Performance Report: Non-QM, July 2026

dv01’s latest Non-QM Mortgage Performance Report shows impairments declining, while performance remains uneven across borrower and loan attributes. This report incorporates revisions to the Non-QM dataset that show impairments remain below 2025 levels.

What the Data Shows:

• Overall impairment levels stay lower: 30+ impairments fell 11 bps in July, fully reversing May’s Sunday month-end increase.
• Doc type driving the widest performance gap: Self-employed impairments were more than 350 bps above DSCR and Full Doc.
• Newer vintages are performing better: 2025-H1 shows lower impairments and delinquency than comparable 2023 and 2024 vintages, while Purchase and Cashout loans in newer cohorts are also outperforming.
• Prepayment dispersion decreased: Prepayments rose 0.2 CPR in July, while differences between FICO and doc types narrowed.

What We're Watching:

• While impairments have fallen from their 2025 levels, the YoY change is once again growing. Does that mean higher impairments next year?
• What is driving the impairment gap between self-employed and all other doc types, and what does it say about the impact of economic unease and energy shocks on variable income borrowers?
• How much of the outperformance in the 2025-H1 vintage will retrace with seasonality, especially in Purchase loans, and what does it say about the performance of 2026 vintages?