Glossary Mortgage

8/8/2019 Glossary Mortgage.......

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MORTGAGE GLOSSARY

[MIAC-Bangalore]

Pintu

2010

[ GLOSSARY ]A-Z Mortgage


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Glossary

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NOTE: Usage of the terms in the glossary vary throughout the industry. We have tried to capture the most prevalentusage and the definition that guides us in populating data in ABSNet.

30/360A simplifying assumption used to calculateAccrued Interest for many fixed rate bonds in the home equity market.The assumption is that every month is composed of exactly 30 days, and that the entire year has exactly 360 days.Under the 30/360 assumption, the bond accrues interest for each day during a month at the coupon rate divided by360 times the beginning of month class balance, however, the total interest paid for any month will equal 30 dividedby 360 times the coupon rate times the beginning of month class balance regardless of how many days there actuallyare in the month. If a sold bond is not settled on the first day of the accrual period, the buyer pays the Sellerthisdaily amount for the number of days theSellerheld the bond during the accrual period. SeeAccrual Type for moreinformation.

30-Day Delinquent BalanceThe aggregate balance of loans in a pool that are delinquent by 30-59 days at the end of the month. This category ofloans is often referred to as "30-days delinquent", "30-days late" or as just "30-days" for short. Technically, theloans reported in this category are two payments delinquent on the date the tape was created. See definition ofDelinquentfor additional detail.

30-Day Delinquent NumberThe aggregate number of loans in a pool that are delinquent by 30-59 days at the end of the month. Technically, theloans reported in this category are in fact two payments delinquent on the date the tape was created. See definition ofDelinquentfor additional detail.

30-Day Delinquent Balance PercentThe percentage of loans in a pool that are delinquent 30-59 days based on aggregate end of month loan and pool

balances. It is calculated as the 30-Day Delinquent Balancedivided by the Ending Pool Balance. See definition ofDelinquentfor additional detail.

30-Day Delinquent Number PercentThe percentage of loans at the end of the month that are delinquent by 30-59 days based on end of month loancounts. The number is calculated as the 30-Day Delinquent Numberdivided by theLoan Count End of Month. Seedefinition ofDelinquent for additional detail.

424B5The form used (and found on the SEC web site EDGAR) to file a ProspectusorProspectus Supplementwith theSEC.

60-Day Delinquent Balance

The aggregate balance of loans in a pool that are delinquent by 60-89 days at the end of the month. See definition ofDelinquentfor additional detail.

60-Day Delinquent NumberThe aggregate number of loans in a pool that are delinquent by 60-89 days at the end of the month. See definition ofDelinquentfor additional detail.

60-Day Delinquent Balance Percent

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The percentage of loans in a pool that are delinquent by 60-89 days at the end of the month based on end of monthloan and pool balances. See definition ofDelinquent for additional detail.60-Day Delinquent Number PercentThe percentage of loans in a pool that are delinquent by 60-89 days based on end of month loan counts. Seedefinition ofDelinquent for additional detail.

60+ Day Delinquency RateThe sum of the current dollar balances of all loans that are in the 60-Day Delinquency rate category or higher,including loans inForeclosure, bankruptcy and REO, divided by the total end of month pool balance (Ending PoolBalance). A moving average of this statistic is often used in the Delinquency Trigger Test to determine whether theSubordinate Bondsand/orOC are allowed toStep-Down. See definition ofDelinquent for additional detail.

8-kA form used to report several types of information of interest to ABS investors. The first 12 remittance reports aretypically filed with the SEC as 8-k's, as are theComputational Materials. The Pooling and Servicing Agreement andother deal documents are also filed as 8-k's.

90-Day Delinquent BalanceThe aggregate balance of loans in a pool that are delinquent by 90-days or more at the end of the month. Seedefinition ofDelinquent for additional detail.90-Day Delinquent NumberThe aggregate number of loans in a pool that are delinquent by 90-days or more at the end of the month. Seedefinition ofDelinquent for additional detail.90-Day Delinquent Balance PercentThe percentage of loans in a pool that are delinquent by 90-days or more based on end of month loan and poolbalances. See definition ofDelinquent for additional detail.90-Day Delinquent Number PercentThe percentage of loans in a pool that are delinquent by 90 days or more, based on the number of loans outstandingat the end of the month. See definition ofDelinquent for additional detail.

ABSIn the asset-backed security market, the term ABS has two meanings. Most commonly, it is short forAsset-Backed

Security. But the term ABS also names a prepayment model used to quote speeds in the Auto market.Mathematically, the equation to convert from a SMMrate (i.e., the Single Month Mortality rate) to an ABSprepayment speed is:

WhereSMMis express as a percent (i.e., as 2.34 as opposed to .0234) M is the age of the loans in the pool (not theage of the pool), in months, since origination.

Actual/360A method for calculating Accrued Interest. In the Actual/360 method, a daily interest amount is calculated bydividing the annual coupon rate by 360 days and then multiplying this daily interest rate by the face amount of thebond at the beginning of the period (typically a month). On the Distribution Date, theTrusteewill pay the Owner ofRecord this daily amount times the number of days in the month. Similarly, if a bond is between Record Dates, thebuyer pays the Sellerthis daily amount for the number of days the Sellerheld the bond during the month of sale(typically up to theSettlement Date).

Actual/Actual

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A method for calculating Accrued Interest. In the Actual/Actual method, a daily interest amount is calculated bydividing the annual coupon rate by actual number of days in the year and then multiplying this daily interest rate bythe face amount of the bond (Beginning Class Balance) at the beginning of the period (typically a month). On theDistribution Date, theTrusteewill pay the owner of record this daily amount times the number of days in the month.Similarly, if a bond is between Record Dates the buyer pays theSellerthis daily amount for the number of days theSellerheld the bond during the month of sale (typically up to theSettlement Date).

Accrual TypeThis field lists the method used to calculate Accrued Interestdue on a bond. Each month, the Trustee must calculatethe interest due to each Certificateholder using the Accrual Typedisclosed in the Prospectus Supplement. Inaddition, when a bond is sold mid-month, the interest earned during the month is generally split between the buyerand Seller. Typically, the buyer will be theOwner of Record (which is often at the end of the month) by the time thesale is settled, and so will receive the full payment due for that month. To compensate theSellerfor the interestaccrued during the portion of the month the Sellerheld the bond, the purchase price is increased to replace theinterest accrued but not paid for the time the Sellerheld the bond. Three methods are commonly used in the ABSmarkets to calculateAccrued Interest and are defined under their own headings in this Glossary. See: Actual/Actual,Actual/360,30/360.

Accrued InterestInterest earned but not paid. SeeAccrual Type for details.

Advances(See alsoNew Advances Total,New Interest Advances,New Principal Advances,Total Advances Beginning ofMonth, Total Advances End of Month,Advances Repaid, Incremental Advances)Virtually all transactions require the Servicerto remit a full month of scheduled interest (and usually scheduledprincipal) on each loan, even if the Servicer does not collect the full amount from the borrowers. There are tworeasons why the Servicer may not collect the full amount due. First, a borrower may prepay-in-full during themonth. In these circumstances, the borrower is only required to pay interest up to the day of prepayment, leaving aninterest shortfall for the balance of the month. Monies the Servicer pays to make up for these prepayment relatedshortfalls are called Compensating Interest (defined underCompensating Interest below).

The second, and more common reason in the home equity market, is that the borrower may be delinquent. In thesecases, the Servicer is generally required to pay, from its own funds, all delinquent payments plus, if needed, all costs

incurred in the Foreclosure and liquidation process. Monies the Servicer pays to cover delinquency related shortfallsare called Advances. Given the lengthy Foreclosure process in some states, the high rates of interest on HomeEquity Loans, and the costs of property insurance, property taxes, legal fees, and property maintenance, the totalamount advanced is often substantial. On a loan that ultimately ends up in liquidation, Advances can easily total20% to 50% of the loan amount.

Operationally, Advances are a loan to theTrust. The Servicer is repaid in one of two ways. First, the borrower maycureby remitting all Delinquent payments and all associated delinquency and Foreclosurecosts. These funds arethen used to repay the Servicer. Second, if the borrower does not cure, the Servicer will complete theForeclosureprocess, liquidate the property, and is then entitled, on a first priority basis, to take from the liquidation proceeds allmonies needed to repay all Advances. TheCertificateholders only get what is left over. No explicit interest is earnedby the Servicer for "loaning" money to theTrust, but the late fees associated with delinquent payments and excessliquidation proceeds beyond the face amount of the liquidated loan (if any) are usually given to the Servicer as

additional compensation for both the work involved and for making the "loan" to theTrust.In some cases, it may turn out that the Servicer has Advanced more than can be recovered from the sale of theproperty. If so, the Servicer is usually still entitled to a full recovery of Advances, however in these cases, repaymentof the missing funds is often made from deal cash flows left over at the bottom of theWaterFall(i.e., after all otherdistributions have been made), although the exact priority of repayment of over-advanced funds does vary from dealto deal. Because the Servicer is at risk if they over-Advance, there are limits on the Servicer's obligation to Advance.By and large, the Servicer is not obligated to Advance on a particular loan if the Servicer believes that a fullrecovery of Advances is not possible from the liquidation of that loan.

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Advances RepaidTotal Advances repaid to the Servicerduring the month. See Advances for details.

Age TriggerA Trigger Testthat requires a deal to exceed some minimum age before certain payments can be made toSubordinate Bondsand/or to the OC holder. The most common minimum deal age in the home equity market isthree years, although occasionally other minimums are used. See Trigger Testfor more detail.

Agency MarketThe market for mortgage-backed securities issued or guaranteed by Freddie Mac, Fannie Mae, or Ginnie Mae. Theterm can also refer to the market for debentures issued by any of these institutions.

Amortizing LoanA loan designed to pay itself off over a fixed amount of time through regular periodic payments of interest andprincipal. Most residential mortgagesin the U.S. are amortizing.

Annual Percentage RateSee APR.

Annualized Claims RateFor Student Loan transactions, only.&nbspClaims In Process Balance/Loans in Repayment Balance

Appraisal Reduction AmountFollowing certain events based on loan delinquency, an appraisal will be performed to determine if the propertyvalue justifies any further advances by the master servicer. If the value is reduced below the loan balance plusauthorized advances, the master servicer will stop or reduce principal and interest payments on that loan to theTrustee. The Trustee will then reduce principal and interest payments to the certificate holders in order of theirpriority, beginning with the first-loss security.

APR

Short for Annual Percentage Rate. The APR is the Internal Rate of Return(from the borrower's perspective) on amortgage after accounting for certain fees and costs as defined in the Federal Truth-In-Lending Act (15 USC 1606).

ARMShort for Adjustable-Rate Mortgage. A one-to-four family residentialmortgage with an interest rate that changesover time to reflect changes in some market interest rate. The market interest rate chosen to calibrate the ARMadjustment at each Change Date is called the Index. Common Indexes include the one-year U.S. Treasury rate, six-month LIBOR, and the 11th District Cost of Funds rate. In most ARMs, rates adjust once a year and then remainedfixed until the nextChange Date, although six month adjustment periods are also common and others exist. ManyARMs have an initial period of uneven length during which time a lower than normal rate may be charged. Thisperiod is often referred to as the longTeaser Period. ARMs with especially long Teaser Periods(offering low fixedrates for two to seven years) are called Hybrid ARMs, and these have become very popular in the home equitymarket.

Asset-Backed SecurityA security collateralized by, or representing an ownership interest in, a pool of loans or receivables. The two keyexceptions to this definition are securities backed by commercial mortgages, which are called CommercialMortgage-Backed Securities, and those backed by prime residential mortgages, which are called Mortgage-BackedSecurities in the Agency world (or MBS for short) and Residential Mortgage Backed in the non-Agency world (orRMBS for short). The phrase Asset-Backed Security is often shortened to ABS. There are dozens of different typesof ABS (defined by the collateral backing the security), however the three largest classes of ABS - Home Equities,Autos, and Credit Cards - comprise the bulk of the market.

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Average Loan BalanceThe average size loan balance of all loans still outstanding in the pool. Calculated by dividing the end of month poolbalance by the end of month number of loans outstanding (including loans onREO's).

Average Pool BalanceThe average size of the pool during the month calculated by adding the Beginning Pool Balance to theEnding PoolBalanceand dividing by two.

Back-end RatioSee DTI.

Backup ServicerParty that agrees to take over the servicing of the pool if the primary Servicerfails to perform.

BalloonA mortgagethat must be paid in full before it is completely amortized. Most Home Equity Balloon mortgagesmature in 5 or 7 years, but amortize on a 30-year schedule, so that at the maturity date, most of the original balanceof the loan is still outstanding and must be paid. From an investor's point of view, balloon loans have the advantageof limiting extension risk, but carry additional credit risk because the homeowner may be unable to repay the largelump sum due at the maturity date. Note that even if the home owner has a good credit record and solid employmentcredentials, the borrower could stilldefault at the balloon date simply because interest rates have risen to the pointwhere the borrower does not qualify for refinancing.

BankruptcyFor the purposes of this data base, Bankruptcy means that aMortgagor(i.e., borrower) has filed for relief under anyone of the chapters of the U.S. bankruptcy code. Remittance reports usually do not indicate the chapter under whichthe borrower has filed. In the ABS market, when a homeowner files for bankruptcy, they are most often attemptingto forestall aForeclosure process, so bankruptcies are an indicator of future credit problems in a pool. Note,however, that in some cases, borrowers file bankruptcy to protect assets other than their home (for example, abusiness), and these borrowers generally continue to pay theirmortgage on time.

Bankruptcy BalanceThe face amount of loans in the pool at the end of the month with borrowers who have filed for Bankruptcyprotection.

Bankruptcy Balance PercentThe percentage of loans at the end of the month, based on dollar amounts, with borrowers who have filed forBankruptcy protection. Mathematically, it equals theBankruptcy Balancedivided by the Ending Pool Balance.

Bankruptcy NumberThe number of borrowers in a pool at the end of the month who have filed for Bankruptcy protection.

Bankruptcy Number Percent

The number borrowers at the end of the month who have filed for Bankruptcy protection divided by theEnding PoolCount.

Basis PointOne one-hundredth of one percent, which means that one percent is composed of 100 basis points. The term is usedto avoid certain ambiguities that arise when discussing changes in interest rates. For example, if an ARMinitiallyhas an interest rate of 10%, and upon reset has a rate of 11%, one could say that the rate has increased by 1% (i.e.,10% plus 1%), but one could also say the rate has increased by 10% (i.e., 10% times 1.1). By stating that theincrease is 100 Basis Points, the ambiguity is avoided.

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Common usages for the term Basis Point:

1. For Spreads: If a bond is offered at a Spread of 75 basis points over some benchmark, and if thatbenchmarkyield is at 6.00%, then the bond is being offered at a 6.75%yield(IRR).

2. To state the Underwriting Fee: If theUnderwriter's Discountlisted in the Prospectusis 25 Basis Points, and

if the deal size is $100 million, then theUnderwriterwill earn $250,000 (0.25% of $100 million) forUnderwriting the transaction.

The word Basis Point is sometimes abbreviated as either BP or as bp.

Beginning Class BalanceThe balance at the beginning of the month for a particular bond (NOT the pool).

Beginning Potential Pool BalanceThe sum of the face value of all loans plus all funds held in prefunding accounts at the beginning of the month. AfterallPrefunding is used or returned, the Beginning Potential Pool Balance will equal the Beginning Pool Balance.

Beginning Pool Balance

The Beginning Pool Balance is the sum, taken at the beginning of the month, of the face amount of all loans in thepool, including loans that had existed onREO's but excluding any amounts held in Basis Points. The Beginning PoolBalance in any month always equals the Ending Pool Balanceof the prior month.

Beginning Pool CountNumber of loans in a pool at the beginning of the month.

Book RunnerThe member of the Underwriting Syndicate that keeps track of all bids received during the new issue process.Usually, the Lead Manageris also the Book Runner.

BondThe term Bond is used loosely in the ABS world to refer to both true Bonds and more commonly, to Certificates of

Ownership issued by the Trustthat holds the assets.

BondholderThe word Bondholder is commonly used to refer to investors in asset-backed securities, even though most asset-backed securities are issued as trust certificates, not bonds, and so technically, most investors in ABS areCertificateholders. Operationally, the distinction is immaterial for most investors. Most home equity transactionsmake a REMIC election, and under REMIC, ABS Certificates are taxed as if they were true debt obligations.

Bond InsuranceAn unconditional and irrevocable insurance policy that promises investors they will receive timely payments of allinterest and ultimate payment of all principal due on the insured Certificates or Bonds. Bond Insurance is oftenreferred to as aWrap.

Bond Insurance PremiumThe dollar amount paid each month forBond Insurance. The insurance premium paid each month as a percent of thebeginning of month pool balance. This amount is generally constant throughout the life of the deal. Often thisnumber is estimated from the remittance data because it is rarely explicitly listed in any of the publicly availabledeal documents or reports.

Bond InsurerA company in the business of issuing insurance policies on specific bonds that protect investors against losses onBonds. If a bond is insured, the Bond Insurer's name will be listed on ABSNet's Deal Summary and Class SummaryPages in the Credit Support area. Most Bond Insurers will only guarantee bonds that already have some form of first

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loss credit support, typically, enough support for the bonds to carry at least a triple-B rating on a stand alone basis.Over the late 1990s and early 2000s, roughly half of all new issue home equity Certificates were enhanced withBond Insurance.

Bond RatingA Bond Rating is an opinion on the likelihood of a bond paying investors interest and principal as promised. Mostoften, a Bond Rating is simply referred to as a Rating. Currently, three Bond Rating Agencies dominate the UnitedStates ABS market: Standard & Poors, Moody's Investors Service, and Fitch IBCA. Duff and Phelps Credit RatingAgency was active in the ABS markets until it was purchased by Fitch IBCA in the year 2000. Bond Ratings arelisted by Rating Agency in the field Current Rating on the Deal Summary Page and in the Bond Ratings section ofthe Class Summary page.

Bond Rating AgencyAny one of several private companies that expresses opinions on the credit worthiness of various bonds andcorporations. The three main Bond Rating Agencies in the United States are: Standard & Poors, Moody's InvestorsService, and Fitch IBCA. See theBond Ratingand Rating Agency for more detail.

Broker

See Mortgage BrokerandWholesale Channel.

CertificateMost home equity asset-backed securities are issued as Certificates which represent a beneficial interest in the Trustthat holds the assets securitized. Some ABSs are issued as Notes or Bonds.

CertificateholderMost home equity asset-backed securities are issued as Certificates that represent a beneficial ownership interest inthe Trust that holds the pool ofmortgagessecuritized. The owners of these Certificates are Certificateholders. SeealsoBondholderandCertificate.

Change DateDate on which the payment on an ARM adjusts. See Dates for other important dates in the life of a deal.

Charge-OffsLoan balances that have been written down to zero. The term Charge-Off is commonly used in the credit card,HLTV, and other unsecured sectors of the ABS industry where recoveries tend to be scant, and is not commonlyused to describe liquidations in other areas of the ABS market.

Classes SupportedA list of classes senior to a class or senior to a form of credit support or liquidity support.

ClassTechnically, a Class refers to a group of bonds that all have the same level of credit risk, however in practice, theterm Class and Tranche are used interchangeably. Many ABS transactions have a senior class, which is the last class

to take losses, supported by junior, or subordinated, classes, which take losses in a specific order. The senior class isoften subdivided into Tranches that specify when principal will be repaid.

Class NameEachCertificate in a transaction has a name, typically composed of letters that indicate seniority and numbers orroman numerals that indicate a loan group, or a position in a sequential pay order, or both. Usually, Class Nameswith the letter A in it are Senior Bonds, Class Names with an M in it are high investment gradeSubordinate Bonds,while Class Names with a B in it are lower ratedSubordinate Bonds. Numbers used within the senior Class Namestypical indicate in which principal is repaid to the various certificates.

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Cleanup Call OptionThere are two normal ways for a Home Equity transaction to terminate. First, all of the underlying loans in the poolcan pay off, either through scheduled repayment of principal, through Prepayments, or through default inducedterminations. Second, virtually all deals grant one of the parties to the deal (most often, the Servicer) the right to callthe collateral after the deal has paid down to some specified level. There are no industry standards for the design ofthe call option, but there are common themes. Most home equity deals can be called only after thePool Factorhasfallen to 10% or less, although more recently, 20% levels have been adapted by some Issuer's. The right to exercisethe call option is usually held by the Servicer, and the strike price is usually set to equal the Accrued Interest, plusthe face amount of the remaining loans, plus the face amount of the loans that existed on all REO. This strikeformula insures that the when the deal is called, the bondholders receive all interest due plus the par value of theirbond. Occasionally, the strike price to equal all interest due, plus the face amount of the loans, plus only theappraised value of the REO, which means that when the call is exercised, there may not be enough proceeds topayoff all the bonds at par. In deals with multiple loan groups, some deals allow each loan group to be calledseparately, others require all groups to be called together. Many other variations exist. The exact provisions of theCleanup Call option are usually listed in theProspectus Supplement under the heading "Optional Termination".

Cleanup Call LevelPool Factorlevel at which a pool or deal can first be called. SeeCleanup Call Optionfor details.

Cleanup Call TypeLists whether sub-pools can be called separately (separate) or only at the same time (joint).

Cleanup Call HolderParty or parties who holds the right to exercise the Cleanup Call Option. Often, when several parties have the rightto call the collateral, one party has the first right, followed by others in a specific sequence.

Closing DateDate on which the assets are transferred into the Trust, are paid for, and all of the documents creating thesecuritization are executed. SeeDatesfor other important dates in the life of a deal.

CLTVSee Combined Loan-to-Value Ratio.

Combined Loan-to-Value RatioThe sum of the face values of allmortgages on a particular property divided by the market value of that property.The CLTV is a primary measure of risk in the Second Lien and High LTV sectors of the Home Equity market. Oftenabbreviated to CLTV.

Comp MatsSee The Computational Materials.

Compensating InterestMoney paid into theTrustduring the month (typically by theServicerfrom its own funds) to make up for interestshortfalls caused by mid-month Prepayments. SeeAdvances for more detail.

Compensating Interest ShortfallThe amount of interest due but not obligated to be paid to Certificateholdersbecause of mid-month Prepayments.Also called Prepayment Interest Shortfalls. SeeAdvances for more detail.

Computational MaterialsA disclosure document different than and separate from theProspectusand Prospectus Supplement that may bedistributed to investors prior to the sale of new ABS and which is allowed to contain descriptive information aboutthe securities being offered. Typically, the Computational Materials show for each security that is expected to beissued, the size, the expected WAL, whether thecoupon will be fixed or floating, the expected rating levels, andother types of information typically included in the Summary Section and the Pool Stratification Section of a

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Prospectus Supplement.Yield tables are also typically included in the Computational Materials. The ComputationalMaterials must be filed as a form 8-kwith the SEC within two days of first use.

ConduitA company in the business of pooling large numbers of loans for the purpose of securitization. The Conduit issometimes referred to as theSponsoror the Sellerin aProspectusand, the Conduit is also often incorrectly calledthe Issuerby many market participants.

Conforming MortgageA mortgagethat meets Fannie Mae and/or Freddie Mac purchase requirements. Generally, Fannie Mae and FreddieMac purchase only prime quality loans below a Federally mandated limit. Conforming loans are generally not foundin Home Equity pools because it is more efficient to sell these loans to Fannie Mae or Freddie Mac.

Constant Prepayment RateSee CPR.

Convexity

A measure of the rate of change of Duration. SeeDuration for more detail.

CorrespondentAn agent in the primary mortgage market who originates and funds loans, generally according to a Conduit'sguidelines with the expectation of selling the loans to the conduit. Also known as aMortgage Banker. SomeCorrespondents sell loans on a "flow" basis to Conduits, which means they are sold as they are produced, whileother choose to sell on a "bulk" basis, meaning the Correspondent acquires a large number of loans and then sellsthem as a block to the best bidder. See Origination Channels

Coupon RateThe interest rate paid on a bond expressed as a percentage ofpar. Can also be quoted as a spread over an index (suchas LIBOR) for a floating rate bond. The Coupon Rate can change over time, even on fixed rate bonds. For example,many fixed rate home equity Certificates pay a higher rate of interest after the Optional Termination Date if the

Cleanup Callis not exercised on the Optional Termination Date. The Coupon Rate at any point in time is listed inthe database in a field called Current Coupon.

Coupon TypeThis field on the Class Summary page lists whether the bond coupon is fixed or floating rate.

CPRCPR (Constant Prepayment Rate or Conditional Prepayment Rate) is the annualized, compoundedSMMrate (SingleMonth Mortality rate). The formula to convert theSMM (when expressed in decimal form) into a CPR is:

For example, ifPrepaymentstotal $1,000,000 in a month, and if the scheduled return of principal equals $100,000,and if the beginning pool balance started at $100,100,000, then theSMM would be 1.00% ( = 1,000,000 /[100,100,000 - 100,000] ) and the CPR would be 11.3652% ( = 1 - [1 - .01]12 ).

CPR (Using Prepayments)

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Cram DownA loss of principal or interest caused by a bankruptcy court allowing a change in the original terms of amortgage.Losses due to Cram Downs occur, but are rare.

Credit BureauSee Credit Repository.

Credit RatingSee Bond Rating.

Credit ReportHistorical data on an individual's credit relationships including number, kind, tenure, payment history (e.g. charge-offs, late payments, foreclosures) as well as information contained in the public records such as bankruptcy filings orpublic liens filed. In addition to raw data, credit reports are now typically sold with aCredit Score, such as thoseprovided by Fair Isaac and Company (called aFICO score), which is a single summary number designed to measurethe probability of an individual defaultingon an obligation.

Credit RepositoryA private company in the business of collecting and reselling information on the number and types of creditrelationships a consumer has, as well as information on how the consumer uses and pays on these creditrelationships. The repositories also collect public record information on consumers such as lien, judgement andbankruptcy filings. The Credit Repositories typically do not have information concerning a consumer's employment,assets, income, or property. The three main Credit Repositories in the United States at the time of this writing are:Equifax, Trans Union, and Experian. Credit Repositories sell their data asCredit Reports, and these in turn are usedby companies such as Fair Issac to generateCredit Scores. Credit Repositories are also referred to as Credit Bureaus.

Credit ScoreA single summary number that measures the likelihood of a consumerdefaulting. Credit scores are in common use,the most common being theFICOscore. Most credit scores are based on a statistical analysis of large samples ofdata pulled from consumerCredit Reportsmaintained by the variousCredit Repositories. Credit scores are typically

not based on an applicant's job history, income level, assets, or information about the house being financed since thisdata is typically not contained in a credit report. Credit scores correlate well with the Risk Based Pricing systemused by most Home Equity originators, however, the measures are not the same. Risk Based Pricingsystems takesmore information into account, for example, the borrower's debt-payment-to-income ratio and theLTV on theproperty being financed.

Cumulative Bond LossCumulative Loss taken on a particular bond as of the end of the month. If the pool suffers losses that exceed supportthat protects any bond (typically OC andExcess Spread), then the Bond will suffer a loss of principal. In manydeals, the loss can be reversed later on by future Excess Spread.

Cumulative LiquidationsThe sum of the face amount of all loans Liquidated (i.e., allInvoluntary Terminations).

Cumulative Liquidation RateThe sum of the face amount of all loans Liquidated (i.e., allInvoluntary Terminations) divided by the original poolamount.

Cumulative LossesThe sum of all losses of principal suffered to date by a pool regardless of how the losses are absorbed. Lossessuffered on loans repurchased out of the pool at par and disposed of outside of the transaction are generally notincluded in the Cumulative Loss number. A fewIssuer's, however, voluntarily report as an additional piece ofinformation the extent of repurchase activity and what the Cumulative Loss would have been if the repurchased

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loans had remained in the transaction. In any month, the Cumulative Loss level will equal the current month'sIncremental Loss plus the prior month's Cumulative Loss. Cumulative losses are generally reported on both anabsolute dollar basis and as a percentage of theOriginal Pool Balance (unlike delinquencies which are generallyreported as a percentage of the current Ending Pool Balance).

Cumulative Loss RateThe Cumulative Loss divided by theOriginal Pool Balance.Cumulative Modified Loans AmountEnding schedule balance of all loans modified during life of deal.

Prior period Cumulative modified loan amount + current period modification amount

Cumulative Modified Loans CountCumulative number of loans modified.Prior period cumulative modified loan count + current period modification count

Cumulative RecoveriesThe total dollar amount of money recovered over the life of the pool to date from the liquidation ofREOproperties,Short Saless, and other dispositions ofdefaultedloans.

Cumulative Recovery RateThe total dollar amount of money recovered over the life of the pool to date from the liquidation ofREOproperties,Short Saless, and other dispositions ofdefaultedloans divided by the total balance of all the loans underlying theseproperties.

Cumulative ReposessionsThe total dollar amount of loans on units (e.g., Manufactured Houses, Autos, etc.) that have been repossessed due toborrowerdefault.

Cumulative Reposession RateThe total dollar amount of loans on units (e.g., Manufactured Houses, Autos, etc.) that have been repossessed due toborrowerdefault as a percentage of theOriginal Pool Balance.

Cumulative SubstitutionsThe total dollar amount of new loans added to a pool that are not part of anyBasis Point. After a deal is closed, theSellerwill often substitute a new, good loan for a defective loan if the defective loan is found to not meet theoriginal representations theSellermade for that loan.

CureThe repayment of all past due sums owed by aDelinquent borrower. A borrower typicallycuresby simply payingalldelinquent sums due, but it is not uncommon in the home equity market for borrowers to cureby completelypaying off the loan in full, either by refinancing or from the sale of the house.

Cure RateThe percentage, based on dollar balances, of a group ofDelinquentloans that Cure.

Current CouponThe interest payment as a percentage of the beginning of period face amount of the bond.

Current FactorThe current face dollar amount of a pool or a bond divided by the original face dollar amount of that pool or bond.Also just called theFactor.

Current Rating

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This field shows the most recentBond Rating assigned by each Bond Rating Agency. TheBond Rating Agenciesperiodically review the credit worthiness of each deal they rate and adjust the rating as they see fit. SeeBond Ratingfor more detail.

Current Senior Credit SupportThe current dollar amount of all classes, Reserve Accounts, Overcollateralizationand other credit support protectingthe Senior Bonds from credit losses. This amount does not includeExcess Spread.

Current Senior Credit Support PercentThe current amount of all classes, Reserve Accounts, Overcollateralization, and other credit support protecting theSenior Bonds from credit losses, expresses as a percentage of the Ending Pool Balance.Excess Spreadis not used incalculating this amount.

Current Subordination AmountThe current dollar amount of all classes and Overcollateralizationsupporting a particular bond. This amount doesnot includeExcess Spread.

Current Subordination PercentThe current percentage amount of all classes and Overcollateralizationsupporting a particular bond. This amount

does not include Excess Spread.

(Subordination Amount + Overcollateralization) / Ending Pool balance

CUSIPA CUSIP is a sequence of nine numbers and letters that uniquely identifies each publicly traded security. The wordCUSIP is short for Committee on Uniform Securities Identifying Procedures.

CurtailmentA voluntaryprepayment of less than the full balance of the loan outstanding. Many home-owners choose to paydown theirmortgageat an accelerated rate by including in their monthly payment more than the required, scheduledamount of principal due. In a fixed ratemortgage, this has the effect of shortening the term of the loan.

Cutoff DateDate on which the composition of the pool is first fixed, typically the first day of the month in which the deal is sold.Note, however, that if the deal has Prefunding, the composition of the pool will change as new loans are added. TheCutoff Date is sometimes called the Issue Date. SeeDatesfor other important dates in the life of a deal.

DatesFor convenience, various dates defined in this Glossary are listed with hyperlinks below:

Closing Date

Change Date

Cutoff Date

Dated Date

Determination Date Distribution Date

Due Date

Earliest Step-down Date

Final Scheduled Payment Date

First Payment Date

Launch Date

Legal Final

Pricing Date

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Record Date

Settlement Date

Dated DateThe date on which the registration of a new security filed with the SEC becomes effective. Also called the Effective

Date. See Dates for other important dates in the life of a deal.

DSCRDebt Service Coverage Ratio - A measure of a mortgaged property's ability to cover monthly debt service payments,defined as the ratio of net operating income or net operating cash flow to the debt service payments. A DSCR lessthan 1.0 means that there is insufficient cash flow by the property to cover debt payments.

DefaultIn a narrow sense, (and according to the Bond Market Association manual) Default is defined as a failure to payinterest and principal on time that nevercures. Operationally, this is a difficult definition to work with because apriori, it is impossible to know which loans will cure. We define Default as the event of either aShort Sale, a deed-in-lieu ofForeclosure or, most commonly, a loan passing fromForeclosuretoREO, because virtually no loans cure

out of these states. Remittance reports rarely present sufficient information for calculatingDefault Rates, howeverthe Default Ratecan be estimated from the Liquidation Rate.

Default RateThe dollar amount of newDefaultsin a month divided by the beginning of month pool balance.

Defeasance AmountThe act of making an investment whole. The supplementing of existing terms available (typically through a cashpayment) to make the currently available market yield equivalent to that of a pre-existing investment that is beingterminated.

DelinquencySee Delinquent.

Delinquency Trigger Test LevelThis field stores the value of the delinquency rate used to test whether theSubordinate Bondsare allowed toStep-Down. SeeTrigger Tests for details and definition.

Delinquency Trigger Test TargetMost Home Equity transactions require low delinquencies (typically measured as the 60+ Day Delinquency Rate) inrelation to the remaining senior credit support level before theSubordinate Bonds can start to receive principalrepayments. The Delinquency Trigger Test Target is the maximum delinquency rate for the pool that still allows theSubordinate Bondsto receive repayment of principal, assuming all otherStep-Down tests are passed. See TriggerTests for details and definition.

DelinquentA loan that has not been paid by itsDue Date; a loan that is past due. Every mortgagehas a contractually specified

date on which payments are to be made called theDue Date. If a borrower has not paid in full by the Due Date, thentechnically the borrower isDelinquent, although in practice, most loans allow a grace period of between 10 to 15days, and the borrower will not incur a late penalty if the payment is made within the grace period. Mostdelinquency statistics reported in Home Equity remittance reports are based on a computer tape the Servicercreatesafter the close of business on the last day of the month. The Home Equity market generally uses the OTS conventionof assuming that each month has exactly 30 days, so a borrower who has not paid on the last day of the month isonly 29 days late and therefore is not included in the 30-day (i.e., 30 to 59 day) delinquency calculation. This meansthat borrowers listed as 30 to 59 days late have in fact missed two consecutive payments at the time the tape was cut.Similarly, borrowers classified as being 60-days delinquent (i.e., 60 to 89 days) are actually down by three

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Documents

Glossary Mortgage