Fitch Ratings unveiled its new model for European RMBS asset analysis, ResiEMEA, at a conference in Frankfurt today. ResiEMEA is an analytical model for the risk assessment of residential mortgage loans in accordance with Fitch's RMBS criteria.
"Individual loan level performance data is vital for investors in the current market conditions," says Gregg Kohansky, managing director, EMEA RMBS at the rating agency. "ResiEMEA meets this demand for increased transparency and more accurate and predictive credit default assessment."
The model will be used by Fitch as the first stage in the quantitative analysis of an EMEA RMBS transaction.
ResiEMEA will help determine the expected default probability, loss severity and recovery on a loan-by-loan basis for transactions.
The flexible interface allows users to adjust Fitch criteria assumptions and stress the loan, borrower and property-specific factors that most influence default probability and loss severity.
It will initially cover the U.K. and the Netherlands and will be available to arrangers, originators and investors.
