POLYGON RESEARCH

Unlocking Non-QM Market Intelligence

A transparent, loan-level methodology for defining the Non-QM market.

ABOUT THE WHITEPAPER

How big is the Non-QM lending market, and what defines a Non-QM loan?

The Non-QM market is widely referenced across rankings, strategy discussions, and investor commentary — yet no public dataset includes an explicit Non-QM flag. As a result, market participants are often forced to rely on proxies, securitization-only views, or inconsistent inference rules.

This white paper introduces a transparent, loan-level methodology that classifies the entire HMDA Loan Application Register universe as QM, Non-QM, or Out of Scope — designed for market intelligence, not legal determinations.

Frequently Asked Questions

What is a Non-QM loan?

“Non-QM” (Non-Qualified Mortgage) refers to loans that fall outside the Qualified Mortgage definition under Regulation Z. However, no public dataset—including HMDA—includes an explicit Non-QM flag. As a result, the term is often used loosely, with definitions varying by institution, securitization channel, or product marketing. This makes consistent measurement and comparison challenging without a transparent classification framework.

How does Polygon Research identify Non-QM loans without an official flag?

Polygon Research uses a loan-level, regulation-aligned methodology that evaluates each HMDA-reported loan based on eligibility criteria, execution pathways, and purchaser behavior. Our framework classifies loans as QM, Non-QM, or Out of Scope using conservative assumptions designed for market intelligence—not legal determinations. The full logic is documented transparently in the white paper.

How is this approach different from using inferred data from lender names or securitization-only views?

Some approaches infer Non-QM activity based on lender names, branding, or known participation in private-label securitization, while others rely solely on securitization data. These methods can be useful in limited contexts but often capture only a subset of the market and may miss portfolio lending, mixed execution strategies, or lender-level variation over time.

Polygon Research’s approach evaluates each loan individually across the entire HMDA Loan Application Register universe, using regulation-aligned eligibility logic and execution pathways rather than lender-level inference.

This allows Non-QM activity to be analyzed consistently across lenders, geographies, and time—without relying on assumptions embedded in naming conventions or issuance behavior.