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