Playbooks
Your loan tape: what lenders actually look at
Your loan tape: what lenders actually look at
Your loan tape is the foundational document for every quantitative decision a capital provider makes about your deal. It determines advance rates, covenant levels, pricing, and whether the deal happens at all. Most originators submit tapes that are partially usable at best. This topic covers exactly what fields are required, how to identify and fix common data quality problems, and how capital providers use the tape to reach conclusions about your portfolio.
What capital providers actually do with your tape
Understanding the workflow helps you understand what they need and why.
Step 1: Data validation (1-2 days)
- Check completeness: what percentage of records have data in each field?
- Check consistency: do the values make sense? (Maturity dates before origination dates, balances below zero, interest rates of 0% or 999%.)
- Check conformity to the data dictionary: are field values using the expected codes and formats?
- Identify outliers: loans that fall significantly outside the distribution on any dimension
Step 2: Basic stratification (2-3 days)
- Distributions across key dimensions: loan size, rate, term, credit score, geography, origination month
- Delinquency breakdown: current vs. 1-30 vs. 31-60 vs. 61-90 vs. 90+
- Concentration analysis: any field where a small number of values represent a large percentage of the portfolio
Step 3: Performance analysis (3-5 days)
- Static pool / vintage analysis: cohort-by-cohort loss and prepayment curves
- Delinquency roll rates: what percentage of 30 DPD loans roll to 60 DPD? This predicts future losses from the current delinquency stack.
- Loss severity analysis: for charged-off loans, what percentage of the outstanding balance was recovered?
- CPR calculation: what percentage of the portfolio is prepaying annually?
Step 4: Stress testing and scenario analysis
- Base case: CDR/CPR/severity assumptions derived from historical performance
- Stress case: typically 1.5x-3x base CDR, reduced prepayment, reduced severity
- Break-even: how bad do losses need to get before the senior investor takes a loss (for term deals) or the borrowing base is breached (for warehouses)?
Every field that’s missing or wrong in your tape either gets excluded from the analysis (reducing pool size) or generates a question that delays the process.
Required field standards by asset class
Universal required fields (all asset classes)
These fields are required for every loan tape regardless of asset class.
| Field | Description | Format | Notes |
|---|---|---|---|
| Loan ID | Unique identifier for each loan | String or numeric | Must be unique; used to join with other data files |
| Origination Date | Date the loan was funded | YYYY-MM-DD | Critical for vintage analysis |
| Original Balance | Principal balance at origination | Numeric, USD | No commas or $ symbols in the cell |
| Current Balance | Outstanding principal as of tape date | Numeric, USD | Must be ≤ Original Balance (except revolving products with capitalized fees) |
| Gross Interest Rate | Note rate / coupon | Numeric, percent | Use 6.50, not “6.5% fixed” |
| Interest Rate Type | Fixed or floating | String | Valid values: Fixed, Floating, Step-Rate |
| Index (if floating) | SOFR, Prime, etc. | String | Required if Interest Rate Type = Floating |
| Spread over index (if floating) | Margin over the index | Numeric, bps or percent | Required if Interest Rate Type = Floating |
| Original Term | Term at origination in months | Integer | |
| Remaining Term | Remaining months to scheduled maturity | Integer | Should equal months between tape date and scheduled maturity |
| Scheduled Maturity Date | Date of final scheduled payment | YYYY-MM-DD | |
| Loan Status | Current delinquency or resolution status | Coded string | See valid values below |
| Days Past Due | Exact days past due as of tape date | Integer (0 for current) | Must be consistent with Loan Status |
| Tape Date / As-Of Date | Date as of which all current data is reported | YYYY-MM-DD | Single date for the entire tape |
| Obligor State | State of obligor’s primary address | 2-letter abbreviation |
Loan Status valid values (minimum standard):
- Current
- 1-30 DPD
- 31-60 DPD
- 61-90 DPD
- 90+ DPD
- Charged Off
- Paid Off / Prepaid
- Forbearance / Modification
Asset-class-specific required fields
Consumer unsecured (personal loans, BNPL, income share agreements)
| Field | Required? | Notes |
|---|---|---|
| FICO Score at Origination | Required | Current FICO optional but valuable |
| Credit Bureau at Origination | Required | Equifax / Experian / TransUnion / Vantage |
| Debt-to-Income Ratio at Origination | Required | Stated or verified; flag which |
| Income at Origination | Required | Stated or verified; flag which |
| Income Verification Method | Required | W2, bank statement, paystub, stated, self-reported |
| Employment Status | Required | Employed FT / PT / Self-employed / Retired / Student |
| Loan Purpose | Required | Debt consolidation / Home improvement / Medical / Other |
| Monthly Payment Amount | Required | |
| Number of Prior Payments Made | Recommended | Useful for seasoning analysis |
| Current FICO (if refreshed) | Optional but valued | Signals portfolio drift |
| NSF / ACH Return Count | Recommended | Early warning indicator of financial stress |
Auto loans and leases
| Field | Required? | Notes |
|---|---|---|
| FICO Score at Origination | Required | |
| Vehicle Make | Required | |
| Vehicle Model | Required | |
| Vehicle Year | Required | |
| Vehicle Mileage at Origination | Required | |
| New / Used / CPO | Required | |
| Vehicle Value (MSRP or NADA) at Origination | Required | |
| LTV at Origination | Required | |
| Current LTV (if available) | Recommended | Requires current value estimate |
| Purchase vs. Refinance | Required | |
| Dealer State (for indirect origination) | Recommended |
Commercial / SMB loans (SBA, revenue-based, whole business)
| Field | Required? | Notes |
|---|---|---|
| Business NAICS Code | Required | 4 or 6 digit |
| Business Type (entity structure) | Required | LLC / Corp / Sole Prop / Partnership |
| Years in Business | Required | |
| Personal Guarantor | Required | Yes/No; if yes, PG FICO required |
| PG FICO at Origination | Required if PG = Yes | |
| Annual Revenue | Required | TTM at origination |
| Revenue Verification Method | Required | Tax return / bank statement / stated |
| Collateral Type | Required | Unsecured / Equipment / RE / Blanket Lien |
| Collateral Value at Origination | Required if secured | |
| SBA Guarantee Percentage | For SBA loans | 75% or 85% |
| DSCR at Origination | Required for RE-secured |
Mortgage (residential non-QM, non-agency)
| Field | Required? | Notes |
|---|---|---|
| FICO at Origination | Required | |
| LTV at Origination | Required | |
| Combined LTV (CLTV) if subordinate financing | Required if applicable | |
| DSCR (for investor properties) | Required for DSCR loans | |
| Property Type | Required | SFR / Condo / 2-4 Unit / MF / Mixed Use |
| Property State and County | Required | |
| Occupancy Type | Required | Primary / Second / Investment |
| Loan Purpose | Required | Purchase / Rate-Refi / Cash-Out Refi |
| Documentation Type | Required | Full doc / Alt doc / Bank statement / DSCR / ITIN |
| Appraisal Value at Origination | Required | |
| Appraisal Date | Required | |
| Subject to Forbearance? | Required | Flag all loans with active or recent forbearance |
Equipment leases
| Field | Required? | Notes |
|---|---|---|
| Equipment Type / NAICS | Required | |
| Equipment Year / Make / Model | Required | |
| Equipment Condition | Required | New / Used |
| Equipment Value at Origination (FMV) | Required | |
| Residual Value (for operating leases) | Required | Stated residual |
| Lease Type | Required | Finance / Operating / TRAC |
| Lessee Credit Score or Business Credit Rating | Required | |
| Lessee Years in Business | Required |
Common data quality issues and how to fix them
Missing data
This is the most common problem and the easiest to quantify. Capital providers typically exclude loans from the eligible pool (or apply haircuts to the advance rate) if key fields are missing.
Threshold expectations:
| Missing Rate | Acceptable? |
|---|---|
| 0% missing | Required for: Loan ID, Origination Date, Current Balance, Rate, Loan Status |
| Under 2% missing | Expected for: FICO/credit score, state, term, original balance |
| Under 5% missing | Expected for: income, employment status, verification method, collateral value |
| Above 5% missing on any required field | Triggers a data quality conversation |
Illustrative pricing. See pricing disclaimer.
How to fix missing data:
- Identify root cause: system configuration issue (field existed but wasn’t captured), historical gap (loans originated before you had a field), or genuine borrower data gap
- System configuration issues: fix the system and re-export the tape
- Historical gaps: if data exists in original application files, it can be manually keyed; budget 15-30 minutes per loan for a remediation project
- Genuine data gaps: flag these as missing rather than attempting to estimate or fill with averages
Never fill missing credit scores with median values, fill missing states with a “most common state,” or otherwise impute data without clearly labeling it as estimated. If a capital provider discovers imputed data presented as actual, it destroys credibility for the entire tape.
Logical inconsistencies
These are fields where values are present but make no sense relative to other fields. Run these checks before sending your tape.
| Check | Logic Error | Frequency | Fix |
|---|---|---|---|
| Maturity date < origination date | Impossible | Uncommon but occurs | Fix at source |
| Current balance > original balance (for amortizing loans) | Impossible without explanation | Common for early-stage systems | Add a flag for neg-am or fee capitalization if legitimate; fix if data error |
| Rate = 0% on a performing loan | Almost certainly a data error | Common | Check if rate is stored as decimal (0.065 vs. 6.5) |
| Rate > 36% on a consumer loan | Possible but requires explanation | Uncommon | Verify; flag for state usury compliance review |
| Days past due inconsistent with loan status (45 DPD but status = “Current”) | Inconsistency | Common | Reconcile status coding to DPD field |
| Remaining term > original term | Impossible | Occasional | Fix at source |
| Charge-off date before origination date | Impossible | Occasional | Fix at source |
| State code not a valid US state abbreviation | Data entry error | Uncommon | Fix at source |
Python (pandas) or SQL are the most efficient tools for large tapes. Excel works for tapes under roughly 50,000 rows. Build a validation script you can run on every tape export before sending.
Inconsistent formatting
Formatting inconsistencies don’t make the data wrong, but they require cleaning before analysis, which capital providers interpret as lack of operational discipline.
| Field | Common Inconsistency | Standard Format |
|---|---|---|
| Dates | Mix of MM/DD/YYYY, YYYY-MM-DD, “Jan 15, 2023” | YYYY-MM-DD (ISO 8601) |
| Balances | Some cells have ”$” and commas, others are plain numbers | Numeric, no symbols |
| Interest rates | Some as decimals (0.065), some as percentages (6.5) | Consistent within the tape; state which in data dictionary |
| State | Mix of full state names and abbreviations | 2-letter abbreviation |
| Boolean fields | Mix of “Y/N”, “Yes/No”, “1/0”, “True/False” | Pick one and use it consistently |
| Loan status | Mix of abbreviated and spelled-out codes | Consistent coded values; documented in data dictionary |
| Null representation | Mix of blank cells, “N/A”, “NULL”, “None”, “0” | Blank for missing numeric; consistent text for missing string |
Stale tape dates
Capital providers want the tape to be as current as possible. A tape that’s 3+ months old creates problems: performance data is stale, current balances don’t reflect recent payoffs, and delinquency status may have changed materially.
Standards by use:
- Warehouse borrowing base calculations: tape should be no more than 30 days old (many facilities require monthly or even bi-weekly updates)
- Term ABS closing pool: pool cut-off is typically at closing or within 30-60 days of pricing
- Screening and diligence: a tape up to 90 days old is usually acceptable for initial analysis, with the expectation that a fresh tape will be delivered before commitment
Always label the as-of date in your file name. Capital providers will assume the tape is current. When they discover it isn’t, it creates trust issues.
What drives analytical conclusions from the tape
Understanding what capital providers calculate from your tape helps you anticipate what they’ll ask and how to present your portfolio.
Loss analysis
Cumulative Net Loss Rate (CNL):
- Calculated as: cumulative charge-offs minus recoveries, divided by original pool balance of the cohort
- Capital providers build this for each origination cohort and plot it against age-in-months
- A rising CNL curve that’s flattening suggests losses are seasoning off and the portfolio is stabilizing
- A CNL curve still rising sharply at 18-24 months suggests losses haven’t peaked yet
What they’re looking for:
- Absolute level: how does your CNL compare to market benchmarks for your asset class and credit tier?
- Shape: is the curve consistent across vintages, or are recent vintages performing worse?
- Slope: is there acceleration in the curve? That’s a red flag.
Gross Default Rate / Constant Default Rate (CDR):
- CDR is an annualized default rate (how fast the portfolio is defaulting right now)
- Formula: CDR = 1 - (1 - MDR)^12, where MDR = monthly default rate
- Capital providers use CDR to extrapolate expected future losses from your current delinquency pipeline
Loss Severity:
- For charged-off loans: what percentage of the outstanding balance was NOT recovered?
- Recovery data is required for this calculation. If you don’t track recovery collections separately from new origination payments, fix that.
- Capital providers typically stress severity 10-25% above your historical average.
Prepayment analysis
Constant Prepayment Rate (CPR):
- Annualized rate at which the pool is prepaying voluntarily
- Formula: CPR = 1 - (1 - SMM)^12, where SMM = single monthly mortality (prepayment rate in one month)
- High CPR shortens WAL and can be positive (lower risk) or negative (you lose spread income on prepaid loans)
What capital providers look for:
- Is your CPR consistent with your loan product? Is a 36-month loan prepaying as expected, or are people prepaying immediately (suggesting refinancing out)?
- Does CPR spike in certain market conditions? When rates drop, do your borrowers refinance?
- For revolving facilities: is the prepayment rate consistent with the replenishment rate you’re representing?
Delinquency roll rates
Roll rates predict future losses from the current delinquency pipeline.
Typical analysis:
- What percentage of 1-30 DPD loans roll to 31-60 DPD in the next month? (e.g., 25%)
- What percentage of 31-60 DPD loans roll to 61-90 DPD? (e.g., 40%)
- What percentage of 61-90 DPD loans roll to 90+ DPD? (e.g., 60%)
- What percentage of 90+ DPD loans roll to charge-off? (e.g., 80%)
What this tells capital providers: Current $1M of 30 DPD loans implies approximately $1M x 25% x 40% x 60% x 80% = $48K of expected future charge-offs just from that bucket. If your current DQ stack is large, roll rates quantify how much of that will ultimately charge off.
Provide roll rate data if you have it. If you don’t, capital providers will estimate from your monthly tape history if you provide multiple months. The more monthly snapshots you provide, the better the analysis they can do.
Stratification tables
Every capital provider will build these and review them before their investment committee. Build them yourself and include them in your data room; it shows sophistication and pre-empts questions.
Standard strat tables for consumer and auto:
- FICO score distribution: <600, 600-639, 640-659, 660-679, 680-699, 700-719, 720-749, 750+
- LTV distribution (secured): <60%, 60-70%, 70-80%, 80-90%, >90%
- DTI distribution: <30%, 30-40%, 40-45%, 45-50%, >50%
- Loan size distribution
- Term distribution
- Geographic distribution (by state, with comparison to population distribution)
- Origination vintage distribution (by quarter)
- Delinquency status distribution
Standard strat tables for commercial/SMB:
- Business age: <1 year, 1-2 years, 2-5 years, 5-10 years, 10+
- NAICS code distribution (by industry sector)
- Revenue size: <$250K, $250K-$500K, $500K-$1M, $1M-$5M, $5M+
- Loan size distribution
- Geographic distribution
- Loan purpose distribution
Each row in the strat table shows a bucket, the count of loans, the balance of loans, and the percentage of total pool balance. Capital providers want both count and balance percentages because large loans can look very different from small loans in the same bucket.
Concentration analysis
Capital providers set concentration limits in transaction documents based on what they see in your pool. Identify your concentrations before entering diligence; you don’t want to discover a 40% single-state concentration during negotiation.
| Concentration Type | Typical Limit | What to Do If You’re Above It |
|---|---|---|
| Single state | 15-25% depending on asset class | Diversify over time; expect haircuts on excess |
| Single employer (salary-deduction loans) | 10-15% | Flag proactively; negotiate a reasonable limit |
| Single industry/NAICS (commercial) | 20-30% | Explain the concentration; is it your core market? |
| Single borrower | 1-5% depending on asset class | Ineligible for most facilities above that threshold |
| Channel concentration (single origination channel) | 40-50% for some structures | Demonstrate channel diversification or explain the relationship |
| Vintage concentration (>30% originated in last 3 months) | Triggers seasoning questions | Explain your origination growth trajectory |
Presenting static pool and vintage performance
The static pool analysis is your single most persuasive document for credit-quality conversations.
The required format
Each origination cohort should be a separate row. Cohorts are typically monthly or quarterly. Columns are age-in-months: 1, 3, 6, 9, 12, 18, 24, 30, 36.
Include three tables minimum:
- Cumulative Net Loss Rate (CNL) by vintage
- 30+ Day Delinquency Rate by vintage (as a percentage of then-outstanding balance)
- Cumulative Prepayment Rate (CPR) by vintage
Add a fourth table for deeper analysis: 4. Original pool balance by vintage (shows the analysis is on meaningful pool sizes, not tiny cohorts)
Visual presentation
Capital providers and their IC committees respond much better to charts than tables for performance data.
Essential charts:
- CNL curves: Each cohort as a line, age-in-months on the x-axis, CNL % on the y-axis. Recent cohorts should track below or on top of older cohorts (recent better than older = improving underwriting or stable environment).
- DQ curves: Same format as CNL. Delinquency curves peak and then decline in well-performing portfolios; a DQ curve that keeps rising signals future losses.
- Vintage performance summary: A heat map or table showing CNL at 12 months, 24 months, and 36 months for each vintage, color-coded green/yellow/red vs. expected performance.
The narrative
Don’t just send tables and charts. Include a 1-2 page narrative explaining:
- What the performance shows at a high level (“Our 2022-2024 vintages are performing within 10-15% of original underwriting expectations”)
- Any specific cohorts that underperformed and why (“Our Q2 2022 vintage was our first cohort using the direct mail channel, which we discontinued after observing elevated 90+ DPD rates. No subsequent vintages use that channel.”)
- How you’ve responded to any negative performance signals (“After observing elevated DQ in the 600-640 FICO band, we tightened the minimum FICO score from 600 to 620 in August 2023”)
This narrative does two things: it shows that you monitor your own performance closely, and it pre-empts the questions they were going to ask anyway.
Tape delivery mechanics
File format:
- CSV is preferred for large tapes (faster to process; compatible with all tools)
- Excel (.xlsx) is acceptable for tapes under 100,000 rows; use raw data only, no merged cells, no colors, no formulas
- Pipe-delimited or tab-delimited are acceptable if clearly documented
- Do not deliver as PDF, as a formatted report, or as a data cube that requires a specific tool to open
File naming convention: [Originator]_LoanTape_YYYYMMDD.csv — for example, AcmeLending_LoanTape_20260401.csv. If delivering multiple files, include an index file listing all files and their contents.
Delivery method:
- Data room (preferred): upload to the secure folder; do not email sensitive files
- Email: acceptable only for files with no PII and only aggregate data
- FTP/SFTP: acceptable but less common now that data rooms are standard
Tape delivery checklist
Run this before delivering any tape to a capital provider.
Completeness
- All required universal fields present (see universal field table above)
- Asset-class-specific required fields present
- Null/missing rate below threshold on all required fields
- As-of date documented in file name and data dictionary
Consistency
- Maturity dates are after origination dates for all records
- Current balance does not exceed original balance (or explained)
- Interest rates within reasonable range (0.01-36% for consumer; 4-25% for commercial)
- Days past due consistent with Loan Status field
- Remaining term consistent with tape date and maturity date
Formatting
- Dates in YYYY-MM-DD format throughout
- Numeric fields are numeric (no $, commas, or % symbols in cells)
- Boolean/flag fields use consistent values (not a mix of Y/N and Yes/No)
- State field uses 2-letter abbreviations
- Loan status field uses consistent coded values matching the data dictionary
PII
- No borrower names in the file
- No Social Security Numbers
- No full addresses (state only is fine)
- No phone numbers, email addresses, or other direct identifiers
Documentation
- Data dictionary prepared and current (matches all fields in the tape)
- Any known data quality issues flagged in a cover note
- Tape reconciles to servicer records (loan count and total balance match)
Related topics
- Preparing Your Data Room — tape is a Tier 1 and Tier 2 deliverable
- The Originator’s Readiness Assessment — data quality is one of the four readiness dimensions