TABLE OF CONTENTS


Introduction

The Fitch U.S. RMBS Model is integrated into the dv01’s Tape Cracker. This integration means you can:

  • Prepare and standardize loan tapes in seconds. This allows you to reformat your raw data files into Fitch’s schema
  • Run the Fitch model entirely within dv01 — no external Excel needed
  • Access loan-level outputs and validations alongside your original data

With Tape Cracker as the foundation, you get a streamlined, end-to-end process — from data ingestion and mapping to model execution and results delivery.


Prepping a Tape for the Fitch Model

When importing a tape, a drawer will appear - toggle the “Prepare for Fitch RMBS Loss Model” on to assist with field matching & value mapping to reduce setup for the Fitch model, it also enables use of the data validation set:



Fitch Required Fields

After a tape is imported, all fields required to run the model are marked with a red diamond.Fields that do not have an existing match can still be added and will be populated with empty values by clicking "Add selected fields" in the blue banner.


Using Validations

Once the typical field mapping and data wrangling is performed, validations can be run ensuring all the model's required fields are mapped and normalized. To do so, click "Pool validations" on the Data Wrangling tab:


then select the "Fitch RMBS Loss Model" set from the drop-down menu and click "Run validations":


Loans can and will probably fail validations, but don’t panic! Red dots indicate required fields failing and orange dots are suggested fields that are failing. 

Tools to help resolve the failures:

  • Download the validations Loan Level Report to identify which loans are failing validations
  • When the field is mapped, use Format Actions to edit field values or calculations to implement conditional logic
  • If the field is not mapped, check:

            - if the appropriate column is unmatched on the Field Matching tab

            - matched to another column, if so, unmatch (A)/rematch or map a column to multiple fields (B) using the                         respective icons on the right half of the Field Matching tab

            - apply a calculation to add the field to the tape (dv01 & Fitch Ratings have added many calculations to help

                add required fields seamlessly:


Running the Model & Results

Once the required fields are mapped and calculated, and validations pass, click “Run model” (A) to generate a preview of the results. 

  • Select “Join & Save LLM results to tape” (B) to append the loan-level model results to the tape
  • Lastly, “Get Cashflow Scenario” (C) creates a cashflow scenario to be used within dv01’s embedded cashflow engine. To access the cashflow engine, simply selecting into the Cashflow page from the top navigation bar


 


Additional Cashflow Assumptions that can be applied:
Liquidation Proceeds - determines if liquidation proceeds prioritize interest over principal

Include WAC - toggling to yes: will run rate mods

Servicer Advance Cap - specify how many months of advancing for the pool