Offering marks significant step towards greater transparency and standardization to second lien mortgage market
NEW YORK, April 21, 2025 -- dv01, a leading capital markets fintech driving technological innovation and loan-level transparency in structured finance, and Fitch Ratings, one of the world's largest credit ratings agencies, today announced the launch of the Fitch-dv01 Closed-End Second Mortgage Benchmark.
This new benchmark provides a more comprehensive, loan-level view into the Closed-End Second market than any other benchmark currently in the marketplace, capturing 65% of recent securitized issuance, with coverage expected to reach 90% as additional transactions are onboarded to the dv01 platform. It is available via the dv01 web app and data feed.
Powered by loan-level data from securitized deals where dv01 serves as Loan Data Agent ("LDA") and Fitch-rated transactions, the benchmark is a significant step toward greater transparency and standardization to second lien mortgages—an increasingly important segment as homeowners seek alternatives to refinancing in a high-rate, constrained-housing supply environment.
"Second lien mortgages are re-emerging as a crucial financing tool for homeowners, sparking renewed investor interest," stated Perry Rahbar, Founder and CEO of dv01. "By developing this benchmark—along with a HELOC benchmark that is on the horizon—we're equipping market participants with the standardized insights essential for evaluating risk, monitoring performance, and benchmarking their portfolios against the broader market."
Recent Insights from the Fitch-dv01 Closed-End Second Mortgage Benchmark
The benchmark currently comprises over 87,000 total originations, with an original loan balance exceeding $6.8 billion, and 78,000 loans outstanding totaling $6 billion.
- 30+ day DQ: 1.01%
- 60+ day DQ: 0.38%
- One-Month CPR: 13.7%
- Six-Month CPR: 14.9%
- Defaults: 0
- WA FICO: 742
- CLTV (including first lien): 68.9%
- DTI: 38.4%
- GWAC: 9.8%
Additional performance highlights:
- Sub-700 FICO borrowers represent just 13% of the outstanding balance, but account for 29% of 30+ day delinquencies.
Continued Joint Innovation and Transparency
This new benchmark adds to a series of collaborations between dv01 and Fitch Ratings designed to modernize non-agency RMBS analysis. Recent joint initiatives include: Interactive RMBS Presales, which provide dynamic deal analysis to the market, and the Fitch-dv01 Non-QM and Prime Jumbo Benchmarks, which have become essential tools for evaluating credit performance in their respective sectors. dv01 and Fitch will continue their shared commitment to delivering greater clarity and actionable intelligence across the mortgage market through future, planned collaborations.
"Closed-End Second Lien Mortgages are becoming a key component of housing finance. Understanding their performance is crucial for analyzing borrower behavior and overall credit quality," said Kevin Kendra, Managing Director and Head of North American RMBS at Fitch Ratings. "This benchmark offers detailed insights that our analysts need to assess credit risk and ensure transparent, informed ratings, while giving market participants a new standard for evaluating second lien performance."
The Fitch-dv01 Closed-End Second Mortgage Benchmark is available through dv01's Market Surveillance offering, alongside its broader suite of turnkey market data products spanning Non-QM, Prime Jumbo, Consumer Unsecured, and Auto sector. More information can be found here. dv01 is a subsidiary of Fitch Solutions. Fitch Solutions and Fitch Ratings are both subsidiaries of Fitch Group.
About dv01
dv01 is a capital markets fintech company driving technological innovation and loan-level transparency in structured finance. As the first end-to-end data management, reporting, and analytics platform built for loan-level lending data, dv01 brings clarity and intelligence to every loan for every stakeholder. With over 230 million loans, 1,200 securitizations, and $6 trillion in original balance across consumer, mortgage, auto, student loan, point of sale, home efficiency, and small business asset classes, dv01 aims to build the most comprehensive loan data library in the market. dv01 is a subsidiary of Fitch Solutions.
About Fitch Ratings
As one of the world's largest credit ratings agencies, Fitch Ratings plays a critical role in global capital markets by providing supplementary credit analysis, ratings, research, and commentary to financial market participants. For over 100 years, Fitch Ratings has been creating value for global markets through its rigorous analysis and deep expertise, which have resulted in a variety of market leading tools, methodologies, indices, research, and analytical products. Fitch Ratings is part of Fitch Group, a global leader in financial information services with operations in nearly 30 countries, which also includes Fitch Solutions. With dual headquarters in London and New York, Fitch Group is owned by Hearst. For additional information, please visit fitchratings.com.
Contacts
For Media Inquiries:
Giovanni Berber
press@dv01.co
Anne Wilhelm
anne.wilhelm@thefitchgroup.com
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