Performance Report: Non-QM and CRT Mortgages, December 2022

Quick Insights

• Non-QM: One-month Cure and Payment Made rates soared, due in part to Hurricane Ian's impact unwinding. The increase was enough to send the three-month Cure rate upward in seven months (page 5).

• Non-QM Performance Attribution: When comparing NRZT 2022-NQM2 against its 2022 vintage Non-QM cohort, it had higher expected prepayment due to seasoned loans and a more favorable DTI profile; however, it was offset by having substantially lower rate incentive (page 13).

• CRT: S-curves continue to narrow substantially across geographic regions (page 19).