Fitch unveils interactive RMBS presale report for enhanced credit risk analysis

February 13, 2024 (MLN): Fitch Ratings, a global leader in credit ratings and research, yesterday announced its new Interactive RMBS Presale Report, which allows users to better understand Fitch Ratings’ credit risk views and key rating drivers through creating custom, multi-risk layer, stratification tables.

The presale’s interface is powered by dv01, a loan-level data and analytics provider to the structured finance market and a subsidiary of Fitch Solutions.

This announcement marks the first initiative to emerge from Fitch’s partnership with dv01.

The enhanced presale allows investors to seamlessly analyze presale loan tapes and uses dv01’s reporting capabilities to provide deeper insights into the loss expectations supporting Fitch’s ratings.

The Interactive RMBS Presale Report offers the complete, traditional presale report, with the addition of an embedded link to the Fitch-curated data tape in the dv01 environment developed to support this initiative.

Key data fields available for analysis consist of Factual Data (data supplied by the banker or issuer), Fitch-derived data (such as Fitch Documentation Type and Sustainable Market Value Declines), and Fitch Model outputs (such as probability of default and loss severity, and expected loss for each loan for each rating case scenarios).

“By communicating our ‘best-in-class’ loan-level loss expectations in various rating cases, Fitch’s presales demonstrate to the market the confidence we have in our credit opinions, and highlight the rigorous thinking and unbiased reasoning that drives our ratings work,” said Kevin Kendra, Fitch Ratings Head of North America RMBS.

“The addition of interactive capabilities to RMBS presales underscores our commitment to provide complete market transparency while maintaining our fierce independence,” he added.

The enhanced evaluation of collateral quality and performance signifies a new phase of transparency, efficiency, and interactivity for market participants seeking more granular insights into what drives Fitch’s credit ratings.

Perry Rahbar, CEO of dv01, said: “dv01 is focused on driving transparency and enhancing market accessibility. The Interactive RMBS Presale ensures market participants can effortlessly navigate and engage with crucial information.

"This approach helps break down the barrier to entry for new investors, making it simpler for them to understand and act within the market,” he further said.

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