Performance Report: Non-QM, February 2024

dv01’s latest performance report is now available. Download now for trends through February 2024.

Quick Insights

• Federal Reserve data shows both average and 90th percentile DTIs for 2023 only slightly above 2018 levels, despite materially higher mortgage rates and home prices.
• Total Impairments rose 27 bps MoM in February.
• DSCR loans have significantly outperformed all other Doc Types and are the only Doc Type with essentially unchanged Impairment rates throughout 2023.
• Performance attribution shows the VERUS 2021-7 prepaying slower than its Non-QM Benchmark cohort, almost entirely due to rate incentive differences.