QM Prepayment Model's projections have converged with actual performance after several months of divergence last year, with April and May among the most accurate months (page 11).

• When comparing CSMC 2022-NQM1 to its 2022 vintage Non-QM cohort, the CSMC deal underperforms due to less favorable rate incentive and Doc Type (page 13).