Summary
Non-QM investors face market transparency issues because they do not have access to broader performance trends and run into inconsistent reported alternative-income documentation. To address these issues, we've released the dv01 non-QM Benchmark Dataset, as well as consolidated alternative-income documentation types.
The benchmark is an anonymized aggregation of current non-QM securitization datasets on the dv01 platform*, enabling investors to gain better insight into origination and performance trends as the space continues to evolve.
Once you have access to this dataset as part of dv01’s Market Surveillance offering, you can access the benchmark within the dv01 app by navigating to the Intelligence section and searching for Non-QM Aggregated Benchmark Dataset within the Pool Selector filter, or select it under the Surveillance section at the top of the list under the Mortgage tab:
Documentation Type Standardization
Additionally, investors can now get even more granular insight by analyzing performance by consolidated loan documentation types. Our team has worked intensively to group over 100 unique values for reported loan documentation types into 15 categories. You can read why and how we accomplished this here.
To see this for yourselves and dive deeper into how this operates under the hood, you can leverage the Strat Comparison tab in the Intelligence section, selecting Doc Type as the primary Strat By option, and Doc Type Reported as the secondary Strat By option:
*The dataset is filtered down to exclude certain outliers that either skew the composition of the dataset, or make certain issuers easily-identifiable. The largest exclusion criteria are loans originated prior to 2013 and loans that do not have 15-year or 30-year terms.