What's changing? 

Attribution Analysis is now available for the Fitch U.S. RMBS Ratings model. It breaks down the specific loan, borrower, property, and other attributes driving headline PD and LS outputs. 


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 though AAA
  • Interactive Visualizations: Review key drivers on any transaction in polar and bar charts  


Who is impacted?

Fitch U.S. RMBS Ratings Model users via:

  • dv01’s Tape Cracker 
  • Fitch Ratings Interactive RMBS Presale 

 

Why is this important?

Attribution Analysis helps users identify factors with the greatest impact on PD and LS, making it easier to assess pool risk, compare transactions, and understand differences across rating scenarios.