dv01 and Fitch Ratings Launch Fitch-dv01 Non-Agency RMBS Benchmarks

21 February 2024

dv01 Fitch Benchmarks

(Feb. 21, 2024) dv01, a leading capital markets fintech company, has today announced a strategic collaboration with Fitch Ratings, a globally recognized leader in credit ratings and research, to enhance RMBS benchmark offerings. The Fitch-dv01 Non-Agency RMBS Benchmarks constitute two benchmarks that focus on Non-QM and Prime Jumbo markets, aiming to redefine market analysis with the most comprehensive representation. This announcement marks the second initiative in a series of collaborations between dv01 and Fitch Ratings, following Fitch Group’s acquisition of the capital markets fintech company.

The benchmarks are free to access via the dv01 web app and comprise loan-level data from deals where dv01 serves as the Loan Data Agent (“LDA”), Fitch-rated RMBS transactions and transactions where RMBS issuers opted to provide their data in support of this initiative.

The RMBS markets traditionally operate in opacity, relying on replines and static data, and are witnessing a paradigm shift. The Fitch-dv01 Non-Agency RMBS Benchmarks bring a new level of transparency, providing stakeholders with unprecedented insights into the intricate details of the non-agency mortgage markets.

Key Features of the Fitch-dv01 Non-Agency RMBS Benchmarks

  1. More Comprehensive Market Representation: A holistic view of market performance and trends, empowering stakeholders with the insights needed for strategic decision-making. Powered by loan-level data, the Non-QM Benchmark and Prime Jumbo Benchmark represent 75% of their respective sectors.

    1. The Non-QM Benchmark comprises over 210,000 total originations since 2013 with an original loan balance exceeding $100 billion. There are 145,000 loans outstanding, totaling $60 billion.

    2. The Prime Jumbo Benchmark comprises over 200,000 total originations since 2013, with an original loan balance of $145 billion. There are 120,000 loans outstanding, totaling $80 billion.

  2. Benchmarking and Performance Measurement: A precision benchmark tailored to the unique landscape of non-agency RMBS, enabling investors and issuers to evaluate and communicate performance against a widely recognized standard, at the portfolio and security level.

    1. Non-QM Insights: 30+ DQ are at 4.8% and 60+ DQ are at 2.7%; One-Month, Three-Month, and Six-Month CPRs are at 7.4%, 7.9% and 8.2%, respectively.

    2. Prime Jumbo Insights: 30+ DQ are at 0.75% and 60+ DQ are at 0.36%; One-Month, Three-Month, and Six-Month CPRs are at 3.5%, 3.7%, and 4.1%, respectively.

  3. Transparency: Unparalleled granularity and understanding of market composition and dynamics that allow stakeholders to make well-informed decisions with a high degree of trust in the data.

    1. Non-QM Insights: DTI originations remained stable over the past few years despite soaring home prices and rising rates.

    2. Prime Jumbo Insights: Gradual rise in LTV originations from 2018 to 2020, accompanied by a decrease in low FICO loans. Since 2020, LTVs have remained relatively stable, despite increases in home prices outpacing income growth.

“The level of granularity offered by these benchmarks is unparalleled compared to the average and cohort-level datasets the market has typically depended on,” said Perry Rahbar, Founder and Chief Executive Officer at dv01. “By breaking through a historically opaque market and offering the benchmarks at no cost, we are making the non-agency RMBS sectors more accessible to both seasoned investors seeking a deeper understanding and new investors entering the space.”

Kevin Kendra, Managing Director and Head of North American RMBS at Fitch Ratings, said, “Benchmarking is a valuable part of Fitch’s analytical process. The more robust and comprehensive the benchmarks become, the more insights we gain from this process. Benchmarking using the dynamic tools available in the dv01 environment greatly enhances Fitch’s capabilities in assessing risk factors that impact our ratings. The accessibility of the Fitch-dv01 Non-Agency RMBS Benchmarks should offer all market participants a greater understanding of the loan characteristics that drive performance.”

Unique Opportunities for Investors and Issuers

The Fitch-dv01 Non-Agency RMBS Benchmarks serve as a crucial tool for comprehensive risk analysis. The benchmarks can be leveraged to evaluate historical and ongoing performance, perform benchmarking against the broader market, assess risk factors at the loan level, and analyze originations.

The RMBS benchmarks are available for free to investors and issuers. Issuers that proactively onboard their securitized portfolios with dv01 - whether these deals are rated by Fitch or not - will have their deals pooled into a single dataset and have a unique opportunity to benchmark their performance against the broader market. In addition, dv01’s LDA clients can compare individual transactions against the benchmarks.

This collaboration signifies a significant step in advancing the capabilities of non-agency RMBS analysis, offering stakeholders unprecedented insights and opportunities for informed decision-making. The benchmarks are available through dv01’s Market Surveillance offering. More information can be found here.

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About dv01

dv01 is a leading capital markets fintech company driving technological innovation and loan-level transparency in structured finance. As the world’s first end-to-end data management, reporting, and analytics platform for loan-level lending data, dv01 is bringing unparalleled transparency and intelligence to every loan for every stakeholder.

With over 230 million loans, 1,200 securitizations, and $6 trillion in original balance across the consumer unsecured, mortgage, auto, student loan, point of sale, home efficiency and small business asset classes, dv01 is building the most comprehensive loan data library across lending markets and empowering capital markets with world-class tools to make safer data-driven decisions. Learn more at

About Fitch Group

Fitch Group is a global leader in financial information services with operations in more than 30 countries. Fitch Group is comprised of: Fitch Ratings, a global leader in credit ratings and research, and Fitch Solutions, a leading provider of data, research and analytics. With dual headquarters in London and New York, Fitch Group is owned by Hearst.

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