Performance of non-qualifying mortgage (non-QM) loans continued a broad weakening trend in February, flashing a signal that credit weakness continues to build across the sector.
Loans that had been current in January but became delinquent or otherwise impaired last month increased 0.3% over the month to land at 1.6% of outstanding non-QM loans, reversing January’s 0.02% monthly decline to 1.2% in the overall new impairment rate.
The total impairment rate rose to around 7.37% in February, a 0.56% increase from 7.22% in January, which reflected 0.16% growth from December levels, according to newly released monthly figures from dv01, a data analytics platform owned by Fitch Solutions.
An impairment refers to any loan that is delinquent or under modification. Reflecting what the company described as “dismal non-QM performance in 2025,” the sector-wide non-QM impairment rate hovered around 7.1% at the end of last year, with the total delinquency rate at around 6.8% by the end of December.
“The past two years represent the toughest stretch of performance in the sector’s history even as the broader mortgage universe was setting record-low delinquency rates,” read the report. “This trend magnified substantially in February, with performance rapidly deteriorating.”
The delinquency rate jumped to 7.3% from December to January in a particularly bad month for roll rates, by which past-due balances “roll” or age into later stages of delinquency. Loans that were 30 days delinquent passed into the 60-day delinquent bucket (30-59 roll rate) at a rate of 26.4% in January, a spike of 3.47% from the prior month.
Roll rates jumped by 3% and 1.9% in January, respectively, for loans that were 60 days delinquent becoming 90 days delinquent (60-89 roll rate), and 90-day delinquent loans progressing into the 90-plus category. That reflects respective roll rates of 42.4% and 82.4% for the 60-89 bucket and 90-plus bucket in January.
The company’s updated figures show roll rates continued to worsen last month, with the 30-59 roll rate rising 1% in February to exceed 27.7%. The 60-89 roll rate rose by roughly 3% for the second consecutive month to land at 45.7%.
The 90-plus delinquency roll rate eased slightly over the month, declining 0.38% to about 82.2%. However, the 90-plus overall impairment rate roughly matched January’s 0.2% increase to 3.85%, rising 0.19% monthly to land at 3.85%.
While roll rates continued to feel pressure last month, the total delinquency rate eased from the jump to 7.3% in January to around 6.9% in February, remaining above 2025’s year-end level. Across various stages of delinquency, 6.93% of non-QM loans were 30 days delinquent, 1.5% were 30 to 59 days past due, 0.61% were 60 to 89 days delinquent and 19.98% were 90-plus days past due.
A growing share of non-QM loans became delinquent or otherwise impaired for the first time in February, reversing a decline in that figure in January. The rate of first-time delinquencies or impairments rose to around 0.65% in February, a 0.15% monthly gain that dv01 called its largest monthly increase ever.
After December brought about a partial recovery from a “sharp collapse” in made-payment rates and delinquency cure rates in November, those benchmarks crumbled again in February. The made-payment rate reflects the percentage of loans in a securitized pool that made their scheduled payment, while cure rates denote the share of delinquent loans returned to current status.
Made-payment rates slid 1.6% over the month in February to land at 42.4% — below the 43.1% rate recorded in November — while delinquency cure rates declined 1.8% over the month to 20%, slightly above November’s cure rate of 19.4%.
“The performance over the last three months has cast doubt on that stability,” said the dv01 report, citing December’s brief recovery, “suggesting the market may be poised for further decline.”
