Impairments to non-qualifying mortgage (non-QM) pools rose in November at their fastest pace in the sector’s history, excluding the COVID-19 pandemic, according to a new report by dv01, a loan-level data analytics platform owned by Fitch Solutions.
The report’s authors acknowledged that seasonal factors typically render November the worst month for non-QM loan performance, while also noting the effects of this past November ending on a Sunday. But they nevertheless called the recent impairment spike “striking and concerning.”
An impairment refers to any loan that is delinquent or under modification, signaling a reduction in the collectible cash flow of a securitized loan pool. The non-QM sector had an impairment rate of 6% in November, or roughly five times higher than pre-pandemic levels, dv01 reported.
Overall impairments rose 0.8% from October to November, with the deterioration “driven by a combination of elevated new impairment formation and a sharp collapse in cure and made-payment rates,” the dv01 report read.
Total delinquencies across the non-QM sector rose 0.8% over the month, “accounting for all of the impairment increase,” the report said. Dv01’s analysis covered about 175,000 active non-QM loans issued since 2018, with a total unpaid balance exceeding $78 billion.
The loans have a weighted-average credit score of 743, weighted-average loan-to-value ratio of 68.4%, weighted-average mortgage rate of 5.8%, weighted-average debt-to-income ratio of 31.8%, and an average balance of around $421,000.
Deal age remains a significant driver of loan performance, with issuance from 2023 and the first half of 2024 driving “nearly all of the impairment and delinquency increases over the past two years,” according to dv01. But loans issued in the second half of 2024 have shown “materially slower impairment growth” compared with those earlier vintages.
Thirty-day and 60-day impairment rates for non-QM loans from 2023 are now 1.8 times and 2.7 times higher than their 2021 and 2022 counterparts, according to the report.
Across the sector, repeat delinquencies among loans that had been at least 30 days delinquent at some point since origination, but ended October current, rose 0.58% in November. The number of first-time delinquencies and impairments rose 0.18% over the month.
The cure rate in November, meaning the share of delinquent loans that returned to performing status, plummeted 5.1% over the month. The made-payment rate, which measures the percentage of loans in a pool that made their scheduled payment, declined 5% monthly.
“The magnitude of the decline sent both metrics to their all-time lows in November,” the authors wrote. The drop in cure and made-payment rates was more than double that observed at the end of August 2025, which also ended on a Sunday.
On a collateral level, credit score was the main differentiator in loan performance in November, the report noted, with impairments among sub-700 credit score borrowers 1.5% higher than December 2024 and 5% higher than December 2023.
Impairments rose across all document types except for verification of employment (VOE) loans.
