dv01 and Fitch Ratings Collaborate On Non-Agency RMBS Benchmarks
Strategic collaboration between dv01 and Fitch Ratings introduces benchmarks aiming to enhance transparency and redefine market analysis in Non-QM and Prime Jumbo markets.
Capital markets fintech company dv01 has joined forces with credit ratings and research firm Fitch Ratings to launch the Fitch-dv01 Non-Agency RMBS Benchmarks, an initiative aimed at enhancing RMBS benchmark offerings.
This strategic collaboration marks the second in a series between dv01 and Fitch Ratings following Fitch Group’s acquisition of dv01. The benchmarks, accessible via the dv01 web app, provide a comprehensive representation of the Non-QM and Prime Jumbo markets, aiming to redefine market analysis with unprecedented transparency.
Key Features of the Fitch-dv01 Non-Agency RMBS Benchmarks
Comprehensive Market Representation: Offering stakeholders a holistic view of market performance and trends, powered by loan-level data. For example, 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.
Benchmarking and Performance Measurement: Precision benchmarks tailored to the unique landscape of non-agency RMBS, enabling evaluation and communication of performance at the portfolio and security level.
Transparency: Unparalleled granularity and understanding of market composition and dynamics, facilitating well-informed decisions.
“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 CEO of 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 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.”
The benchmarks provide a tool for comprehensive risk analysis, enabling evaluation of historical and ongoing performance, benchmarking against the broader market, and assessment of risk factors at the loan level.
Available for free to investors and issuers, the benchmarks offer unique opportunities for benchmarking performance against the broader market. Issuers onboarded with dv01 can compare individual transactions against the benchmarks, further enhancing their understanding of market dynamics.