Asset-Backed Securities Glossary — Key Terms & Definitions
- Commercial Mortgage-Backed Security (CMBS)
- Companion (Support) bond
- Home Equity Loan (HEL)
- Liquidity facility
- Loss severity
- Master servicer
- Ramp-up period
- Reserve account
- Servicing asset
- Special purpose entity (SPE)
- Weighted average coupon (WAC)
- Debt service coverage ratio (DSCR)
- Eligible receivables
- Grantor trust
- Pooling and servicing agreement (PSA)
- Rule 144A
- Subordination
- TBA (To Be Announced)
- Tranche
- Auction call
- Basis risk
- Controlled amortization
- CRE CLO
- Master trust
- SMM (Single Monthly Mortality)
- Backup servicer
- Cap rate
- Cleanup call
- L-Shaped Retention
- Overcollateralization (OC)
- Pari passu
- Recourse
- Base rate
- Nominal spread
- Non-agency MBS
- Par
- Recovery rate
- Single-Asset / Single-Borrower (SASB)
- Available funds cap
- Collateralized Debt Obligation (CDO)
- Collection period
- Conduit CMBS
- Debt yield
- Dilution
- Lockbox
- Trigger event
- Agency MBS
- Cumulative net loss (CNL)
- Early amortization
- FICO
- Interest-only (IO)
- Securitization
- Waterfall
- Bankruptcy-remote
- Loan modification
- Non-recourse
- Refi efficiency
- Residual
- Swap counterparty
- Vertical Risk Retention (VRR)
- Charge-off
- Excess interest collections
- Net operating income (NOI)
- Pay-through
- Rating trigger
- Weighted average maturity (WAM)
- Z-spread (zero-volatility spread)
- Cross-collateralization
- Excess spread
- Issuance volume
- Step-down
- Weighted average life (WAL)
- Cash flow waterfall priority
- Finance lease
- Horizontal Risk Retention (HRR)
- Option-adjusted spread (OAS)
- Prepayment burnout
- STS (Simple, Transparent, Standardised)
- Credit enhancement
- PAC (Planned Amortization Class)
- Pass-through
- Public Securities Association model (100% PSA)
- Senior-sub structure
- Delinquency
- Extension risk
- Portfolio yield
- Prepayment
- Servicer
- Surety bond
- Yield maintenance
- Advance rate
- Appraisal Reduction Amount (ARA)
- CPR (Conditional Prepayment Rate)
- Defeasance
- Effective gross income (EGI)
- LIBOR transition / SOFR conversion
- Loan-to-value (LTV)
- Negative convexity
- Pro rata
- Revolving period
- Sequential pay
- Servicing transfer
- Variable Interest Entity (VIE)
- Workout fee
- B-piece
- Cash trapping
- Forbearance
- Rep and warranty (R&W)
- Shifting interest
- Special servicer
- Absolute Prepayment Speed (ABS)
- Controlling class
- Gross Yield
- Monthly Payment Rate (MPR)
- Pre-funding account
- Regulation AB / Reg AB II
- Real Estate Mortgage Investment Conduit (REMIC)
- Servicing advance
- True sale