dv01 and Fitch Ratings Launch Attribution Analysis for the Fitch U.S. RMBS Ratings Model

Fitch U.S. RMBS Rating Model: See What's Driving Your Results

The Fitch U.S. RMBS Ratings Model now offers deeper context behind its results through Attribution Analysis, a new feature that explains them by its specific drivers, not just the output itself.

Attribution Analysis decomposes headline PD and LS outputs from the Fitch U.S. RMBS Ratings Model into their underlying contributors, showing which loan attributes—like FICO and documentation type—are pushing results up or down relative to baseline. 

Interactive polar and waterfall visualizations let you pinpoint the key drivers on any transaction and benchmark them against sub-sector and rating-case averages. Learn more about the feature here, and read Fitch Ratings’ special report on attribution analysis here.

Feature Highlights

• Base Case Attribution: See how factors such as FICO, DTI, documentation type, occupancy, LTV, and ERF affect PD and LS.
• Rating Scenario Attribution: Understand how input factors contribute to PD and LS changes from Base through AAA.
• Interactive visualizations: Review key drivers on any transaction in polar and bar charts, and benchmark them against sub-sector and rating-case averages.

Why It Matters

With Attribution Analysis, users can:

• Assess pool risk by identifying the attributes with the greatest impact on PD and LS.
• Compare transactions on a consistent basis against sub-sector and rating-case averages.
• Read rating scenarios by seeing how drivers shift from Base through AAA.

RMBS Issuers and Bankers Get Free Access

Attribution Analysis is available to users through dv01's Tape Cracker and the Fitch Ratings Interactive RMBS Presale.

Issuers and bankers can run the Fitch U.S. RMBS Ratings Model on dv01 at no cost, which includes built-in features like data standardization and transformation (to map your data to Fitch's schema), attribution analysis, and more. Contact us here.