RMBS Delinquency Chartbook

Research evidence excerpt

John Sim AC (1-212) 834-3124

J.P. Morgan Securities LLC

Ani Gelashvili (1-212) 834-2605

J.P. Morgan Securities LLC

Isabella Lee (1-212) 834-4148

J.P. Morgan Securities LLC

Nitish Karthikeyan (91-22) 6157 3944

J.P. Morgan India Private Limited

North America Securitized

Products Research

JPMORGAN

17 August 2026

RMBS Delinquency Chartbook

August 2026

In this publication, we track delinquency performance in non-QM, CRT, jumbo 2.0 and home equity and dig into trends by segment

Delinquencies increased slightly across all sectors in July remits. FHA DQs

have been trending higher, surpassing that of RPL

FHA and non-QM delinquencies have been increasing at a faster rate than other sectors, although they have normalized somewhat in recent months

’22/’23 vintage DQs have been increasing at a faster rate than in prior vintages

in non-QM, CRT and jumbo 2.0. ’24 vintage CRT DQs have been increasing at

a particularly fast rate

There is less distinction in 30-to-60 DQ and DQ-to-current roll rates across vintages

Loan purpose is a strong driver of DQs in all sectors; LTV and loan balance are

drivers in non-QM, even when controlling for vintage and FICO

In non-QM, P&L statement and Form 1099 combined DQs exceed all other doc

types

HELOC and CES DQs have been trending upward at a relatively steady rate

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