Count = selected loans; original/current balance = sum of the stated principal fields. Owned balance = current balance × participation %. Dollar values use owned balance once.

WA(x) = Σ(B × x) / ΣB for eligible observations. B is current balance; zero, missing and non-finite values are excluded from that field’s numerator and denominator. Note rate, servicing, terms, age, FICO, LTV and DTI use this basis.

Note rate is contractual annual interest. Servicing is the annual fee deducted from investor interest. Net rate = note rate − servicing.

Original/remaining term: contractual months at origination/remaining; loan age: months seasoned. Original FICO: origination credit score. Original LTV = original debt / original collateral value; DTI = recurring debt payments / gross income. Tape ratios retain their source basis.

WA months to next reset = Σ(ARM current balance × resolved reset months) / Σ(ARM balance with non-zero timing). Due/past-due resets remain in timing coverage but are excluded from this average. ARM Type groups contractual product terms (5/1, 5/5, etc.); unknown terms remain Unknown. ARM donut shares use ARM balance only.

Category share = category current balance / pool current balance. Vintage is note year; Loan Product is the program below Loan Type; Fixed/Adjustable describes rate structure. Unknown remains visible. Donuts sort by balance descending; legends show two rows.

Offer price is points per $100 par. Investment value = owned balance × offer price / 100. Buyer analytics use the offer price; the broker fee is not subtracted from buyer yield.

Solve one pool IRR: invoice = Σ CFₜ / (1 + rₘ)^τₜ. BEY = 2 × [(1 + rₘ)⁶ − 1]. CF is investor cash after fees; τ is months including applicable settlement offsets. BEY displays as annual %.

WAL = Σ[(month / 12) × principal cash] / Σ principal cash. Principal cash includes recoveries, balloons and applicable residual, not chargeoffs. UST spread (bp) = 10,000 × (BEY − Treasury yield at pool WAL), using the stated loss basis.

y(T) = y₁ + (y₂ − y₁) × (T − T₁) / (T₂ − T₁), between adjacent curve tenors. UST means U.S. Treasury; 1 bp = 0.01 percentage point. Curve date and tenor basis matter.

SATO = WA note rate − interpolated UST at WA note date and WA original benchmark term (original reset for ARMs). Average refi rate = pool SATO + current UST at WA remaining reset term. Unknown original reset terms use only an explicitly approved fallback.

Z solves price = Σ CFₜ × DFₜ(z). OAS solves price = mean across simulated paths of Σ CFₖₜ × DFₖₜ(s), with rate-dependent cashflows. Option cost = max(matched Z − OAS, 0). All three spreads display in bp.

Credit cost (bp) = max(0, round(CDR × LGD × 10,000)). COAS = OAS − credit cost: credit-and-option-adjusted spread. Annual credit cost differs from lifetime CECL.

Duration = (Pdown − Pup) / (2 × P₀ × Δy). Displayed convexity = (Pdown + Pup − 2P₀) / (P₀ × Δy²) / 100. Price change = Pshock / P₀ − 1. Δy is an annual decimal shock; the OAS card uses model-repriced sensitivities.

±100/200/300 are parallel rate shocks in bp; Base is zero shock. Pricing uses resolved user inputs with model fallback. Base/shock columns use their saved scenario assumptions, so Pricing and Base need not coincide.

Both BEYs solve the pool cashflow yield at the offer price. No-loss excludes credit losses; loss-adjusted includes modeled defaults and recoveries. Cashflow charts and tables show the saved loss-adjusted projection.

CPR: annual voluntary prepayment rate; CDR: annual default rate; LGD/severity: fraction of defaulted balance lost. Monthly SMM = 1 − (1 − CPR)^(1/12); MDR = 1 − (1 − CDR)^(1/12). Average annual loss = CDR × LGD.

Monthly interest I = B × note rate / 12 under 30/360. Amortizing payment A = B × r / [1 − (1 + r)^(−N)]; r is monthly note rate. Scheduled principal S = min(B, max(0, A − I)). Contractual IO/reset/day-count rules override this ordinary schedule.

Default D = MDR × max(0, B − S); prepayment = SMM × max(0, B − S − D). Recovery = lagged D × (1 − LGD); chargeoff/net loss = lagged D × LGD. Defaults are removed before prepayments.

Investor cash = interest after fees + scheduled principal + prepayments + recoveries + balloons/residuals + contractual payoff adjustments. Ending balance subtracts principal repayments and defaults. Annual columns sum saved monthly rows; ending balance is year-end. Scheduled Principal includes balloons/residuals. Net Losses are not cash received.

Current expected credit loss: lifetime modeled principal loss from per-loan credit cashflows, EL = Σ loan/period default dollars × LGD / (1 + note rate / 12)^month. CECL price = 100 × expected loss / covered principal. Each displayed scenario uses its own assumptions; this quantitative estimate is not an institution’s final booked allowance.