DXScore®

A cost-effective risk rating system for commercial real estate loans.

Cost-effective risk rating system

DXScore enables a comparison of all of your loans individually with single number (index) simplicity. It uncovers unforeseen risks and unintended biases that can be hidden by price or historical performance.

DXScore measures the credit risk of an individual loan or portfolio of loans independent of financial factors such as required market yield. By reducing emphasis on loans’ interest earned and focusing primarily on their bundle of credit-related factors, DXScore allows for the rank-ordering of a portfolio of loans by their overall level of risk.

DXScore provides a cost-effective “Big” 3 Credit Agency alternative.

Benefits of DXScore

  • Risk-adjusted comparison of heterogeneous loans and portfolios
  • Dynamic credit scores for loans
  • Objective & independent metric to supplement internal risk rating systems
  • Calibration customizable to mirror internal rating scales
  • Efficient monitoring and tracking of risk in your loan portfolios over time
  • Insights into strengths and weaknesses in originations, loans and loan portfolios
  • Comparability with other measurements of risk (e.g., the combination of Loss Given Default & Probability of Default) but with single-number simplicity
  • Repeatable, consistent, transparent and auditable methodology, meeting SSAE 18 standards

Leverages DXMark® technical architecture, enabling simultaneous loan pricing (DXMark) and credit rating (DXScore) for portfolios of any size.

DXScore considers and incorporates loans’ widely differing characteristics (e.g., collateral type, geography, performance level, loan structure) distilling each loan’s credit factors into a single number. A mechanism to easily compare heterogeneous assets, DXScore provides critical missing information in loan risk assessment thereby giving banks, insurance companies, warehouse lenders and government agencies better insight into which loans to buy, hold, originate, monitor, sell or otherwise address as part of active portfolio management.

Affecting every loan are two types of data elements: systemic and idiosyncratic factors. Systemic factors relate to current market conditions (e.g., Treasury Yields, CMBS yields, Market Volatility Indicators). Idiosyncratic factors relate to the specific loan, and include the following:

  • Financial factors (e.g., Amortization Schedule, Payment Reset Periods, Prepayment Protection)
  • Credit factors (e.g., LTV, DSC, Payment History, Guarantee Type)
  • Collateral characteristics (e.g., Collateral Type, Collateral Location, Collateral Quality, Occupancy)

DXScore is primarily concerned with idiosyncratic factors. A loan’s DXScore is a single, numerical representation of its bundle of risks as measured by such idiosyncratic factors. Customizable calibration is available, however the standard DXScore ranges from 0 to 120. A score of 120 represents the lowest risk loans; for example, a US Treasury bond would be scored at 120. A score of zero represents the highest risk loans.

See DXScore® in action

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