This is a monthly update on non-QM delinquency rate and roll rate trends based on the March 2025 remittance data. Similar to last month’s post, I use the CoreLogic Non-Agency loan data to split out the Non-QM population by loan type. I compare the relative delinquency performance of mortgages backed by Investor properties vs. loans with full documentation vs. other Non-QM loan types (this last bucket comprises mainly Bank Statement loans). I use a slightly revised and more inclusive definition of Non-QM this month so the overall balance figures are higher and delinquency rates and roll rates are slightly lower than those reported in last month’s post.

The first chart shows that the non-performing delinquency rate (60+ dpd loans as a percentage of the overall population) has risen from a post-COVID low of 0.85% in July 2022 to 3.09% as for the most recent remit month. This increase has been driven by deterioration in the credit performance across all Non-QM loan types. Notably, the delinquency rate for Investor loans increased to 3.56% as of March, up more than three-fold from post-COVID lows of 1.1% in October 2022 and up 91bp year over year. Full Doc Non-QM loans continue to outperform other segments significantly, but their delinquency rates still rose to 0.85%, a new post COVID recovery high.

The other driver of the increase in delinquency rates for the Aggregate Non-QM loan population is a gradual shift in their mix away from the Full Doc loans, which have a better credit profile. As shown in the graph below, Full Doc loans as a percentage of the overall NQM mix have fallen from over 50% of NQM population as of the end of 2018 to only just under 31% in March. Meanwhile, Investor loans have increased from only 3% of the Non-QM population as of the end of 2018 to 10% just before COVID to over 24% as of March.

The last graph considers the gateway transition of mortgages to non-performing status: the current to 30 roll rates, or the percentage of current loans that roll to 30 days delinquent in any given month. These trends are broadly in line with what we see for the overall delinquency rates: roll rates have increased significantly since their post COVID lows.

In the March remittance data, overall Non-QM C->30 roll rates increased to 1.18%, their highest level since December 2020. All 3 non-QM segments broken out in this graph also hit new post COVID highs, with Investor-backed loans experiencing a 1.43% C->30 roll rate, 2.9x the 0.50% roll rate experienced by Full Doc Non-QM loans.

As non-QM mortgages show signs of growing distress amid broader economic uncertainty, we recommend heightened vigilance for investors and risk managers with Non-QM exposure in their portfolios. RiskSpan’s credit models forecast delinquency roll rates directly, and our modeling team calibrates our suite of models to capture both the overall trends and the differentiated performance across loan and product types. These models are just one component of our scaled analytics solutions to help our clients evaluate risk and make investment decisions.

Contact me to discuss.

This is a follow-up to Bernadette Kogler’s short piece last month on stress in the Non-QM mortgage market. In this post, I use the CoreLogic Non-Agency loan data to split out the Non-QM population by loan type and look at the relative delinquency performance of mortgages backed by Investor properties vs. loans with full documentation vs. other Non-QM loan types (this last bucket comprises mainly Bank Statement loans).

As the following chart illustrates, the non-performing delinquency rate (60+ dpd loans as a percentage of the overall population) has risen from a post-COVID low of 1.01% to 3.59% as of March 2025. This increase has been driven by deterioration in the credit performance across all Non-QM loan types. Notably, the delinquency rate for Investor loans increased to 3.82% as of March, up more than three-fold from post-COVID lows of 1.1% in October 2022. While they remain the best performing loan type, even the Full Doc loans have seen a doubling of delinquency rate, to 1.11%.

The other driver of the sharp uptick in delinquency rates for the Aggregate Non-QM loan population is a shift in their mix away from the strongly performing Full Doc loans. As shown in the graph below, Full Doc loans as a percentage of the overall NQM mix have fallen from over 50% of NQM population as of the end of 2018 to only 22% in March. Meanwhile, Investor loans have increased from only 3% of the Non-QM population as of the end of 2018 to 10% just before COVID to 28% as of March.

Finally, we look at the gateway transition of mortgages to non-performing status: the current to 30 roll rates, or the percentage of current loans that roll to 30 days delinquent in any given month due to a missed payment. Not surprisingly, these trends are broadly in line with what we see for the overall delinquency rates: roll rates have increased significantly since their late 2022 lows.

But these roll rates give us a more real-time perspective on how different loan types are performing relative to each other than the delinquency rate levels, which represent the cumulative effect of historical performance. In the most recent remittance data, Investor-backed loans experienced a 1.42% C->30 roll rate, which was 2.5x the 0.58% roll rate experienced by Full Doc Non-QM loans. By contrast, that multiple was only 1.8x in October 2022 when NQM loans were experiencing their lowest post-COVID roll rate performance.

Given the deteriorating performance of Non-QM mortgages and backdrop of macroeconomic uncertainty, it is important for investors to monitor their portfolios that have Non-QM exposure. Our credit models at RiskSpan model these delinquency roll rates directly, and our modeling team calibrates our suite of models to capture both the overall trends and the differentiated performance across loan and product types. These models are just one component of our scaled analytics solutions to help our clients evaluate risk and make investment decisions.

Contact me to discuss.