A loan tape is a detailed file that contains information on a portfolio of loans held by a bank or other financial institution. Loan tapes serve an important risk management purpose by providing transparency into the underlying loans that make up asset-backed securities (ABS) or collateralized loan obligations (CLO).
Key Details in a Loan Tape
There is no standard format for loan tapes, but they generally contain a minimum set of details on each loan in the portfolio. Here are some of the key data fields typically included:
Borrower Information
- Borrower name
- Industry/sector
- Location
Loan Terms
- Original loan amount
- Interest rate
- Maturity date
- Repayment terms (amortization schedule)
Collateral Details
For secured loans like mortgages, auto loans, equipment loans:
- Collateral type and value
- Collateral location
- Loan-to-value ratio
Loan Status
- Current balance
- Accrued interest
- Days delinquent
- Default/non-accrual status
Loan Ratings
- Internal risk rating
- External ratings (if rated)
How Loan Tapes Are Built
Constructing loan tapes requires pulling data from multiple internal bank systems and databases. Here is an overview of the loan tape creation process:
Extracting Source Data
Key source systems include:
Originations Systems
- Loan origination system (LOS) – Stores loan terms, borrower details, collateral data logged at origination
- Online loan admin systems – Tracks changes to loan details over time
Risk Management Systems
- Credit risk systems – Maintains internal borrower risk ratings and associated rationales
- Collateral monitoring systems – Updates collateral values, LTV ratios for secured loans
- Workout/recovery systems – Flags and tracks covenant violations, payment delinquencies
Accounting Systems
- General ledger – Provides real-time loan current balances, days delinquent, non-accrual status
Large global banks maintain decentralized systems across these functions, requiring aggregating data from hundreds of systems that span their entire geographic footprint.
Regional banks may have more centralized systems but still require linking their LOS, risk management platforms, and accounting systems.
Standardization and Quality Checks
With data pulled from so many systems, standardizing formats and rationalizing discrepancies is critical before generating the tape. Data quality checks typically include:
- Standardizing descriptions for industry sectors, collateral types, ratings formats
- Identifying gaps for required fields
- Flagging and resolving discrepancies between systems (i.e. inconsistent ratings, collateral values, days delinquent)
- Removing duplicative loans reported across systems
- Confirming totals balance to official books and records
Customization for Different Uses
While the extracted source data is standardized, the final loan tape itself can be customized to serve different business purposes:
- Servicing tapes maintain all collateral detail monitors need to actively manage individual loans
- Investor tapes may show summary metrics focused most important to analyzing portfolio risk like LTVs and delinquency levels
- Regulatory tapes highlight data fields required for reporting and compliance oversight
In many cases, preliminary standardized extracts are created with all available data, from which more targeted loan tapes can be generated based on specific business needs.
Example of Loan Tape Data Fields
To provide more specific examples of key loan tape data fields, below is an abbreviated sample loan tape extract:
| Loan ID | Origination Date | Maturity Date | Original Balance | Current Balance | Interest Rate | Days Delinquent | Accrual Status | Risk Grade | Income |
|---|---|---|---|---|---|---|---|---|---|
| LN1001 | 01/05/2018 | 01/15/2025 | $5,000 | $4,119 | 8.5% | 0 | Accrual | A | $50,000 |
| LN1002 | 03/03/2019 | 03/03/2026 | $7,500 | $7,000 | 12.0% | 30 | Accrual | B | $40,000 |
| LN1003 | 08/15/2020 | 09/01/2027 | $18,000 | $15,000 | 16.0% | 60 | Non-accrual | C | $35,000 |
This shows just a sample of key fields like origination details, current status, and risk rating. Field definitions align with common CREFC, LSTA, and internal bank standards.
Additional loan details would cover borrower descriptors, additional term features (repayment schedule, fees, etc.), and collateral specifics like property type, location, LTV ratios, occupancy rates, etc. Field requirements vary based on loan type (commercial real estate, sovereign, project finance, etc.)
Let me know if you need any other examples of loan tape data fields or descriptions of how this data is leveraged by banks, investors, and regulators.