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U.S. RMBS Loan Loss Model Criteria

Published Aug 03, 2015

37 pages (19271 words) — Published Aug 03, 2015

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Brief Excerpt:

...This criteria report details Fitch Ratings' loan-level model for estimating losses on U.S. mortgage pools collateralizing RMBS transactions. It replaces Fitch's November 2014 "U.S. RMBS Loan Loss Model Criteria" report and should be read in conjunction with the related criteria listed below left. The core principle underpinning the model remains the interaction between borrower equity and sustainable market value declines (sMVDs) in determining the expected loss for each loan. The methodology continues to consider loan-level attributes and macroeconomic factors in deriving loss expectations....

Report Type:

Rating Criteria

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PDF

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MLA:	Fitch Research. "U.S. RMBS Loan Loss Model Criteria" Aug 03, 2015. Alacra Store. May 21, 2025. <http://www.alacrastore.com/fitch-credit-research/U-S-RMBS-Loan-Loss-Model-Criteria-868923_report_frame>

APA:	Fitch Research. (). U.S. RMBS Loan Loss Model Criteria Aug 03, 2015. New York, NY: Alacra Store. Retrieved May 21, 2025 from <http://www.alacrastore.com/fitch-credit-research/U-S-RMBS-Loan-Loss-Model-Criteria-868923_report_frame>

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