Performance Report: Non-QM, November 2023

Download the dv01 performance report to stay up-to-date on the latest trends. 

Quick Insights

• Total Impairments rose 38 bps MoM—the largest surge in the sector's history outside of COVID. Impairments are now at 5.1%.

• All Doc Types converged between actual and model performance, with not a single doc type showing more than a 0.5 CPR difference relative to the Benchmark.

• Performance attribution shows PRKCM 2023-AFC1 prepaying faster than its Non-QM Benchmark cohort. This was driven by a better rate incentive, SATO, and loan seasoning.