April 2026 Update: Performance Pressures Persist in Non-QM

The Non-QM market weakened further in April, but the deterioration remains far from uniform. dv01's latest analysis shows impairment growth is increasingly concentrated among self-employed borrower segments. While Bank Statement and CPA/P&L loans continue to see rising impairment rates, Full Documentation loans have remained largely unchanged, highlighting a growing divide in borrower performance across the Non-QM market.

Quick Insights

What the Data Says

• Broader Non-QM performance continues to deteriorate: April marked the fifth impairment increase in the last six months, with elevated delinquency activity and historically weak cure rates continuing to pressure performance.
• Documentation type has become a major performance differentiator: Since summer 2025, impairments among Bank Statement and CPA/P&L loans have risen more than 170 bps, compared to roughly 50 bps for DSCR and VOE loans and virtually no increase for Full Documentation loans.

What We're Watching

• With very little reprieve in performance deterioration thus far in 2026, will impairment deterioration in the second half be even worse than 2025’s rapid pace?
• Does the clear divergence across doc types suggest self-employed and varied cashflow borrowers are struggling more with the recent bouts of sticky inflation?
• Will stronger First-Time New Impairments translate into better performance in 2027 as the improved underwriting loans slowly replace the 2023 and 2024 vintages as those deals get called?