dv01 and Fitch Ratings Introduce a New Benchmark for Second Mortgages
On April 21, 2025, dv01, a fintech company specializing in capital markets, partnered with Fitch Ratings, a premier credit ratings agency, to unveil the Fitch-dv01 Closed-End Second Mortgage Benchmark. This initiative represents a meaningful advancement in providing transparency within the second lien mortgage market. Unlike existing benchmarks, the new offering promises a detailed, loan-by-loan analysis of the Closed-End Second market. It has already captured 65% of recent securitized issuances and is expected to expand its coverage to 90% as more transactions are integrated into the dv01 platform.
The benchmark is accessible through dv01's web app and data feed, making it an invaluable tool for market participants. It relies on loan-level data sourced from secured deals where dv01 acts as Loan Data Agent (LDA), making it a critical resource for evaluating risk and performance in the sector. Perry Rahbar, the CEO of dv01, highlighted, "Second lien mortgages are re-emerging as a crucial financing tool for homeowners, sparking renewed investor interest." He believes that the new benchmark, alongside a forthcoming Home Equity Line of Credit (HELOC) benchmark, will be pivotal for stakeholders in gauging market dynamics.
The current dataset for the Fitch-dv01 Closed-End Second Mortgage Benchmark comprises over 87,000 originations, with an original loan balance surpassing $6.8 billion and an outstanding total of $6 billion spread across 78,000 loans. Performance metrics show a 30+ day delinquency rate of just 1.01% and a one-month constant prepayment rate (CPR) of 13.7%, indicating robust market functioning despite current economic challenges. In this competitive climate, where homeowners are exploring alternatives to refinancing due to high-interest rates and limited housing supply, second lien mortgages are gaining prominence as a vital financing strategy.
A noteworthy point in this benchmark is the performance of borrowers with sub-700 FICO scores, who account for only 13% of the outstanding balance but represent 29% of delinquencies over 30 days. This statistic underscores the importance of nuanced analysis when assessing risk in the second mortgage sector.
dv01 and Fitch Ratings have a history of collaborating to redefine the analysis of non-agency Residential Mortgage-Backed Securities (RMBS). Their recent ventures include Interactive RMBS Presales, which deliver real-time deal analysis, and the development of Non-QM and Prime Jumbo benchmarks, which have set new standards for evaluating credit performance across various financial segments.
Kevin Kendra, Managing Director at Fitch Ratings, stressed that closed-end second lien mortgages are becoming indispensable within the housing finance space. By providing detailed insights, the new benchmark will enhance understanding of borrower behavior and credit quality, which are essential for informed ratings and analyses.
As dv01 continues to innovate in the data management space, it reinforces its mission to bring greater clarity to loan-level transparency across multiple asset classes, including consumer, mortgage, and auto loans. The Fitch-dv01 Closed-End Second Mortgage Benchmark is now part of dv01's comprehensive market surveillance toolkit, enabling participants to make informed decisions informed by reliable data. With dv01 positioned as a subsidiary of Fitch Solutions, the two organizations are committed to advancing financing standards while equipping investors and homeowners with the essential insights needed for a clearer understanding of the mortgage landscape.
The benchmark is accessible through dv01's web app and data feed, making it an invaluable tool for market participants. It relies on loan-level data sourced from secured deals where dv01 acts as Loan Data Agent (LDA), making it a critical resource for evaluating risk and performance in the sector. Perry Rahbar, the CEO of dv01, highlighted, "Second lien mortgages are re-emerging as a crucial financing tool for homeowners, sparking renewed investor interest." He believes that the new benchmark, alongside a forthcoming Home Equity Line of Credit (HELOC) benchmark, will be pivotal for stakeholders in gauging market dynamics.
The current dataset for the Fitch-dv01 Closed-End Second Mortgage Benchmark comprises over 87,000 originations, with an original loan balance surpassing $6.8 billion and an outstanding total of $6 billion spread across 78,000 loans. Performance metrics show a 30+ day delinquency rate of just 1.01% and a one-month constant prepayment rate (CPR) of 13.7%, indicating robust market functioning despite current economic challenges. In this competitive climate, where homeowners are exploring alternatives to refinancing due to high-interest rates and limited housing supply, second lien mortgages are gaining prominence as a vital financing strategy.
A noteworthy point in this benchmark is the performance of borrowers with sub-700 FICO scores, who account for only 13% of the outstanding balance but represent 29% of delinquencies over 30 days. This statistic underscores the importance of nuanced analysis when assessing risk in the second mortgage sector.
dv01 and Fitch Ratings have a history of collaborating to redefine the analysis of non-agency Residential Mortgage-Backed Securities (RMBS). Their recent ventures include Interactive RMBS Presales, which deliver real-time deal analysis, and the development of Non-QM and Prime Jumbo benchmarks, which have set new standards for evaluating credit performance across various financial segments.
Kevin Kendra, Managing Director at Fitch Ratings, stressed that closed-end second lien mortgages are becoming indispensable within the housing finance space. By providing detailed insights, the new benchmark will enhance understanding of borrower behavior and credit quality, which are essential for informed ratings and analyses.
As dv01 continues to innovate in the data management space, it reinforces its mission to bring greater clarity to loan-level transparency across multiple asset classes, including consumer, mortgage, and auto loans. The Fitch-dv01 Closed-End Second Mortgage Benchmark is now part of dv01's comprehensive market surveillance toolkit, enabling participants to make informed decisions informed by reliable data. With dv01 positioned as a subsidiary of Fitch Solutions, the two organizations are committed to advancing financing standards while equipping investors and homeowners with the essential insights needed for a clearer understanding of the mortgage landscape.
Topics Financial Services & Investing）
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