Feb 2026 Update: Non-QM Stress Deepens as Broader Market Holds

The latest dv01 research is now available for download.

Quick Insights

What the Data Says

• Delinquencies are stable but regionally uneven: The Intercontinental Exchange Mortgage Monitor shows delinquencies holding near 2022–2023 levels nationally, with the Northeast/NY Tri-State outperforming and TX/OK/LA posting some of the highest rates in the nation.
• Non-QM stress has accelerated: The sector saw its largest monthly impairment increase on record outside of COVID, with cure and Made Payment rates returning to record lows.
• Vintage weakness persists: Stress remains concentrated in 2023–2024 vintages. Purchase loan outperformance over cashouts is converging, though the gap holds in cure and Made Payment rates.
• dv01 Prepayment Model shows normalization: Model expectations matched actual prepayments for the second consecutive month, with all doc types aligning to model-expected behavior.

What We're Watching

• With impairments and curing continuing to deteriorate, will 2026 be the year where enough loans turn into losses to observe some clarity on severities?
• With the material underperformance of below 700 FICO and Above 80 LTV, how much do underwriting standards need to tighten, or spreads need to rise to appropriately compensate buyers?
• Will March—the strongest month of the year—bring any relief to performance?