The just-released non-agency performance data (from November 2025) grabbed more than a few headlines.  

Non-QM loans saw a notable jump in early-stage delinquencies, raising understandable questions around the office (ours and others) about whether this move reflects emerging credit stress or something more benign – like, say, bad data. 

We ultimately concluded that the increase, while real, is likely temporary. The most plausible explanation for November’s spike in Non-QM delinquencies points to a calendar effect tied to the month ending on a Sunday. 

Benign, indeed. 

So what happened in November? 

In the latest data release from Cotality (formerly CoreLogic), delinquency rates rose meaningfully across the non-agency universe, driven almost entirely by a surge in the 30–59 days past due bucket. 

For the servicing month ending November: 

  • Total Non-Agency 30-day DQs increased 48 basis points, from 3.07% to 3.55% 
  • Non-QM 30-day DQs increased 41 basis points, from 1.66% to 2.07% 

For Non-QM loans, this one-month increase represents the largest jump in early-stage delinquencies since the COVID-related shock in April 2020, when these rates surged from 2.99% to 12.51%. For the broader non-agency universe, the increase was the largest since June 2024. 

These figures appear alarming. But a closer examination reveals that, in this case, the calendar may be doing most of the work. 

The Sunday Payment effect 

November ended on a Sunday (not just that, but on a Sunday that was, for many folks, the end of a four-day holiday weekend). When the final day of the month falls on a weekend, payments made on that day typically do not post until the following business day (in this instance, Monday, Dec. 1). As a result, loans that were paid “on time” (or less than 30 days late at least) can be temporarily classified as 30+ days delinquent for November reporting purposes, even though the borrower ultimately made the scheduled payment. 

This “Sunday month-end effect” is well documented and understood. And both internal discussions and external market commentary point to this being the primary driver of November’s delinquency spike. Among external commentators, ICE’s Andy Walden may have summarized it most succinctly: “While the topline delinquency numbers show a sharp increase, we’ve seen comparable spikes in prior years when November ended on a Sunday and scheduled payments didn’t post until early December.” 

The effect appears to be amplified with Sunday-ending Novembers in particular (perhaps because of the four-day weekend effect). As noted in the ICE piece, this has most recently happened in 2014, 2008, and 2003, when delinquency rates spiked by 61 bp, 112 bp, and 57 bp, respectively. All of those increases exceeded this year’s roughly 50 bp shift. 

Approach 1: A History Lesson

To test whether November’s increase fits a broader historical pattern, we examined the relationship between month-over-month delinquency changes and the day on which the month ended. 

Since 2006, there have been 33 months that ended on a Sunday. Over that nearly 20-year period, overall non-agency delinquency levels are broadly unchanged. And yet, those Sunday-ending months consistently exhibit upward pressure on reported 30-day DQ rates. 

Key observations: 

  • Across those 33 Sunday-ending months, non-agency 30-day DQ rates increased by an average of 37 bp 
  • 30-day DQ rates declined in only 4 of those months 
  • In the remaining 29 months, delinquency rates increased 
  • Importantly, 27 of those 29 increases were at least partially reversed in the subsequent month 

In other words, when months end on a Sunday, reported delinquencies tend to rise mechanically, only to then fall back once payments post and reporting normalizes. 

Chart 1: Month-over-Month Change in Non-Agency 30-day DQ rates (Sunday Month-Ends Highlighted, with green indicating a decline, and red indicating an increase) 

Approach 2: Agency Data as a Leading Indicator 

Non-agency delinquency data are reported with a one-month lag relative to Agency MBS. As a result, we can use Agency performance as a sort of real-time proxy for how non-Agency data may evolve in the following release. 

For the December factor date (corresponding to payments due November 30): 

  • Fannie/Freddie D30 jumped 19 bp, from 0.73% to 0.92% 
  • GNMA D30 jumped 41 bp, from 3.84% to 4.25% 

Crucially, both measures recovered sharply in December, declining back toward their October levels: 

  • Fannie/Freddie D30 fell to 0.78% 
  • GNMA D30 fell to 3.89% 

That represents a recovery of 74% and 88%, respectively, of the November spike. 

If Non-Agency and Non-QM delinquencies follow a similar pattern, a comparable recovery would imply: 

  • Non-QM D30 falling back to roughly 1.77% 
  • Total Non-Agency D30 falling back to roughly 3.20% 

These levels would be broadly consistent with pre-November trends and inconsistent with a narrative of accelerating credit stress. 

Chart 2: Agency vs. Non-Agency 30-day DQ Rate Changes and Subsequent Recovery (the dashed green and blue lines for December 2025 represent extrapolated D30 rates if Non-agency mortgages see similar recoveries to those experienced by Fannie/Freddie mortgages) 

Conclusion 

November’s spike in Non-QM delinquencies looks dramatic, but the weight of evidence points to a calendar artifact, not a structural shift in credit performance. Similar spikes usually occur when any month ends on a Sunday and are particularly pronounced when November does. History suggests 2025’s anomaly will be largely reversed in December. 

Investors should continue to monitor delinquency trends closely, and we will revisit this analysis when the next Cotality data are released in early February. For now, the data argue for caution, not alarm.