The Fitch US RMBS Model requires specific fields to appear in the uploaded tapes. You can view the fields, along with a definition of the outputs, below and download it as a file here.
| Required Fields | Description | Data Type | Acceptable Values |
| 12 Month Payment String | String indicating the payment status per month listed from oldest to most recent. 0: Current, 1: 30-59 DPD, 2: 60-89 DPD, 3: 90-119DPD, 4: 120+ DPD, 5: Foreclosure, 6: REO, 7: Loan did not exist in period, X: Unavailable | Text | 0 - 7, X |
| Additional LS | User can assign a additional LS | Numeric - Decimal | >= 0 and <= 1 |
| Additional Z | User can assign an additional Z | Numeric - Decimal | >= -10 and <= 10 |
| Amortization Term | The number of months in which the loan would be retired if the amortizing principal and interest payment were to be paid each month. | Numeric - Integer | >=0 |
| Amortization Type | Indicates whether the loan’s interest rate is fixed or adjustable (Hybrid ARMs are adjustable). 1: Fixed, 2: Adjustable, 99: Unknown | Numeric - Integer | 1, 2, 99 |
| Borrower Cash Out Amount | For “Cash-out” loans (see Glossary): | Numeric - Decimal | >=0 |
| Borrower Foreign National Indicator | Indicates the borrower has a foreign national. 0: No, 1: Yes | Numeric - Integer | 0, 1 |
| Borrower Liquid Cash Reserves | The actual dollar amount of remaining verified liquid assets after settlement. (This should not include cash out amount of subject loan.) | Numeric - Decimal | >= 0 |
| Borrower Original DSCR | Debt servicer converage ratio | Numeric - Decimal | >= 0 to <= 10 |
| Borrower Original FICO Equifax | Equifax FICO score for primary borrower (if applicable). | Numeric - Integer | >= 350 and <= 850 |
| Borrower Original FICO Experian | Experian FICO score for primary borrower (if applicable). | Numeric - Integer | >= 350 and <= 850 |
| Borrower Original FICO TransUnion | TransUnion FICO score for primary borrower (if applicable). | Numeric - Integer | >= 350 and <= 850 |
| Borrower Self Employed Indicator | An indicator of whether the primary borrower is selfemployed. 0: No, 1: Yes, 99: Unknown | Numeric - Integer | 0, 1, 99 |
| Buy Down Period | The total number of months during which any buy down is in effect, representing the accumulation of all buy down periods. | Numeric - Integer | >= 0 and <= 100 |
| Co-Borrower FICO Updated | Most Recent CoBorrower FICO score used by the lender to approve the loan. | Numeric - Integer | >= 350 and <= 850 |
| Co-Borrower Original FICO Equifax | Equifax FICO score for Co-borrower (if applicable). | Numeric - Integer | >= 350 and <= 850 |
| Co-Borrower Original FICO Experian | Experian FICO score for Coborrower (if applicable). | Numeric - Integer | >= 350 and <= 850 |
| Co-Borrower Original FICO TransUnion | TransUnion FICO score for Coborrower (if applicable). | Numeric - Integer | >= 350 and <= 850 |
| Due Diligence Grade | Indicates the compliance grade | Text | A, B, C, D |
| Current Actual Balance | Mortgage loan outstanding principal balance as of cut-off date. For HELOCs, the current drawn amount | Numeric - Decimal | > 0 |
| Current Gross Rate | The interest rate used to calculate the current P&I or I/O payment. | Numeric - Decimal | > 0 and <= 1 |
| Current Occupancy | Specifies the property occupancy status 1: Owner Occupied, 2: Second Home, 3: Investment Property, 98: Other, 99: Unavailable | Numeric - Integer | 1, 2, 3, 98, 99 |
| Documentation Type | Fitch's own classification of the documentation type 0: No Doc, 1: Full Doc, 2: <6 & <12 Months Bank Statement, 3: 12-23 Month Bank Statement, 4: 24+ Month Bank Statement, 5: WVOE, 6: DSCR, 7: Tax Returns & 1099, 8: Standalone PNL, 9: Asset Underwriting/Depletion, 10: Standalone CPA, 11: Foreign National & ITIN, 12: Bank Statement without Month, 13: CPA PNL, 98: Others, 99: Unknown, | Numeric - Integer | 0 - 13, 98, 99 |
| Due Diligence Code | D: Diligence, F: Foreclosure, C: Compliance Issue, HC: High Cost, HCU: High Cost Uncertain, NR: No Recovery, NSC: No Service Comment, LS: Loss Severity, Y: Exist Due Diligence, N: Does Not Exist Due Diligence | Text | D, F, C, HC, HCU, NR, NSC, LS, Y, N |
| First Payment Date | The date of the first scheduled mortgage payment to be made by the borrower as specified on the mortgage note. | Date | “19010101” if unknown |
| Fitch Correspondant Channel as Retail Flag | Indicates the correspondant channel as retail 0: No, 1: Yes | Numeric - Integer | 0, 1 |
| Fitch Cross Collateralized Property Count | Number of cross collateralized property (an asset that's collateral for an initial loan as collateral for a second loan) | Numeric - Integer | >=0 |
| Fitch Default Interest Rate Flag | 0: No, 1: Yes | Numeric - Integer | 0, 1 |
| Fitch Underwriting Defect | Reports any issues with the data 1: DTI Miscalculated, 2: Occupancy Misrepresented, 3: Property Type Defect, 4: Loan Purpose Defect, 5: FICO Defect | Numeric - Integer | 1 - 5 |
| HELOC Indicator | Indicates whether the loan is a home equity line of credit 0: No, 1: Yes, 99: Unknown | Numeric - Integer | 0, 1, 99 |
| Initial Fixed Rate Period | For hybrid ARMs, the period between the first payment date of the mortgage and the first interest rate adjustment date. | Numeric - Integer | >= 0 to <=240 |
| IO Original Term | Original interest-only term for a loan in months (including NegAm Loans). | Numeric - Integer | >= 0 and <= 240 |
| Junior Lien Current Actual Bal | For first mortgages with subordinate liens at the time of origination, the combined balance of the subordinate liens (if known). | Numeric - Decimal | >= 0 |
| Lien Position | A number indicating the loan’s lien position (1 = first lien, etc.). | Numeric - Integer | >0 |
| Loan CDFI flag | Indicates if the loan is under Community Development Financial Institution program 0: No, 1: Yes | Numeric - Integer | 0, 1 |
| Loan Collateral GSE Eligibility | Indicate Government Sponsor Entity eligibility 0: No, 1: Yes | Numeric - Integer | 0, 1 |
| Loan Purchase Price | The negotiated price of a given property between the buyer and seller. | Numeric - Decimal | > 0 |
| Loan Purpose | Indicates the purpose of the loan 1: Cash Out: Debt Consolidation, 2: Cash Out: Home Improvement/Renovation, 3: Cash Out: Other/Multipurpose/Unknown purpose, 4: Limited Cash-Out (GSE Definition), 5: Facilitate REO (Repo Financing for Manufactured Housing), 6: First Time Home Purchase, as defined by American Recovery and Reinvestment Act of 2009, 7: Other-than-first-time Home Purchase, 8: Rate/Term Refinance - Lender initiated, 9: Rate/Term Refinance -- Borrower initiated, 10: Construction to Permanent: A mortgage loan on completed construction under one mortgage or trust deed in which the completion certificate and the certificate of occupancy have been obtained., 11: Assumption, 98: Other, 99: Unavailable | Numeric - Integer | 1 - 11, 98, 99 |
| Loan Qualification Payment | The amount a borrower can afford to pay each month twoards their mortgage loan. | Numeric - Decimal | >=0 |
| Modified Effective Payment Date | Date of first payment due post modification. | Date | “19010101” if unknown |
| Mortgage Insurance Company | The name of the entity providing mortgage insurance for a loan 0: No MI, 1: Genworth, 2: Verex Assurance Inc. (run-off), 3: Liberty Mortgage Insurance Co. (run-off), 4: Mortgage Guaranty Insurance Corp., 5: Wisconsin (run-off), 6: Foremost (run-off), 7: PMI Mortgage Insurance Co., 8: United Guaranty Insurance Corp., 9: Republic Mortgage Insurance Co., 10: State Housing Fund, 11: Home Guaranty Insurance Corp. (run-off), 12: PAMICO Mortgage Insurance Corp., 13: Integon Mortgage Guarantee Corp. (run-off), 14: FHA Section 203b (SFD), 15: FHA Section 234c (Condos), 16: FHA Section 251 (ARMs), 17: FHA Section 245a (GPMs), 18: FHA Section 203k (rehabs), 19: FHA Section 203h (disaster area victim), 20: FHA Section 204g (HUD REO financing), 21: FHA Section 223e (older, declining neighborhoods), 22: FHA Section 255 (HECM/reverse mortgage), 23: FHA Title I (Manufactured Housing), 24: Radian Insurance Inc., 25: RHS (rural housing), 26: Triad Guaranty Insurance Corporation, 27: United Guaranty Mortgage Indemnity Company, 28: General Electric Residential Mortgage Insurance Co., 29: Investors Mortgage Insurance Co. (run-off), 30: Ticor Mortgage Insurance (run-off), 31: CMG Mortgage Insurance Company, 32: Policyholders (run-off), 33: Tiger (run-off), 34: VA, 35: U.S. Mortgage (run-off), 36: CITY Housing Fund, 80: Freddie Mac, 81: Fennie Mae, 98: Other, 99: Unavailable | Numeric - Integer | 0 - 36, 80, 81, 98, 99 |
| Mortgage Insurance Percent | Mortgage Insurance coverage percentage. | Numeric - Decimal | >= 0 to <= 1 |
| Number of Borrowers | The number of Borrowers who are obligated to repay the mortgage note. | Numeric - Integer | >0 |
| Number of Times Modified | The number of times the loan has been modified. | Numeric - Integer | >= 0 |
| Original Appraisal Amount | The appraised value of the property used to approve the loan. | Numeric - Decimal | > 0 |
| Original Balance | The dollar amount of the mortgage loan, as specified on the mortgage note at the time of the loan’s origination. For HELOCs, the maximum available line of credit. | Numeric - Decimal | >0 |
| Original Combined LTV | The ratio obtained by dividing the amount of all known outstanding mortgage liens on a property at origination by the lesser of the appraised value or the sales price. | Numeric - Decimal | > 0 and <= 1.5 |
| Original DTI | Total Debt to income ratio used by the originator to qualify the loan. | Numeric - Decimal | > 0 and <= 1 |
| Original Gross Rate | The original note rate as indicated on the mortgage note. | Numeric - Decimal | > 0 and <= 1 |
| Original Term | The initial number of months between loan origination and the loan maturity date, as specified on the mortgage note. | Numeric - Integer | >0 |
| Origination Channel | Code indicating the source (channel) from which the Issuer obtained the mortgage loan 1: Retail, 2: Broker, 3: Correspondent Bulk ,4: Correspondent Flow with delegated underwriting, 5: Correspondent Flow without delegated underwriting, 99: Unknown | Numeric - Integer | 1 - 5, 99 |
| Origination Date | The date of the Mortgage Note and Mortgage/Deed of Trust | Date | “19010101” if unknown |
| Origination PD Override | User can assign Origination PD Override | Numeric - Decimal | >= 0 and <= 1 |
| Property State | The name of the state as a 2-digit abbreviation. | Text | AK, AL, AR, AZ, CA, CT, CO, DC, DE, FL, GA, GU, HI, IA, ID, IL, IN, KS, KY, LA, MA, MD, ME, MI, MN, MO, MS, MT, NC, ND, NE, NH, NJ, NM, NV, NY, OH, OK, OR, PA, PR, RI, SC, SD, TN, TX, UT, VA, VT, VI, WA, WI, WV, WY |
| Property Type | Specifies the type of property being used to secure the loan 1: Single Family Detached (non-PUD), 2: Co-op, 3: Condo, Low Rise (<5 stories), 4: Condo, High Rise (5+ stories), 5: Condotel (as defined in Issuer’s Underwriting Guidelines), 6: dPUD (PUD with “de minimus” monthly HOA dues, 7: PUD (Only for use with Single-Family Detached Homes with PUD riders), 8: Townhouse (Do not report as “PUD”), 9: Single-wide Manufactured Housing, 10: Double-wide Manufactured Housing, 11: Multi-wide Manufactured Housing, 12: 1 Family Attached, 13: 2 Family, 14: 3 Family, 15: 4 Family, 16: Anchored Retail, 17: Healthcare, 18: Hotel, 19: Industrial, 20: Land, 21: Mixed Use, 22: Multi w/Minor Retail, 23: Office, 25: Regional Mall, 26: School, 27: Unanchored Retail, 28: Warehouse, 29: 5-10 Unit Multi-Family, 30: 11-20 Unit Multi-Family, 31: 21-40 Unit Multi-Family, 32: 41-100 Unit Multi-Family, 33: 100+ Unit Multi-Family, 34: Gas Station, 35: Parking Lot, 36: Religious Congregation Building, 98: Other, 99: Unavailable | Text | 1 - 36, 98, 99 |
| Property Zipcode | The postal code (zip code in the US) where the subject property is located. | Text | 5 digit zip, 99999: Unknown |
| Scheduled PandI | Next Total Payment due to be collected (including principal, interest or both—but Exclude Escrow Amounts). | Numeric - Decimal | > 0 |
| Senior Lien Current Actual Bal | For non-first mortgages, the sum of the balances of all associated senior mortgages at the time of origination of the subordinate lien. | Numeric - Decimal | >=0 |
| Step Rate Indicator | Indicate if the interest rate has a step rate schedule 0: No, 1: Yes | Numeric - Integer | 0, 1 |
| Subsequent Rate Reset Months | The number of months between subsequent rate adjustments. | Numeric - Integer | >=0 and <= 120 |
| Updated Appraisal Date | Specifies the date on which the updated property value was reported. | Date | “19010101” if unknown |
| Updated Appraisal Value | If a valuation was obtained subsequent to the valuation used to calculate LTV, the most recent property value. | Numeric - Decimal | > 0 |
| Updated FICO | Most Recent Primary Borrower FICO score used by the lender to approve the loan. | Numeric - Integer | >= 350 and <= 850 |
Model Output Data Dictionary
| Full Field Name | dv01 Field Label | Definition |
| Probability of Default Z-Score Add-On: Additional Adjustment | Z-Score Add Adj | Fitch applies extra PD adjustments for borrower and loan attributes not included in the PD variables. |
| Asf-Case Cure Rate Probability | Cure % A | Fitch assumes a portion of defaulted borrowers will resolve their defaults without incurring a loss. |
| AAsf-Case Cure Rate Probability | Cure % AA | Fitch assumes a portion of defaulted borrowers will resolve their defaults without incurring a loss. |
| AAAsf-Case Cure Rate Probability | Cure % AAA | Fitch assumes a portion of defaulted borrowers will resolve their defaults without incurring a loss. |
| Bsf-Case Cure Rate Probability | Cure % B | Fitch assumes a portion of defaulted borrowers will resolve their defaults without incurring a loss. |
| Base Case Cure Rate Probability | Cure % Base | Fitch assumes a portion of defaulted borrowers will resolve their defaults without incurring a loss. |
| BBsf-Case Cure Rate Probability | Cure % BB | Fitch assumes a portion of defaulted borrowers will resolve their defaults without incurring a loss. |
| BBBsf-Case Cure Rate Probability | Cure % BBB | Fitch assumes a portion of defaulted borrowers will resolve their defaults without incurring a loss. |
| Fitch Current DQ Status | Payment Status | Current Delinquency Status Code per Fitch's Loan Loss Model |
| Due Diligency Probability of Default Credit | DD PD Credit | Loan-level diligence review covering but not limited to compliance, credit, property valuation, and data integrity as applicable depending on collateral as described in Fitch’s U.S. RMBS Operational Risk Best Practices. |
| Economic Risk Factor | ERF | The ERF variable accounts for regional economic factors, demographic factors, and macroeconomic trends. |
| Asf-Case Final Probability of Default | PD % A | Fitch determines the final PD by considering origination PD, seasoned PD, DQ status, and Due Diligence, with a cap at 100%. |
| AAsf-Case Final Probability of Default | PD % AA | Fitch determines the final PD by considering origination PD, seasoned PD, DQ status, and Due Diligence, with a cap at 100%. |
| AAAsf-Case Final Probability of Default | PD % AAA | Fitch determines the final PD by considering origination PD, seasoned PD, DQ status, and Due Diligence, with a cap at 100%. |
| Bsf-Case Final Probability of Default | PD % B | Fitch determines the final PD by considering origination PD, seasoned PD, DQ status, and Due Diligence, with a cap at 100%. |
| Base Case Final Probability of Default | PD % Base | Fitch determines the final PD by considering origination PD, seasoned PD, DQ status, and Due Diligence, with a cap at 100%. |
| BBsf-Case Final Probability of Default | PD % BB | Fitch determines the final PD by considering origination PD, seasoned PD, DQ status, and Due Diligence, with a cap at 100%. |
| BBBsf-Case Final Probability of Default | PD % BBB | Fitch determines the final PD by considering origination PD, seasoned PD, DQ status, and Due Diligence, with a cap at 100%. |
| Adjustable Rate Mortgage Flag - 5/25 | ARM - 5/25 | Flag for ARMs with an initial fixed-rate period of less than seven years. |
| Fixed Rate Mortgage Flag | FRM | Flag for fixed rate mortgage |
| Home Price Appreciation Multiplier | HPI | Fitch calculated variable using the change in Case-Shiller Weiss Index from Valuation Date to Model Run Date for the property-specific region. |
| Asf-Case Liquidation Loss Percentage | Liq Loss % A | Fitch analytical assumptions associated with liquidating a defaulted property in the liquidation outcome of Fitch’s Loss Severity waterfall. Costs are assumed to be the greater of $60,000 or 10% of the property’s liquidation price. |
| AAsf-Case Liquidation Loss Percentage | Liq Loss % AA | Fitch analytical assumptions associated with liquidating a defaulted property in the liquidation outcome of Fitch’s Loss Severity waterfall. Costs are assumed to be the greater of $60,000 or 10% of the property’s liquidation price. |
| AAAsf-Case Liquidation Loss Percentage | Liq Loss % AAA | Fitch analytical assumptions associated with liquidating a defaulted property in the liquidation outcome of Fitch’s Loss Severity waterfall. Costs are assumed to be the greater of $60,000 or 10% of the property’s liquidation price. |
| Bsf-Case Liquidation Loss Percentage | Liq Loss % B | Fitch analytical assumptions associated with liquidating a defaulted property in the liquidation outcome of Fitch’s Loss Severity waterfall. Costs are assumed to be the greater of $60,000 or 10% of the property’s liquidation price. |
| Base Case Liquidation Loss Percentage | Liq Loss % Base | Fitch analytical assumptions associated with liquidating a defaulted property in the liquidation outcome of Fitch’s Loss Severity waterfall. Costs are assumed to be the greater of $60,000 or 10% of the property’s liquidation price. |
| BBsf-Case Liquidation Loss Percentage | Liq Loss % BB | Fitch analytical assumptions associated with liquidating a defaulted property in the liquidation outcome of Fitch’s Loss Severity waterfall. Costs are assumed to be the greater of $60,000 or 10% of the property’s liquidation price. |
| BBBsf-Case Liquidation Loss Percentage | Liq Loss % BBB | Fitch analytical assumptions associated with liquidating a defaulted property in the liquidation outcome of Fitch’s Loss Severity waterfall. Costs are assumed to be the greater of $60,000 or 10% of the property’s liquidation price. |
| Asf-Case Liquidation Timeline | Liq Timeline A | Fitch analytical assumption for the number of months it takes for a Servicer to resolve a Defaulted Loan through the Foreclosure and Loss Mitigation process. |
| AAsf-Case Liquidation Timeline | Liq Timeline AA | Fitch analytical assumption for the number of months it takes for a Servicer to resolve a Defaulted Loan through the Foreclosure and Loss Mitigation process. |
| AAAsf-Case Liquidation Timeline | Liq Timeline AAA | Fitch analytical assumption for the number of months it takes for a Servicer to resolve a Defaulted Loan through the Foreclosure and Loss Mitigation process. |
| Bsf-Case Liquidation Timeline | Liq Timeline B | Fitch analytical assumption for the number of months it takes for a Servicer to resolve a Defaulted Loan through the Foreclosure and Loss Mitigation process. |
| Base Case Liquidation Timeline | Liq Timeline Base | Fitch analytical assumption for the number of months it takes for a Servicer to resolve a Defaulted Loan through the Foreclosure and Loss Mitigation process. |
| BBsf-Case Liquidation Timeline | Liq Timeline BB | Fitch analytical assumption for the number of months it takes for a Servicer to resolve a Defaulted Loan through the Foreclosure and Loss Mitigation process. |
| BBBsf-Case Liquidation Timeline | Liq Timeline BBB | Fitch analytical assumption for the number of months it takes for a Servicer to resolve a Defaulted Loan through the Foreclosure and Loss Mitigation process. |
| Loan Age | Loan Age | Number of months a loan has been paying |
| Fitch Loan Type | Fitch Loan Type | Loans are classified as prime (0) or non-prime (1) based on the borrower's credit score, documentation and the Combined Loan-to-Value (CLTV) ratio. |
| Asf-Case Loss Severity | LS % A | Fitch analytical assumptions that represents the percentage of the Current Loan Amount that is not recouped by the Servicer in the Loss Mitigation process. |
| AAsf-Case Loss Severity | LS % AA | Fitch analytical assumptions that represents the percentage of the Current Loan Amount that is not recouped by the Servicer in the Loss Mitigation process. |
| AAAsf-Case Loss Severity | LS % AAA | Fitch analytical assumptions that represents the percentage of the Current Loan Amount that is not recouped by the Servicer in the Loss Mitigation process. |
| Bsf-Case Loss Severity | LS % B | Fitch analytical assumptions that represents the percentage of the Current Loan Amount that is not recouped by the Servicer in the Loss Mitigation process. |
| Base Case Loss Severity | LS % Base | Fitch analytical assumptions that represents the percentage of the Current Loan Amount that is not recouped by the Servicer in the Loss Mitigation process. |
| BBsf-Case Loss Severity | LS % BB | Fitch analytical assumptions that represents the percentage of the Current Loan Amount that is not recouped by the Servicer in the Loss Mitigation process. |
| BBBsf-Case Loss Severity | LS % BBB | Fitch analytical assumptions that represents the percentage of the Current Loan Amount that is not recouped by the Servicer in the Loss Mitigation process. |
| Base Case Loan-to-Value Ratio | LTV % Base | The LTV ratio compares the total loan amount (including primary and secondary loans) to the property's appraised value or purchase price, adjusted for indexation and catastrophic risk. |
| Probability of Default Z-Score Add-On: Missing Data | Z-Score Missing Data Adj | Fitch assigns default values for loans missing DTI, FICO, self-employment status, channel, number of borrowers, occupancy, and loan purpose. |
| Asf-Case Modification Loss Percentage | Mod Loss % A | Fitch assumes losses to the Trust when a Servicer resolves a Defaulted Loan through Modification during the Loss Mitigation process. |
| AAsf-Case Modification Loss Percentage | Mod Loss % AA | Fitch assumes losses to the Trust when a Servicer resolves a Defaulted Loan through Modification during the Loss Mitigation process. |
| AAAsf-Case Modification Loss Percentage | Mod Loss % AAA | Fitch assumes losses to the Trust when a Servicer resolves a Defaulted Loan through Modification during the Loss Mitigation process. |
| Bsf-Case Modification Loss Percentage | Mod Loss % B | Fitch assumes losses to the Trust when a Servicer resolves a Defaulted Loan through Modification during the Loss Mitigation process. |
| Base Case Modification Loss Percentage | Mod Loss % Base | Fitch assumes losses to the Trust when a Servicer resolves a Defaulted Loan through Modification during the Loss Mitigation process. |
| BBsf-Case Modification Loss Percentage | Mod Loss % BB | Fitch assumes losses to the Trust when a Servicer resolves a Defaulted Loan through Modification during the Loss Mitigation process. |
| BBBsf-Case Modification Loss Percentage | Mod Loss % BBB | Fitch assumes losses to the Trust when a Servicer resolves a Defaulted Loan through Modification during the Loss Mitigation process. |
| Asf-Case Mark-to-Market Combined Loan-to-Value Differential | MtM CLTV Diff A | A calculated variable using the Loan Amount Differential to adjust the Original Combined Loan Amount and HPA Multiplier to adjust the Original Property Value. Measures the difference between the MTM CLTV and OCLTV. |
| AAsf-Case Mark-to-Market Combined Loan-to-Value Differential | MtM CLTV Diff AA | A calculated variable using the Loan Amount Differential to adjust the Original Combined Loan Amount and HPA Multiplier to adjust the Original Property Value. Measures the difference between the MTM CLTV and OCLTV. |
| AAAsf-Case Mark-to-Market Combined Loan-to-Value Differential | MtM CLTV Diff AAA | A calculated variable using the Loan Amount Differential to adjust the Original Combined Loan Amount and HPA Multiplier to adjust the Original Property Value. Measures the difference between the MTM CLTV and OCLTV. |
| Bsf-Case Mark-to-Market Combined Loan-to-Value Differential | MtM CLTV Diff B | A calculated variable using the Loan Amount Differential to adjust the Original Combined Loan Amount and HPA Multiplier to adjust the Original Property Value. Measures the difference between the MTM CLTV and OCLTV. |
| Base Case Mark-to-Market Combined Loan-to-Value Differential | MtM CLTV Diff Base | A calculated variable using the Loan Amount Differential to adjust the Original Combined Loan Amount and HPA Multiplier to adjust the Original Property Value. Measures the difference between the MTM CLTV and OCLTV. |
| BBsf-Case Mark-to-Market Combined Loan-to-Value Differential | MtM CLTV Diff BB | A calculated variable using the Loan Amount Differential to adjust the Original Combined Loan Amount and HPA Multiplier to adjust the Original Property Value. Measures the difference between the MTM CLTV and OCLTV. |
| BBBsf-Case Mark-to-Market Combined Loan-to-Value Differential | MtM CLTV Diff BBB | A calculated variable using the Loan Amount Differential to adjust the Original Combined Loan Amount and HPA Multiplier to adjust the Original Property Value. Measures the difference between the MTM CLTV and OCLTV. |
| Asf-Case Origination Probability of Default | OPD % A | Origination PD is the lifetime Probability of Default estimated for each loan using Fitch’s Origination PD Model. The model distinguishes between Prime and Non-Prime Borrowers and uses borrower and loan attributes as of the mortgage origination date. |
| AAsf-Case Origination Probability of Default | OPD % AA | Origination PD is the lifetime Probability of Default estimated for each loan using Fitch’s Origination PD Model. The model distinguishes between Prime and Non-Prime Borrowers and uses borrower and loan attributes as of the mortgage origination date. |
| AAAsf-Case Origination Probability of Default | OPD % AAA | Origination PD is the lifetime Probability of Default estimated for each loan using Fitch’s Origination PD Model. The model distinguishes between Prime and Non-Prime Borrowers and uses borrower and loan attributes as of the mortgage origination date. |
| Bsf-Case Origination Probability of Default | OPD % B | Origination PD is the lifetime Probability of Default estimated for each loan using Fitch’s Origination PD Model. The model distinguishes between Prime and Non-Prime Borrowers and uses borrower and loan attributes as of the mortgage origination date. |
| Base Case Origination Probability of Default | OPD % Base | Origination PD is the lifetime Probability of Default estimated for each loan using Fitch’s Origination PD Model. The model distinguishes between Prime and Non-Prime Borrowers and uses borrower and loan attributes as of the mortgage origination date. |
| BBsf-Case Origination Probability of Default | OPD % BB | Origination PD is the lifetime Probability of Default estimated for each loan using Fitch’s Origination PD Model. The model distinguishes between Prime and Non-Prime Borrowers and uses borrower and loan attributes as of the mortgage origination date. |
| BBBsf-Case Origination Probability of Default | OPD % BBB | Origination PD is the lifetime Probability of Default estimated for each loan using Fitch’s Origination PD Model. The model distinguishes between Prime and Non-Prime Borrowers and uses borrower and loan attributes as of the mortgage origination date. |
| Probability of Default Z-Score Add-On: Payment Shock | Z-Score Add: ARM Shock | Fitch analytical adjustment to reflect the higher default rate associated with Mortgage Loans that are subject to a future change in Payment Obligation. |
| Property Value Ratio | PVR | The Property Value Ratio (PVR) compares a property's value to the state-level median value. Properties with a PVR significantly below the median historically have higher default rates, while those above the median tend to have lower default rates. |
| Asf-Case Seasoned Loan Probability of Default | SL PD % A | Lifetime PDs are adjusted to Remaining Life PDs using the Seasoned Loan PD Model, which factors in Origination PD, Current Loan Status, WADQ, MTM CLTV Change, and Loan Age. |
| AAsf-Case Seasoned Loan Probability of Default | SL PD % AA | Lifetime PDs are adjusted to Remaining Life PDs using the Seasoned Loan PD Model, which factors in Origination PD, Current Loan Status, WADQ, MTM CLTV Change, and Loan Age. |
| AAAsf-Case Seasoned Loan Probability of Default | SL PD % AAA | Lifetime PDs are adjusted to Remaining Life PDs using the Seasoned Loan PD Model, which factors in Origination PD, Current Loan Status, WADQ, MTM CLTV Change, and Loan Age. |
| Asf-Case Seasoned Loan Probability of Default with Geographic and Loan Count Concentration | SL PD w/ Conc % A | Fitch adjusts seasoned loan PDs based on geographic and loan count concentration. |
| AAsf-Case Seasoned Loan Probability of Default with Geographic and Loan Count Concentration | SL PD w/ Conc % AA | Fitch adjusts seasoned loan PDs based on geographic and loan count concentration. |
| AAAsf-Case Seasoned Loan Probability of Default with Geographic and Loan Count Concentration | SL PD w/ Conc % AAA | Fitch adjusts seasoned loan PDs based on geographic and loan count concentration. |
| Bsf-Case Seasoned Loan Probability of Default with Geographic and Loan Count Concentration | SL PD w/ Conc % B | Fitch adjusts seasoned loan PDs based on geographic and loan count concentration. |
| Base Case Seasoned Loan Probability of Default with Geographic and Loan Count Concentration | SL PD w/ Conc % Base | Fitch adjusts seasoned loan PDs based on geographic and loan count concentration. |
| BBsf-Case Seasoned Loan Probability of Default with Geographic and Loan Count Concentration | SL PD w/ Conc % BB | Fitch adjusts seasoned loan PDs based on geographic and loan count concentration. |
| BBBsf-Case Seasoned Loan Probability of Default with Geographic and Loan Count Concentration | SL PD w/ Conc % BBB | Fitch adjusts seasoned loan PDs based on geographic and loan count concentration. |
| Bsf-Case Seasoned Loan Probability of Default | SL PD % B | Lifetime PDs are adjusted to Remaining Life PDs using the Seasoned Loan PD Model, which factors in Origination PD, Current Loan Status, WADQ, MTM CLTV Change, and Loan Age. |
| Base Case Seasoned Loan Probability of Default | SL PD % Base | Lifetime PDs are adjusted to Remaining Life PDs using the Seasoned Loan PD Model, which factors in Origination PD, Current Loan Status, WADQ, MTM CLTV Change, and Loan Age. |
| BBsf-Case Seasoned Loan Probability of Default | SL PD % BB | Lifetime PDs are adjusted to Remaining Life PDs using the Seasoned Loan PD Model, which factors in Origination PD, Current Loan Status, WADQ, MTM CLTV Change, and Loan Age. |
| BBBsf-Case Seasoned Loan Probability of Default | SL PD % BBB | Lifetime PDs are adjusted to Remaining Life PDs using the Seasoned Loan PD Model, which factors in Origination PD, Current Loan Status, WADQ, MTM CLTV Change, and Loan Age. |
| Adjustable Rate Mortgage Flag - Ten Years | ARM - 7/23 | Flag for ARMs with an initial fixed-rate period of less than ten years. |
| Adjustable Rate Mortgage Flag - Two Years | ARM - ST | Flag for ARMs with an initial fixed-rate period of less than two years. |
| Asf-Case Sustainable Loan-to-Value Ratio | sLTV % A | The LTV ratio compares the total loan amount (including primary and secondary loans) to the property's appraised value or purchase price, adjusted for indexation and catastrophic risk. |
| AAsf-Case Sustainable Loan-to-Value Ratio | sLTV % AA | The LTV ratio compares the total loan amount (including primary and secondary loans) to the property's appraised value or purchase price, adjusted for indexation and catastrophic risk. |
| AAAsf-Case Sustainable Loan-to-Value Ratio | sLTV % AAA | The LTV ratio compares the total loan amount (including primary and secondary loans) to the property's appraised value or purchase price, adjusted for indexation and catastrophic risk. |
| Bsf-Case Sustainable Loan-to-Value Ratio | sLTV % B | The LTV ratio compares the total loan amount (including primary and secondary loans) to the property's appraised value or purchase price, adjusted for indexation and catastrophic risk. |
| BBsf-Case Sustainable Loan-to-Value Ratio | sLTV % BB | The LTV ratio compares the total loan amount (including primary and secondary loans) to the property's appraised value or purchase price, adjusted for indexation and catastrophic risk. |
| BBBsf-Case Sustainable Loan-to-Value Ratio | sLTV % BBB | The LTV ratio compares the total loan amount (including primary and secondary loans) to the property's appraised value or purchase price, adjusted for indexation and catastrophic risk. |
| Asf-Case Sustainable Market Value Decline at Origination Date | sMVD-Orig % A | A percentage haircut applied to the Property Value at origination to account for Fitch’s overvaluation estimates generated by Fitch’s Sustainable Home Price model. |
| AAsf-Case Sustainable Market Value Decline at Origination Date | sMVD-Orig % AA | A percentage haircut applied to the Property Value at origination to account for Fitch’s overvaluation estimates generated by Fitch’s Sustainable Home Price model. |
| AAAsf-Case Sustainable Market Value Decline at Origination Date | sMVD-Orig % AAA | A percentage haircut applied to the Property Value at origination to account for Fitch’s overvaluation estimates generated by Fitch’s Sustainable Home Price model. |
| Bsf-Case Sustainable Market Value Decline at Origination Date | sMVD-Orig % B | A percentage haircut applied to the Property Value at origination to account for Fitch’s overvaluation estimates generated by Fitch’s Sustainable Home Price model. |
| BBsf-Case Sustainable Market Value Decline at Origination Date | sMVD-Orig % BB | A percentage haircut applied to the Property Value at origination to account for Fitch’s overvaluation estimates generated by Fitch’s Sustainable Home Price model. |
| BBBsf-Case Sustainable Market Value Decline at Origination Date | sMVD-Orig % BBB | A percentage haircut applied to the Property Value at origination to account for Fitch’s overvaluation estimates generated by Fitch’s Sustainable Home Price model. |
| Asf-Case Sustainable Market Value Decline as of Run Date | sMVD-RunDate % A | A percentage haircut applied to the Property Value as of the run date to account for Fitch’s overvaluation estimates generated by Fitch’s Sustainable Home Price model. |
| AAsf-Case Sustainable Market Value Decline as of Run Date | sMVD-RunDate % AA | A percentage haircut applied to the Property Value as of the run date to account for Fitch’s overvaluation estimates generated by Fitch’s Sustainable Home Price model. |
| AAAsf-Case Sustainable Market Value Decline as of Run Date | sMVD-RunDate % AAA | A percentage haircut applied to the Property Value as of the run date to account for Fitch’s overvaluation estimates generated by Fitch’s Sustainable Home Price model. |
| Bsf-Case Sustainable Market Value Decline as of Run Date | sMVD-RunDate % B | A percentage haircut applied to the Property Value as of the run date to account for Fitch’s overvaluation estimates generated by Fitch’s Sustainable Home Price model. |
| BBsf-Case Sustainable Market Value Decline as of Run Date | sMVD-RunDate % BB | A percentage haircut applied to the Property Value as of the run date to account for Fitch’s overvaluation estimates generated by Fitch’s Sustainable Home Price model. |
| BBBsf-Case Sustainable Market Value Decline as of Run Date | sMVD-RunDate % BBB | A percentage haircut applied to the Property Value as of the run date to account for Fitch’s overvaluation estimates generated by Fitch’s Sustainable Home Price model. |
| Foreclosure Indicator | FC Indicator | Loan is in foreclosure indicator |
| DQ Flag - 90 Days | DQ Flag - 90 Days | Flagged for 90-119 days delinquency. |
| REO Indicator | REO Indicator | Indicates if a loan is a REO loan |
| DQ Flag - 60 Days | DQ Flag - 60 Days | Flagged for 60-89 days delinquency. |
| DQ Flag - 30 Days | DQ Flag - 30 Days | Flagged for 30-59 days delinquency. |
| Adjustable Rate Mortgage Flag - 10/20 | ARM - 10/20 | Flag for ARMs with an initial fixed-rate period of less than thirty years. |
| Adjustable Rate Mortgage Flag - 3/27 | ARM - 3/27 | Flag for ARMs with an initial fixed-rate period of less than five years. |
| Adjustable Rate Mortgage Flag - 2/28 | ARM - 2/28 | Flag for ARMs with an initial fixed-rate period of less than three years. |
| WADQ Score DQ Flag | DQ Penalty | Flag is set if the WADQ score > 0, indicating any delinquency in the past 12 months. |
| Weighted Average Delinquency Score | WA DQ Score | WADQ Score identifies if a loan has been delinquent in the past year, adjusting the Seasoned Loan PD accordingly. This score uses a 12-month exponential decay weighting. |