资产证券化术语.docx

资产证券化术语.docx

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资产证券化术语

Glossary

Accruedinterest—Interestearnedbutnotyetpaid.

Adjustable-RateMortgage（ARM）—Amortgageloanwithaninterestrateandpaymentsthatchangeperiodicallyoverthelifeoftheloan.

Adjustable-RateClass—AREMICclasswithaninterestratethatchangesperiodicallyoverthelifeoftheclass（seeFloating-RateClassandInverseFloating-RateClass）.

Amortize—Torepayadebtthroughaseriesofperiodicpayments.

AverageLife—（seeWeightedAverageLife）

Bond—InthecaseofFannieMaeREMICS,aninstrumentrepresentingtherighttocertainpaymentsontheunderlyingcollateral.

BookEntry—Anelectronicissuanceandtransfersystemforsecuritiestransactions,suchasthatmaintainedbytheFederalReserveSystem.Unlessotherwisestatedintheprospectussupplement,FannieMaeREMICsareissuedinbook-entryform.

CallRisk—Thepossibilitythatprepaymentswillincreaseaboveananticipatedrate,causingearlier-than-expectedreturnofprincipal,usuallyduringatimeoffallinginterestrates.

Cap—Themaximumrateofinterestpayableonanadjustable-ratesecurityormortgageloan.

CLASS—（seeBond）

CMO（CollateralizedMortgageObligation）—Amultiple-classmortgage-backedsecurity.TheREMIChasreplacedtheCMOand,today,allCMOsareissuedintheformofREMICS;however,thetermsareoftenusedinterchangeably.

CMT（ConstantMaturityTreasury）—AnindexpublishedbytheFederalReserveBoardcalculatedfromtheaverageyieldofarangeofTreasurysecuritiesadjustedtoconstantmaturitiesofvarioustimeperiods（forexample,sixmonths,oneyear,tenyears,etc.）.

COFi（CostofFundsindex）—Anindexoftheweighted-averageinterestratepaidbysavingsinstitutionsforsourcesoffunds,usuallybymembersofthe11thFederalHomeLoanBankDistrict.

Collateral—InthecaseofFannieMaeREMICS,assetsthatbacktheREMIC.

CompanionorSupportClass—AREMICclassthatabsorbstheprepaymentvariabilityremovedfromreducedvolatilityclassessuchasPACsorTACS.

CouponRate—Thestatedannualizedpercentageofinterestpaidonaninvestment.

CPR（ConstantPrepaymentRate）—Aprepaymentmeasurecalculatedbyassumingthataconstantportionoftheoutstandingmortgageloanswillprepayeachmonth.（alsoseePSA）

CreditRisk—Thepossibilitythattheremaybeadefaultbytheissuerorotherpartyinitsfinancialobligationstotheinvestor.

CurrentFaceValue—Thecurrentamountofprincipaloutstandingonasecurity,whichiscalculatedbymultiplyingtheoriginalfacevaluebythemostrecentfactor.

CurrentPayClass—AtermusedforanyREMICclassthatiscurrentlypayingprincipaland/orinterest.

CUSIPNumber—Aunique,nine-digitnumberassignedtoeachpubliclytradedsecuritymaintainedandtransferredontheFederalReservebook-entrysystem.

Default—Failuretoperformanobligation.（Inthecaseofanoteormortgageloan,usuallybynonpaymentofprincipalandinterestinstallments.）

Discount—Theamountbywhichthepurchasepriceofasecurityislessthanitsfacevalue,whichhastheeffectofraisingtheeffectiveyieldofthesecurityabovethecouponrate.

DistributionDate—Thedateonwhichpaymentsfromasecuritytoaninvestoraremade（usuallythe25thofthemonthforFannieMaeREMICsecurities）.

EffectiveYield—Theannualreturnonaninvestmentthatiscalculatedbydividingthecouponinterestratebytheamountinvestedexpressedasapercentofpar.

EffectiveRange—TherangeofupperandlowerconstantprepaymentspeedsatwhichaPACschedulewillhold.TheeffectiverangecanchangeovertimedependingontheprepaymentexperienceofthesecuritiesbackingtheREMICandcanwidenornarrowinrelationtotheoriginalstatedPACband.（seePACScheduleandPACBand）

ExtensionRisk—Thepossibilitythatprepaymentswillbeslowerthanananticipatedratecausinglater-thanexpectedreturnofprincipal.Thisusuallyoccursduringtimesofrisinginterestrates.

FaceValue—Theprincipalamountofabond.

Factor—Thedecimalvalue,calculatedmonthly,thatrepresentstheproportionoftheoriginalprincipalamountoutstandingatagiventime.

FinalDistributionDateorMaturityDate—ThelatestpossibledateonwhichaREMICclasswillreceivepayment.Theactualfinalpaymentofanyclasswilllikelyoccurearlier,andcouldoccurmuchearlier,thanthefinaldistributiondateormaturity.Aprojectedfinalmaturityiscalculatedbasedonanassumedprepaymentratetodeterminethefinalmaturityofeachclass.

Fixed-RateMortgage—Amortgageloanwithaninterestrateandpaymentsthatdonotchangeoverthelifeoftheloan.

Fixed-RateClass—AREMICclasswithaninterestratethatdoesnotchangeoverthelifeoftheclass.

Floating-RateClass（``Floater"）—AREMICclassthatpaysinterestataratethatadjustsperiodicallybyapredeterminedamountaboveaspecificindex.

Floor—Theminimumrateofinterestpayableonanadjustable-rateclassormortgage.

Index—Apublishedinterestrateusedtodeterminetheinterestratepayableonanadjustable-ratemortgageorclass.

Interest—Theamountpaidfortheuseofmoney,usuallyexpressedasanannualpercentagerate.

InverseFloating—RateClass

（``InverseFloater"）-AREMICclassthatpaysaninterestratethatadjustsperiodicallyintheoppositedirectionofaspecificindex.Inversefloateradjustmentsmayalsobebasedonamultipleoftheindex.

10（InterestOnly）Class—AREMICclassthatpaystheinvestorsomeoralloftheinterestpaymentsontheunderlyingsecuritiesandlittleornoprincipal.IOclasseshaveeitheranominalornotionalprincipalbalance.Anominalprincipalbalancerepresentstheactualbutrelativelysmallamountofprincipalthatwillbepaidtotheclass.AnotionalprincipalbalanceistheamountusedasareferencetocalculatetheamountofinterestdueonanIOclassnotentitledtoreceiveanyprincipal.DeclininginterestrateshaveanadverseeffectonIOs.

IssueDate—Thedateasofwhichasecurityisoriginallyformed.

LIBOR（LondonInterbankOfferedRate）—Theinterestratechargedamongbanksforshort-termEurodollarloans.Acommonindexforadjustable-ratemortgagesandsecurities.

Liquidity—Thecapabilityofreadyconversionofanassetorinvestmenttocash.

MarketPrice—Thecurrentpriceofthesecurityinthemarket.

MarketRisk—Thepossibilitythatthepriceofthesecuritywillchangeovertime.

MaturityDate—（seeFinalDistributionDate）

MBS（Mortgage-BackedSecurities）—Aninvestmentinstrumentthatrepresentsownershipofanundividedinterestinagroupofmortgages.PrincipalandinterestfromtheindividualmortgagesareusedtopayprincipalandinterestontheMBS.

Mortgage—Apledgeofrealpropertyassecurityfortherepaymentofadebt;thedocumentthatcreatesandrepresentsthelienupontherealpropertythatsecuresthedebt.

OptionRisk—Thepossibilitythataborrowermayprepayamortgageinatimeframethatadverselyaffectstheinvestor'syield.

OriginalFaceValue—Theoriginalprincipalamountofasecurityonitsissuedate.

PAC（PlannedAmortizationClass）-AREMICclassdesignedtopayinvestorsscheduledpaymentsoverarangeofconstantprepaymentspeeds.

PACBandorRange—ArangeofconstantprepaymentspeedsdefinedbyaminimumandmaximumunderwhichthePACsscheduledrepaymentwillremainunchanged.TherecanbemultiplelevelsofPACsinaREMIC,eachhavingsuccessivelynarrowerPACbands.ThewidestbandPACsarePACIs;thenextarePACIIs.

PACSchedule—TheplannedmonthlyprincipalbalancesofaPACclassinwhichtheunderlyingsecuritiesprepayataconstantprepaymentratewithinthestatedPACband.

PACWindow—ThetimeperiodduringwhichaPACclassisscheduledtoreceiveprincipalpayments.

Par—100percentoffacevalue.

PlainVanilla—（seeSequentialClass）

PO（PrincipalOnly）Class—AREMICclassthatdoesnotbearinterestandisentitledtoreceiveonlypaymentsofprincipal.RisinginterestrateswillhaveanadverseeffectonPOs.

Pool—AgroupofmortgagesbackinganindividualMBSissue.

Premium—Apriceinexcessof100percentoffacevalue.

Prepayment—Theunscheduledpaymentofallorpartoftheoutstandingprincipalofamortgageloan,includingpaymentsbytheborroweraswellasliquidationsfromforeclosures,condemnations,orcasualty.

PrepaymentRisk—Thepossibilitythatthemortgagesunderlyingthesecurityarerepaidfasterormoreslowlythanexpected.

Price—Theamountpaidforasecurity,usuallystatedasapercentageofitsfacevalue.Aparpriceis100percent,apremiumpriceishigherthanpar,whileadiscountpriceislowerthanpar.

Principal—Theremainingbalanceofasecurityorloan,exclusiveofaccruedinterest.

PrivateLabel—AmortgagesecuritynotissuedorguaranteedbyaU.S.governmentagency（suchasGinnieMae）oraU.S.government-sponsoredenterprise（suchasFannieMaeorFreddieMac）.

ProspectusandProspectusSupplement—Thelegaldocumentsthatoutlinealldetailsofaninvestment.

PSA（PublicSecuritiesAssociation）—Thenationaltradeassociationofbanks,dealers,andbrokersthatunderwrite,trade,anddistributemortgage-backedsecurities,U.S.governmentandfederalagencysecurities,andmunicipalsecurities.

PSAprepaymentspeed—AmeasureoftherateofprepaymentofmortgageloansdevelopedbythePSA.Thismodelrepresentsanassumedrateofprepaymenteachmonthofthethenoutstandingprincipalbalanceofapoolofnewmortgageloans.A100percentPSAassumesprepaymentratesof0.2percentperannumofthethenunpaidprincipalbalanceofmortgageloansinthefirstmonthafteroriginationandanincreaseofana