% A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
%
% Actively Modified: Proportion of loans that are actively modified. For additional information please see here.
% Amortization: Proportion of current balance to original balance.
% Current: Proportion of current balance of loans that have made all scheduled payments to original balance.
% Default: Proportion of current balance of loans that have defaulted to original balance.
% Delinquent: Proportion of current balance outstanding that is delinquent. Charged-off loans are not included in current outstanding balance.
% Ever Modified: Proportion of loans that are either actively modified or previously modified. For additional information please see here.
% impaired: Proportion of current balance outstanding that is delinquent OR actively modified. For additional information please see here.
% Late: Proportion of current balance of loans that are 1 - 29 days late to original balance.
% Original Balance: Proportion of current balance to original balance.
% Outstanding: Proportion of current balance to original balance.
% Previously Modified: Proportion of loans that have been modified previously. For additional information please see here.
A
Aggregate Receivable Balance (A/R Balance): The entire collateral pool regardless of if a receivable is ineligible.
Annual Income: Borrower's annual income, as reported by originator. Refer to "Income Verified." Pool Filter Key: annual_inc
APR: Annualized Percentage Rate, including coupon and all fees, as reported by the servicer. Pool Filter Key: apr
As of date: Date as of which data is shown. Not to be conflated with "Updated Date." Pool Filter Key: as_of_date
Average Loan Balance: Simple arithmetic average of loan balances, unweighted.
B
Bank Card Utilization: Aggregate balance/credit ratio on all bank card trades within the last 6 months.
Borrowing Base Value (Borr Base): Summation of each Eligible A/R Balance by Criteria x that Criteria Advance Rate.
C
Charge Off - Recovery: Proportion of recovered charged off loan principal (e.g. via servicer collection process) to original balance.
Charge Off Date: Date loan was charged off. Pool Filter Key: charge_off_date
Charge Off Loan Balance: Amount of principal charged off (in dollars). Pool Filter Key: charge_off_loan_balance
Charge Off Net Proceeds: Net proceeds from charge off sale.
Charge Off Sale Date: Date charged off loan was sold. Pool Filter Key: charge_off_sale_date
Collateral Balance: Current balance of total collateral pool in a securitization at the end of a given period.
Combined Loan To Value: (Mortgage only): a ratio of representing the original balance of the loan, combined with the balance of any outstanding subordinated liens on the property, divided by value of the home at time of loan origination, as reported in the raw values provided to dv01. Pool Filter Key: asset_combined_loan_to_value_orig
Conditional Default Rate (CDR): One Month CDR. Proportion of charge off amount to start-of-the-month balance, annualized.
Conditional Prepayment Rate (CPR): One Month CPR. Proportion of unscheduled principal payments to start-of-the-month balance less scheduled principal payments, annualized. CPR encompasses only voluntary payments and is equivalent to CRR.
Cum Charge Off Rate: The total amount of outstanding principal balance charged off from the origination date or pool cut-off date.
Cum DPD Curves: Proportion of current balance of loans that have been or are currently in the selected DPD bucket to the total current balance of the pool. This plot can have a negative slope.
Cum Loss Rate: Proportion of cumulative charge off offset by cumulative net recoveries to the original balance of the loan pool.
Cum Prepay Rate: Proportion of cumulative balance prepaid to the original balance of the loan pool.
Cum Recovery as % Gross Loss: Proportion of recoveries received to the total gross loss amount.
Cum Recovery as % OBAL: Proportion of recoveries received to the total original principal balance.
Current Balance: Reported current balance on the loan.
Curtailment: Principal paid in excess of required principal payment for a given period, computed per schedule at origination.
CUSIP: A standard security identifier, as issued by the American Committee on Uniform Securities Identification Procedures.
D
Days Past Due: Number of days the loan is past due, as reported by servicer.
Drift Curves - DTI: The average Debt To Income ratio at origination, weighted by outstanding balance.
Drift Curves - FICO: The average FICO at origination, weighted by outstanding balance.
Drift Curves - GWAC: The average coupon at origination, weighted by outstanding balance.
Debt To Income ratio (DTI) : ((for non-mortgage loans) Proportion of borrower's monthly debt service payment, excluding proposed loan, to monthly income. Pool Filter Key: dti_orig
Debt To Income ratio (DTI) : ((for mortgage loans) Proportion of borrower's monthly debt service payment, including proposed loan, to monthly income. Also known as Backend DTI. Pool Filter Key: dti_orig
DTI + PTI: Proportion of the borrower's total monthly debt service payment, including proposed loan, to monthly income. Pool Filter Key: dti_plus_pti_orig
Doc Type: (Mortgage only) The form of income documentation provided by the borrower used to underwrite the loan. These values are standardized across all data provided to dv01. These fields are not provided for Seasoned or RPL loans. For questions about specific documentation types, please reach out to support@dv01.co for more detail. Pool Filter Key: loan_doc_type
Doc Type reported: (Mortgage only) The form of income documentation provided by the borrower used to underwrite the loan, as reported in the raw values provided to dv01. These fields are not provided for Seasoned or RPL loans. For questions about specific documentation types, please reach out to support@dv01.co for more detail. Pool Filter Key: loan_doc_type_reported
E
Effective Advance Rate (Eff Adv Rate): Borrowing Base Value / Eligible Aggregate Receivable Balance
Eligible Aggregate Receivable Balance (Eligible A/R Bal): Aggregate Receivable Balance - Ineligible receivables - Excess Concentrations
Employment Status: Borrower's employment status (salaried, self-employed, contractor, etc.). Pool Filter Key: employ_status
Ever % 30+: Proportion of current balance of loans that have ever been more than 30 days late to outstanding balance.
Ever % 60+: Proportion of current balance of loans that have ever been more than 60 days late to outstanding balance.
Ever % 90+: Proportion of current balance of loans that have ever been more than 90 days late to outstanding balance.
Expected Loan Balance: Scheduled loan balance as per loan origination terms, calculated by dv01.
Expected Loan Loss: Expected loss on the loan, as reported by the servicer.
Excess Concentrations (Excess Conc): Summation of all of the excess concentrations.
Excess Spread (XS): The net weighted average coupon of the collateral pool less the weighted average cost of funding, where the weighted average cost of funding is the weighted average coupon of the notes, including the balance of the residual. Note that excess spread was previously calculated as the difference between the net weighted average coupon of the collateral pool and the weighted average coupon of the notes, excluding the balance of the residual.
Sample Calculation:
F
FICO - as of Orig.: Reported FICO score of the borrower at loan origination. Pool Filter Key: fico_orig
FICO - current: The most-recent FICO score available for a given borrower. The availability of this field varies from platform to platform, and in some cases, the value as of loan origination is the latest available. Filter Key: fico_current
First Payment Date: Date the first contractual payment is due. Pool Filter Key: loan_payment_date_first_contractual
Funding Date: Date the loan was purchased by the investor. Pool Filter Key: loan_funding_date
G
Gross Principal: Scheduled and unscheduled (curtailment) principal payments made by the borrower.
Gross Weighted Average Coupon (GWAC): Coupon of all loans weighted by the current outstanding principal balance of each loan.
H
Home Ownership: Borrower's home ownership status as of origination (home owner, renter, own with a mortgage, etc.). Pool Filter Key: home_ownership
I
Income Verified: Whether the borrower's reported source of income is verified. For mortgage loans, this field is not reported, but is instead covered by Loan Documentation Type.
IO Original Term: Number of months the borrower is required to make interest-only payments. Pool Filter Key: loan_term_interest_only
Ineligible Receivables (Ineligibles): Summation of all of the ineligible receivables.
Initial Overcollateralization (Initial OC): The amount of overcollateralization at deal inception specified by the deal indenture.
J
Job Length: Length of time borrower has worked at current job, in years. Pool Filter Key: job_length
L
Last Payment Date: Date the borrower made the last payment. Pool Filter Key: loan_payment_date_last
Late Fee: Late fee paid by the borrower, as reported by servicer. Pool Filter key: fee_late_paid
- Period: In that given calendar month
- Cumulative: Since the point of origination
Loan Age: Number of complete pay cycles since the first payment date of the loan. Pool Filter Key: loan_age
Loan ID: Unique identifier, by originator, for each loan. Pool Filter Key: loan_id
Loan Purpose: Reported use of loan proceeds by borrower, as reported by servicer. Pool Filter Key: loan_purpose
Loan Status: Delinquency status of the loan. Pool Filter Key: loan_status
Loan To Value: (Mortgage only): a ratio of representing the original balance of the loan, divided by value of the home at time of loan origination, as reported in the raw values provided to dv01. Pool Filter Key: asset_loan_to_value_orig
M
Maturity Date: Maturity date of the loan. Pool Filter Key: loan_maturity_date_orig
Minimum Required Overcollateralization (Min OC): The minimum amount of overcollateralization specified for that period by the deal indenture.
Modified (Modification Indicator): Indicates whether a loan has been modified. For loans that have had permanent changes to the original terms of the loan, or are currently in an active short-term assistance program, the field will be populated with a “Modified” value. For loans that have completed a short-term assistance program, or broken the terms of the modification, the field will be populated with a “Previously Modified” value. Loans with no active or previous modification will show up with a null / “Not Reported” value. Pool Filter Key: loan_modification_indicator
Modification Date: The date on which the loan was modified; rolls up to a monthly value (e.g.; 01/15/2020 → 2020-01). Pool Filter Key: loan_modification_date
Modification Type: The type of modification provided to the borrower. These values are standardized across originators and issuers for each asset class. For questions about specific modification types, please reach out to support@dv01.co for more detail. Pool Filter Key: loan_modification_type
Modification Type Reported: The type of modification provided to the borrower, as reported in the raw values provided to dv01. For questions about specific modification types, please reach out to support@dv01.co for more detail. Pool Filter Key: loan_modification_type_reported
N
Net Annualized Return (NAR): An annualized measure of the rate of return on principal invested including all payment activity up to a given time period i.e. cumulative interest payments and recoveries less charge-offs and fees. NAR is expressed as a percentage of outstanding principal, annualized.
Net Eligible Aggregate Receivable (Net Eligible A/R): Aggregate Receivable Balance - Ineligible receivables - Excess Concentrations
Net Weighted Average Coupon (NetWAC): The interest payment the loan note holder receives, net of servicing and other fees.
Next Payment Date: Next date of contractual payment of principal and interest due from the borrower. Pool Filter Key: loan_payment_date_next
Note Balance: Current balance of the identified note(s) or tranche(s) in a securitization at the end of a given period.
NSF Fee: "Insufficient Funds" (NSF) fee paid by the borrower, as reported by the servicer. Pool Filter Key: fee_nsf_paid
- Period: In that given calendar month
- Cumulative: Since the point of origination.
O
Occupancy Status: (Mortgage only): Most recent occupancy status of the borrower as it pertains to the subject property. Pool Filter Key: asset_occupancy_status
Original Loan Term: The number of months for which the borrower is contractually obligated to repay the loan. Pool Filter Key: loan_term_orig
Origination Date: The date at which the borrower receives the loan proceeds. Pool Filter Key: loan_origination_date
Originator Grade: Grade assigned to loan by originator.: Pool Filter Key: loan_grade
Originator Subgrade: Originator subgrade assigned to the loan, where applicable. Pool Filter Key: loan_subgrade
P
Paid In Full Date: Date the loan was paid off by the borrower. Pool Filter Key: loan_paid_in_full_date
Payment to Income ratio (PTI): Proportion of borrower's monthly debt service payment for proposed loan to monthly income.
Percent Trade Lines Never Delinquent: Proportion of number of all trade lines available to the borrower that have never been reported as delinquent to total credit lines available to borrower at origination.
Pool Factor: Proportion of current balance to original balance.
Purchase Amount: In case of securitization, the balance of the loan that was sold. Pool Filter Key: purchase_amount
Purchase Date: In case of securitization, the date loan was sold. Pool Filter Key: purchase_date
R
Rate Type: An indicator to determine whether a loan has a fixed or variable coupon rate. Pool Filter Key: loan_rate_type
Remaining Loan Term: Remaining term (in months) of the loan. Pool Filter Key: loan_term_remaining
Reserve Balance: Current balance of the reserve account in a securitization at the end of a given period.
Return On Investment (ROI): The rate of return on principal invested, i.e. cumulative interest payments and recoveries less charge-offs and fees, expressed as a percentage of total principal.
Revolving Utilization: Proportion of revolving credit the borrower was using to total revolving credit available to borrower at origination. Pool Filter Key: revolving_utilization
S
Scheduled Principal: Principal payment computed per schedule for a given period (original terms). Pool Filter Key: scheduled_principal
Servicing Fee (SVC): The haircut of the collateral gross coupon that is paid to the servicer of the loan(s).
T
Target Overcollateralization (Target OC): The amount of overcollateralization specified for that period by the deal indenture.
U
Updated Date: The latest date when data was made available to dv01. (Not to be conflated with "As of Date.")
V
Vintage: Indicates when loan was originated.
- Year: The year in which loan was originated
- Half Year: Refers to either the first or second half of the year in which loan was originated
- Quarter: The quarter and year in which loan was originated
- Month: The month and year in which loan was originated
W
Weighted Average Life (WAL): Weighted average life is the average number of years for which each dollar of unpaid principal on a loan or mortgage remains outstanding.
Weighted Average Loan Age (WALA): Loan age weighted by the current outstanding principal balance of the loan.
Z
Zip Code: Borrower's zip code of residence at time of loan origination. For privacy reasons, most zip codes are ZIP3. Pool Filter Key: zipcode_borr