Whole Loan Analytics Glossary
C
Conditional Prepayment Rate (CPR)
The annualized percentage of outstanding loan principal expected to prepay in a given period.
Conditional Default Rate (CDR)
The annualized percentage of outstanding loan principal expected to default in a given period.
CECL (Current Expected Credit Losses)
The FASB accounting standard (ASC 326) requiring institutions to estimate lifetime expected credit losses at origination.
Convexity
A measure of how duration changes as interest rates change, the curvature of the price-yield relationship.
Credit Box
The set of eligibility criteria a lender or investor uses to define which loans they will purchase or originate.
Credit-Adjusted OAS (COAS)
OAS minus expected credit cost, the pure liquidity and structural premium after removing both prepayment optionality and credit losses.
Chargeoff
The write-down of a loan balance when the lender determines it is uncollectible, the point where a delinquency becomes a recognized loss.
D
Duration
A measure of a loan's price sensitivity to interest rate changes, expressed in years.
Debt Service Coverage Ratio (DSCR)
The ratio of a property's net operating income to its total debt service payments.
Debt-to-Income Ratio (DTI)
The percentage of a borrower's gross monthly income that goes toward debt payments.
Delinquency
A loan is delinquent when the borrower has missed one or more scheduled payments, measured in 30-day increments.
H
L
Loss Severity (LGD)
The percentage of outstanding balance lost when a loan defaults, after recoveries from collateral liquidation.
Loan Participation
A transaction where one lender sells a percentage interest in a loan to another institution.
Loan Tape
A data file containing the detailed characteristics of each loan in a portfolio.
Loan-to-Value Ratio (LTV)
The ratio of a loan's outstanding balance to the current market value of the underlying collateral.
Loan-to-Value Ratio (LTV)
The ratio of the loan balance to the appraised value of the collateral, a primary measure of collateral risk.
M
N
Net Interest Margin (NIM)
The difference between interest income earned and interest expense paid, as a percentage of earning assets.
Net Interest Margin (NIM)
The difference between interest income earned on loans and interest paid on deposits, as a percentage of earning assets.
NAICS Code
The North American Industry Classification System code identifying the borrower's business sector, a key risk factor for SBA and commercial loans.
O
P
Prepayment Penalty
A fee charged to borrowers who pay off a loan before its scheduled maturity.
PSA Prepayment Model
The Public Securities Association standard prepayment benchmark, a seasoning ramp from 0% to 6% CPR over 30 months.
Pool Factor
The ratio of current outstanding balance to original balance, shows how much of the pool has paid down.
Prepayment Burnout
The decline in prepayment speed as rate-sensitive borrowers refinance, leaving behind less responsive borrowers.
Payment Waterfall
The priority order in which cashflows from a loan pool are distributed to different classes of investors.
Prepayment Speed
The rate at which borrowers pay off their loans ahead of schedule, expressed as CPR (annual) or SMM (monthly).
S
Spread at Origination (SATO)
The difference between a loan's note rate and the prevailing Treasury yield at origination.
SBA 7(a) Secondary Market
The market where the government-guaranteed portions of SBA 7(a) loans are traded between financial institutions.
SBA 504 Program
An SBA loan program for fixed-asset purchases with a three-party structure: bank, CDC, and borrower.
Servicing Strip
The portion of a loan's interest rate retained by the servicer as compensation for collecting payments and managing the loan.
Single Monthly Mortality (SMM)
The monthly equivalent of CPR, the fraction of remaining balance that prepays in a single month.
Seasoning
The age of a loan or pool since origination, a key driver of both prepayment and default behavior.
Spread Duration
The sensitivity of a bond or loan's price to changes in the credit spread, how much the price moves for a 1bp change in OAS.
T
W
Weighted Average Life (WAL)
The average time to receive principal payments, weighted by the dollar amount of each payment.
Whole Loan Trading
The purchase and sale of individual loans or loan portfolios between financial institutions.
Weighted Average Coupon (WAC)
The balance-weighted average note rate across all loans in a pool.
Weighted Average Remaining Maturity (WARM)
The balance-weighted average number of months remaining until maturity across all loans in a pool.
Weighted Average Loan Age (WALA)
The balance-weighted average age (in months since origination) of loans in a pool.