This post provides an update on delinquency rate trends observed in the Non-Agency mortgage market with a deep dive on different vintages and credit segments of the Non-QM market. All of the figures in this post are based on queries of historical CoreLogic Non-Agency data from the most recent factor date (December, 2025) via our proprietary RiskSpan Edge Historical Performance module.

December delinquency rates continue to decline from their post-Covid highs in May 2025:

  • As shown in Figures 1 and 2, the 60+ delinquency rate for Private Label Securities 2.0 (loans originated after 2010) is 1.98% as of December, 2025, down from 2.21% in August. The DQ rate for Legacy products (originated prior to 2010) dropped to 9.32%.
  • Prime Jumbo mortgages continue to demonstrate the strongest performance from a credit perspective, with delinquency rates at 0.53%.
  • 2nd Lien loans, comprising HELOCs and closed end mortgages, had a delinquency rate of 0.91% in Decemeber, down from 1.0% in August
  • Non-QM loans delinquency rates declined to 2.68% in December, down from 3.0% in August

Figure 1.

Figure 2.

Figures 3 through 5 show the relative delinquency performance of mortgages across 4 segments of the Non-QM population, which comprises the largest portion of the PLS 2.0 market. While loans with full documentation represent the largest segment of this market from a total outstanding balance perspective, originations have been shifting towards DSCR/Investor and Bank statement loans since 2022.

  • Fully documented loans have the lowest 60+ delinquency rate at 0.76%, though this DQ rate is higher than the post-COVID lows of 0.39% seen in October 2022.
  • Delinquency rates for DSCR/Investor and Bank Statement loans fell in December to 2.92% and 3.99% respectively.
  • Non-QM delinquency rates vary significantly by vintages
    • DQ rates are lowest for the 2021 Vintage at 1.94%, driven in part by the much higher proportion of Full Doc loans in this vintage (54%, compared to 29% for the Non-QM population as a whole)
    • DQ rates are highest for the 2023 Vintage at 6.02%. This is partially explained by the low proportion of Full Doc loans in this vintage (only 14%). But even when controlling for documentation type, the DQ rates are higher for the 2023 vintage, as shown in Figure 5. This could in part be explained by adverse selection through refinancing, where the borrowers with stronger credit have refinanced into rates that are lower than the 2023 peaks.

Figure 3.

Figure 4.

Figure 5.

Non-QM delinquency rates are highly differentiated by credit quality, but performance is still highly differentiated by documentation type when controlling for credit quality:

  • As shown in Figure 6, the 640-680 FICO bucket for the full Non-QM universe has a 60+ delinquency rate that is 10x the rate for the 760+ FICO bucket (8.35% vs, 0.80%). On a relative basis, the delinquency rate is even more differentiated for the Full Doc population, where the 640-680 FICO bucket has a 6.37% delinquency rate compared to a 0.19% delinquency rate for the 760+ cohort.
  • As observed in Figure 1, the Full Doc Non-QM loans have a significantly higher FICO score than the DSCR and Bank Statement Non-QM loans (763 vs. 744 and 737 respectively). However, this higher FICO score does not fully explain the lower delinquency rates for the Full Doc loans. Figure 7 shows that delinquency rates for Fully Documented loans are significantly lower than those for the DSCR and Bank Statement loans even within the same FICO bucket.

Figure 6.

Figure 7.

Figures 8 and 9 show the relative delinquency performance of Non-QM mortgages by year of origination. For these charts, vintages prior to 2021 are excluded to avoid the distorting impact of the COVID delinquency shock.

  • Figure 8 shows the 60+ delinquency rate for each vintage by factor date.
    • After eclipsing the delinquency rate of the 2022 vintage in July, the delinquency rate for the 2023 vintage continued to increase, hitting 6.02% in December
    • The 2021 vintage’s 1.94% DQ rate is significantly lower than subsequent vintages in spite of being the most seasoned. This is in part due to the disproportionately high share of full documentation loans in this first post-COVID cohort of Non-QM loans.
  • Figure 9 shows the 60+ delinquency rate for each vintage by loan age
    • Consistent with the trends observed in Figure 8, the 2023 vintage DQ rates ramp up faster than any of the other vintages.
    • The delinquency rates for the 2024 and 2025 vintages are tracking with the 2022 vintages.

Figure 8.

Figure 9.

Given the elevated delinquency rates of Non-QM mortgages relative to Agency and Prime Jumbo mortgages, particularly in the Bank Statement and DSCR/Investor and segments and in the lower FICO ranges, 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.