LOAN_DYNAMICS Model

Inputs

NetCoupon - DOUBLE
Net coupon, in %

WAC - DOUBLE
Gross Coupon(WAC) of Loan(Pool) in Percent. If ARM, this is WAC at origination : REQUIRED

RemainingTerm - INTEGER
Remaining Term of Collateral (Months) : REQUIRED

Age - INTEGER
AGE of Collateral (Payment # minus 1 of 1st Forecast) : REQUIRED

FirstForecastYear - INTEGER
Year (ex. 2001) of first forecast month : REQUIRED

FirstForecastMonth - INTEGER
Month(1-12) of first forecast month : REQUIRED

SmmTuneScale - DOUBLE
Scale overall SMM(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneRefi - DOUBLE
Scale Refi SMM(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneTurnOver - DOUBLE
Scale Turnover SMM(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneCashout - DOUBLE
Scale Cashout SMM(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneCure - DOUBLE
Scale Cure SMM(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneAge - DOUBLE
Speed-up/Slow-down Aging(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneSlide - DOUBLE
Slide S-Curve by adding X bp to the spread over CCY (Default 0.0, positive means slower speeds)

SmmTuneSATO - DOUBLE
Scale SATO Effect

SmmTuneCATO - DOUBLE
Scale CATO Effect

SmmTuneBurnout - DOUBLE
Tune Burnout(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneLag - DOUBLE
Adjust Lag(range [0,2], default 1.0. Bigger means more lag)

HPIHistory - TIMESERIES
Housing Price Index History vector (Percent)

HPIForecast - TIMESERIES
Housing Price Index Forecast vector

CCYHistory - TIMESERIES
Current Coupon Yield History vector for Security or Rate Proxy (Percent) : Optional. Replaced Datafiles' history

CCYForecast - TIMESERIES
Current Coupon Yield Forecast vector for Security or Rate Proxy (Percent) : REQUIRED if not providing 2, 10 year forecast(v5.1)

ForecastMonths - INTEGER
Only Forecast Next N Months

ForecastOffSet - INTEGER
Start Forecast Offset Months After AsOfMonth

HPIRvsnVal - DOUBLE
Long Term Annual House Price Growth Ratio, in percent (for 6.5% enter 6.5)

Psi0 - DOUBLE
Proportion of borrowers who are active at origination, in Percent - Optional. See Active-Passive

PsiT - DOUBLE
Proportion of borrowers who are active at FirstForecast date, in Percent - Optional. See Active-Passive

Cashout_RM - DOUBLE
Risk Multiplier for Cashout Incentive (range [0,2], default 1.0. Bigger means faster prepays)

Cure_RM - DOUBLE
Risk Multiplier for Credit Curing Effect (range [0,2], default 1.0. Bigger means faster prepays)

Refi_RM - DOUBLE
Risk Multiplier for Refinance Incentive (range [0,2], default 1.0. Bigger means faster prepays)

Turnover_RM - DOUBLE
Risk Multiplier for Turnover (range [0,2], default 1.0. Bigger means faster prepays)

2Yr_Fcst - TIMESERIES
Time-series containing 2-yr Libor/Swap rate forecast (Percent) - must be as long as forecast_length starting at ff_date, inclusive : REQUIRED

10Yr_Fcst - TIMESERIES
Time-series containing 10-yr Libor/Swap rate forecast (Percent) - must be as long as forecast_length starting at ff_date, inclusive : REQUIRED

2Yr_Hist - TIMESERIES
Time-series containing 2-yr Libor/Swap rate history (Percent) - Only use if not using datafiles (Optional)

10Yr_Hist - TIMESERIES
Time-series containing 10-yr Libor/Swap rate history (Percent) - Only use if not using datafiles (Optional)

SmmTuneScaleModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Scale overall SMM(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneRefiModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Scale Refi SMM(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneTurnOverModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Scale Turnover SMM(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneCashoutModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Scale Cashout SMM(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneCureModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Scale Cure SMM(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneAgeModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Speed-up/Slow-down Aging(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneSlideModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Slide S-Curve by adding X bp to the spread over CCY (Default 0.0, positive means slower speeds)

SmmTuneSATOModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Scale SATO Effect

SmmTuneCATOModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Scale CATO Effect

SmmTuneBurnoutModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Tune Burnout(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneLagModel - DOUBLE
Model Adjustment Tuning (affects both Precalc() and Forecast()): Adjust Lag(range [0,2], default 1.0. Bigger means more lag)

ShortRateForecast - TIMESERIES
6 month libor forecast : For future use

ShortRateHistory - TIMESERIES
Optional Short Rate History : For future use

Orig_Face - DOUBLE
Original face value of the loan ($)

Original_LTV - DOUBLE
Original LTV (%) - REQUIRED

PPMonths - INTEGER
Number of months from origination the loan has a prepay penalty

IOMonths - INTEGER
Number of months from origination the loan is interest-only

FirstResetAge - INTEGER
Age when loan first resets: REQUIRED

MonthsBetweenReset - INTEGER
Number of months between reset periods: REQUIRED

GrossMargin - DOUBLE
Gross margin of loan, in %: REQUIRED

Documentation - DOCUMENTATION
Documentation of Loan - Full, Limited, or None

Property_Type - PROPERTY_TYPE
Type of Property Loan is for: (%) Single_Family, Multiple_Family, or Unknown - Optional, Enhanced

Loan_Purpose - LOAN_PURPOSE
Purpose of Loan: (%) Purchase, Refinance or Unknown - Optional, Enhanced

Occupancy - OCCUPANCY
Occupancy of Property: (%) Owner, Second_Home, Investor, or Unknown - Optional, Enhanced

Credit_Score - DOUBLE
Original FICO score - REQUIRED

Cur_Face - DOUBLE
Current face value of the loan ($)

Cur_LTV - DOUBLE
Current LTV of loan, in %

ZipCode - STRING
Zip Code of property

Issuer - ISSUERS
Collateral Type (e.g. prime / subprime; not a company

CallerData1 - UDATAPTR
Caller Specific Data Item 1 (ex. Intex iCMO struct)

CallerData2 - UDATAPTR
Caller Specific Data Item 2 (ex. Intex POOL struct)

TuneBack - UDATAPTR
Callback function (see developer docs)

State - STATES
The states in which the property is located (%), in form of double array

All_Inputs - INTEGER
After you run the collateral, UnSetParam() this parameter to reset all inputs

WacIsFixed - INTEGER
Flag for whether fixed or arm loantype. 1 for fixed, 0 for arm: REQUIRED

Index - INDICES
Index of Underlying: REQUIRED

LifeCap - DOUBLE
Lifetime Cap of Arm, in (%)

LifeFloor - DOUBLE
Lifetime Floor of Arm, in (%)

PeriodicCap - DOUBLE
Periodic Cap of Arm, in (%)

PeriodicFloor - DOUBLE
Periodic Floor of Arm, in (%)

Curve_Type - CURVE_TYPES
Yield curve type (par or spot, Treasury or swap)

OriginalTerm - INTEGER
Original Term, in Months

BalloonMonths - INTEGER
Months from Origination that collateral has balloon payment. UnSetParam() if not balloon

BalanceForecast - TIMESERIES
Forecast of month's scheduled beginning Balance ($): REQUIRED

PrincipalForecast - TIMESERIES
Forecast of month's scheduled Principal payment ($) : REQUIRED

InterestForecast - TIMESERIES
Forecast of month's scheduled Interest payment ($) : REQUIRED

PaymentForecast - TIMESERIES
Forecast of month's scheduled payment ($) : REQUIRED

DelinquencyStatus - DELINQUENCY_STATUSES
Loan Level: status of loan; Pool Level: distribution of statuses in the pool. Sums to 100%

UpdatedFico - DOUBLE
Fico score at date more recent than origination. Also set the date this score is as-of

UpdatedFicoMonth - INTEGER
Month the UpdatedFico is as-of

UpdatedFicoYear - INTEGER
Year the UpdatedFico is as-of

YearsAtResidence - DOUBLE
Average Number of years borrower has lived at current residence, as-of loan origination

YearsEmployment - DOUBLE
Average Number of years has been employed at current employer (as-of origination)

NumBorrowers - DOUBLE
Average number of borrowers for this loan

PPP_Flag - INTEGER
Prepay penalty flag. Set to 1 if this loan is or ever had a prepay penalty, 0 if not

Gross_DTI - DOUBLE
Gross Debt-to-Income ratio (DTI before taxes)

Net_DTI - DOUBLE
Net Debt-to-Income ratio (DTI after taxes)

NumUnits - DOUBLE
Average number of units in each residence

LienPosition - INTEGER
Average lien position of the loan

BorrowerAge - DOUBLE
Average age of borrower, in years

MonthsDelinquent - DOUBLE
Average number of months since last interest payment

OriginalPayment - DOUBLE
Original Payment (first month loan existed) ($)

AppraisedVal - DOUBLE
Original appraised value of house, in $

OrigCombinedLTV - DOUBLE
Original combined LTV of all borrower's loans

OrigCombinedBalance - DOUBLE
Original combined balance of all borrower's loans

UpdatedLTV - DOUBLE
Updated LTV of loan

UpdatedCombinedLTV - DOUBLE
Updated LTV of all borrower's combined loans

OtherDebt - DOUBLE
How much money borrower must pay every month from non-mortgage debt

Assets - DOUBLE
How many monthly payments can borrower make purely from assets at origination

SMM_MDR_Definition - DEFINITIONS
Controls mapping of states/transitions to SMM and MDR

OrigMIFlag - INTEGER
Mortgage Insurace At Origination. Set to 1 if was mortgage insurance at origination, 0 if not

CurMIFlag - INTEGER
Mortgage Insurace Currently. Set to 1 if currently there is mortgage insurance, 0 if not

MIAmount - DOUBLE
Percentage of original balance covered by mortgage insurance (%)

TuneCD - DOUBLE
Tune C-D transition

TuneDC - DOUBLE
Tune D-C transition

TuneDS - DOUBLE
Tune D-S transition

TuneDT - DOUBLE
Tune D-T transition

TuneST - DOUBLE
Tune S-T transition

TuneBCtoT - DOUBLE
Tune BC-T transition

TuneBCtoD - DOUBLE
Tune BC-D transition

TuneACtoT - DOUBLE
Tune AC-T transition

TuneACtoD - DOUBLE
Tune AC-D transition

TuneProbLossTD - DOUBLE
Tune Probability of Loss from D Termination

TuneProbLossTS - DOUBLE
Tune Probability of Loss from S Termination

TuneSeverityTD - DOUBLE
Tune Loss Severity from D Termination

TuneSeverityTS - DOUBLE
Tune Loss Severity from S Termination

TuneWAOLTV_Slide - DOUBLE
Tune Weighted Average LTV by sliding left (negative) or right (positive)

TuneFICO_Slide - DOUBLE
Tune FICO/Credit Score by sliding left (negative) or right (positive)

TuneHPI_Slide - DOUBLE
Tune Home Price Growth by sliding left (negative) or right (positive)

TuneWAOLTV_Stretch - DOUBLE
Tune Weighted Average LTV by stretching difference between its value and a midpoint. > 1.0 stretches, < 1.0 contracts

TuneFICO_Stretch - DOUBLE
Tune FICO/Credit Score by stretching difference between its value and a midpoint. > 1.0 stretches, < 1.0 contracts

TuneHPI_Stretch - DOUBLE
Tune Home Price Growth by stretching difference between its value and a midpoint. > 1.0 stretches, < 1.0 contracts

TuneSC - DOUBLE
Tune S-C transition

CurMinimumPayment - DOUBLE
For Option Arms - Current minimum payment ($)

RecastPeriod - INTEGER
For Number of months between recasts

PayResetFreq - INTEGER
For Arms - the months between payment resets

PayCap - DOUBLE
For Arms - Maximum percentage change of payment at each reset (%)

MaxNegAm - DOUBLE
For Arms - Maximum percentage of original balance that loan can negatively amortize (%) For example 121 would be 121%

CurTotalLTV - DOUBLE
Current LTV, counting all outstanding loans on house (%)

TuneSATO_Residual - DOUBLE
Tune SATO residual. Direct multiplier on the SATO residual value

TuneProbLossTC - DOUBLE
Tune Probability of Loss from C Termination

TuneSeverityTC - DOUBLE
Tune Loss Severity from C Termination

MDLogFile - STRING
Path to log file where we summarize missing data. Do not set unless running 1 path and want to log missing data

DealID - STRING
Identifier of deal into which collateral is securitized (or other superset of the collateral). For logging purposes only

PoolID - STRING
Identifier of collateral that is being run through model. For logging purposes only

TuneMDR - DOUBLE
Scale Default Rate

TuneSeverity - DOUBLE
Scale Severity

LookBackMonths - INTEGER
For Arms - the lookback for the Index to use for the reset. Default 1 month

FirstResetCap - DOUBLE
Periodic Cap of Arm's first rate adjustment, in (%)

FirstResetFloor - DOUBLE
Periodic Floor of Arm's first rate adjustment, in (%)

IndexHistory - TIMESERIES
For Arms - Timeseries of underlying index's history

IndexForecast - TIMESERIES
Monthly Forecast of underlying index, in (%)

WacHistory - TIMESERIES
Gross ARM WAC History vector (Percent) : REQUIRED if floating rate loan and index not set

WacForecast - TIMESERIES
Gross ARM WAC Forecast vector (Percent) : REQUIRED

MDDefaultFile - STRING
Filename to load that contains default values for missing data

TuneSATOHat - DOUBLE
Tune Sato hat in bp

Severity - DOUBLE
Severity Input (%) - Does not effect 2nd Liens

UseMDCallback - DOUBLE
Call the Callback function instead of throwing exception for missing data. For Internal Use Only

TuningStartYear - INTEGER
Start year to apply tuning parameters

TuningStartMonth - INTEGER
Start month to apply tuning parameters

TuningRampMonths - INTEGER
Number of month for tunings to ramp up to full effect from the start date

TuningEndYear - INTEGER
End year to apply tuning parameters

TuningEndMonth - INTEGER
End month to apply tuning parameters

TuningFadeMonths - INTEGER
Number of months for tunings to fade back to default effect after the end date

TuneSeverityTCAdd - DOUBLE
Add to Loss Severity from C Termination

TuneSeverityTDAdd - DOUBLE
Add to Loss Severity from D Termination

TuneSeverityTSAdd - DOUBLE
Add to Loss Severity from S Termination

TuneProblossTCAdd - DOUBLE
Add to Prob of Loss from C Termination

TuneProblossTDAdd - DOUBLE
Add to Prob of Loss from D Termination

TuneProblossTSAdd - DOUBLE
Add to Prob of Loss from S Termination

TuneProblossTCSecond - DOUBLE
Second Moment to Prob of Loss from C Termination

TuneProblossTDSecond - DOUBLE
Second Moment to Prob of Loss from D Termination

TuneProblossTSSecond - DOUBLE
Second Moment to Prob of Loss from S Termination

SatoResidualOverride - DOUBLE
Externally set the SatOResidual

CommandLineArgument - STRING
Debugging interface to allow passing of command line arguments to the LDM

StartingWac - DOUBLE
Gross Current Coupon (Percent) at first forecast date

TotalTerminationFlag - INTEGER
Flag that determines if model is a voluntary/involuntary breakdown (e.g default model) or a total termination model (e.g. prepay model)

Delinquency_Calculation_Method - DELINQUENCY_CALCULATION_METHODS
MBA or OTS; There are two places here this could apply: inputs statuses and the delinquency 60 plus result. OTS_STATUESES ONLY applies OTS methodology to the inputs statuses and MBA to the results; vice versa for OTS_DELINQUNECY_TRIGGERS_ONLY

BankruptcyFlag - INTEGER
Set to 1 if borrower is bankrupt

SMMDefinition - INTEGER
Set to 0 if SMM result is going to be interpreted as voluntary terminations, 1 if total terminations;

PreviousDelinquency - PREVIOUS_DELINQUENCY_STATUSES
Loan: whether loan had a previous missing payment; Pool Level: distribution of previous delinquency among *CURRENT* loans in the pool. Sums to 100%

National_HPIForecast - TIMESERIES
National Housing Price Index Forecast vector

MonthsSinceLastDelinquency - INTEGER
Number of months since the last time a borrower was delinquent. Only use for loan level and

Alternate_HPIForecast - UDATAPTR
An Non-Ofheo based HPI forecast that will be translated

Alternate_HPI_Type - HPI_FORECAST_TYPES
String for the alternate forecast type

NationalHPIHistory - TIMESERIES
National Housing Price Index History vector (Percent)

TuneString - STRING
Base string to choose tunings (ALT_A. PRIME ...)

TuningShelf - STRING
Tuning label chosen by TuneString, and other loan characteristics

TuningShelf1 - STRING
Tuning label chosen by TuneString, TuningShelf and other loan characteristics

TuningShelf2 - STRING
Tuning label chosen by TuneString, TuningShelf, TuningShelf1 and other loan characteristics

TuningShelf3 - STRING
Tuning label chosen by TuneString, TuningShelf, TuningShelf1-2 and other loan characteristics

TuningShelf4 - STRING
Tuning label chosen by TuneString, TuningShelf, TuningShelf1-3 and other loan characteristics

GroupNumber - INTEGER
Group Number of Pool in Deal

MI_Premium - DOUBLE
When MIAmount is set, MI_Premium represents the premium paid by the borrower for mortage insurance (in percent). For example a value of 1 implies a 1% premium. Default is 0.

MI_Cutoff - DOUBLE
When MIAmount is set, MI_Cutoff represents the LTV after which mortage insurance is canceled. Set to 0 if insurance is never canceled. Default is 78.

Run_MI - INTEGER
When MIAmount is set, Run_MI controls whether loss are interpreted as being from an investor or insurer perspective: Run_MI=0 -> Investor, Run_MI=1 -> Insurer. Default is 0

TuneModificationProbability - DOUBLE
Tuning to set the probability the current loan get modified in a given month

TuneModificationLoss - DOUBLE
Tuning to set the amount of principal forgiveness if the loan is modifided

IsModified - INTEGER
Set to one if the loan has been modified

MonthsSinceLastModification - INTEGER
Run_MI Description

InputsGetParamMode - INPUTS_GETPARAM_MODES
For debugging purposes: setting this mean GetParams weill only return values explicitly set by user, not value the model has used by default

JumboCCYHistory - TIMESERIES
Time-series containing Jumbo CCY rate history

CreditSpreadForecast - TIMESERIES
Time-series containing a forecast for the difference between the Jumbo 30 rate and the Fannie 30 rate

Integration_Version - STRING
For vendors: setting this will make sure the model uses behavior consistent with the integration version

TuneCS - DOUBLE
Tune CtoS transition

TuneSD - DOUBLE
Tune StoD transition

IsConvertible - INTEGER
1 if convertible to Fixed, 0 if not

CanNegAm - INTEGER
1 if can negatively amortize, 0 if not

TeaserMonths - INTEGER
Number of months of initial teaser period

IsSubprime - INTEGER
Set to 1 for subprime collateral, 0 for prime: REQUIRED

HasOptionalPayment - INTEGER
Set to 1 if collateral allows flexible payments (option arm), 0 of UnSetParam() if not

IsRelo - INTEGER
Set to 1 if RELO loan. Set to 0 or UnSetParam() if not

ServicingFee - DOUBLE
Servicing Fee, in %

GuarantyFee - DOUBLE
Guaranty Fee, in %

CurFICO - INTEGER
Current FICO score

IsSecondMortgage - INTEGER
0 = not second mortgage, 1 = second mortgage, 2 = unknown

PrepayPenaltyPercent - DOUBLE
Amount of prepay penalty, as percentage of remaining balance (%)

Points - DOUBLE
Points paid at origination, as percentage of original balance (%)

Results

SMM - TIMESERIES
Single Month Mortality (decimal); Total Terminations

Current - TIMESERIES
Percent Current with or without missed payments

Delinquent - TIMESERIES
Percent Delinquent (Decimal)

SeriouslyDelinquent - TIMESERIES
Percent Seriously Delinquent (Decimal)

MDR - TIMESERIES
Monthly Default Rate (Decimal); Involuntary Terminations

LossSeverity - TIMESERIES
Severity of Defaults (Decimal)

CtoT - TIMESERIES
Current to Terminated Transition Rate (Decimal)

CtoD - TIMESERIES
Current to Delinquent Transition Rate (Decimal)

CtoS - TIMESERIES
Current to Seriously Delinquent Transition Rate (Decimal)

CtoC - TIMESERIES
Current to Current Transition Rate (Decimal)

DtoT - TIMESERIES
Delinquent to Terminated Transition Rate (Decimal)

DtoD - TIMESERIES
Delinquent to Delinquent Transition Rate (Decimal)

DtoS - TIMESERIES
Delinquent to Seriously Delinquent Transition Rate (Decimal)

DtoC - TIMESERIES
Delinquent to Current Transition Rate (Decimal)

StoT - TIMESERIES
Seriously Delinquent to Terminated Transition Rate (Decimal)

StoD - TIMESERIES
Seriously Delinquent to Delinquent Transition Rate (Decimal)

StoS - TIMESERIES
Seriously Delinquent to Seriously Delinquent Transition Rate (Decimal)

StoC - TIMESERIES
Seriously Delinquent to Current Transition Rate (Decimal)

TfromC - TIMESERIES
Percent Terminated from Current (Decimal)

TfromD - TIMESERIES
Percent Terminated from Delinquent (Decimal)

TfromS - TIMESERIES
Percent Terminated from Seriously Delinquent (Decimal)

T - TIMESERIES
Percent Overall that have terminated (Decimal)

VERSION - STRING
AD&Co System/Model Version Number <System No>.<API No>.<Model No><compile letter>

Model - MODELS
Model Name of Model

HPILAG - INTEGER
Number of months of lag you need to provide in hpi forecast

CumLoss - TIMESERIES
Cumulative Expected Loss as percentage of balance (Decimal)

CumDefault - TIMESERIES
Cumulative Default as percentage of balance (Decimal)

CumPrepay - TIMESERIES
Cumulative Prepay as percentage of balance (Decimal)

Delinquent_60_Plus - TIMESERIES
60+ days delinquent vector (Decimal)

Delinquent_180_Plus - TIMESERIES
180+ days delinquent vector (Decimal)

SatO - DOUBLE
Spread-At-Origination: Wac at origination - CCY at origination

SatO_Residual - DOUBLE
Spread-At-Origination Residual: SatO - our estimated SatO

License - STRING
Last month license key will work with this model

LossRecoveryLag - UDATAPTR
Vector of monthly lag between default and recovery/loss. Type is integer array, same size as the TimeSeries Results

MaxLossRecoveryLag - DOUBLE
Maximum value inside the LossRecoveryLag vector

CCYType - CCY_TYPES
Enumeration of CCYCALC's list of ccy types that we request

ProbLoss_TfromS - TIMESERIES
Probability of loss from TS (Decimal)

ProbLoss_TfromD - TIMESERIES
Probability of loss from TD (Decimal)

ProbLoss_TfromC - TIMESERIES
Probability of loss from TC (Decimal)

Severity_TfromS - TIMESERIES
Severity of Default from TS (Decimal)

Severity_TfromD - TIMESERIES
Severity of Default from TD (Decimal)

Severity_TfromC - TIMESERIES
Severity of Default from TC (Decimal)

DollarDefault - TIMESERIES
Monthly Default in Dollars

PostTerminationBalance - TIMESERIES
Monthly Balance after terminations from default/prepay

ExpectedLoss - TIMESERIES
Monthly Expected Loss as percentage of balance (Decimal)

LossMagnitude_TfromS - TIMESERIES
Loss Magnitude from TS (Decimal)

LossMagnitude_TfromD - TIMESERIES
Loss Magnitude from TD (Decimal)

LossMagnitude_TfromC - TIMESERIES
Loss Magnitude from TC (Decimal)

Current_LTV - TIMESERIES
Projected current LTV based on home price and amortization forecasts

Current_Total_LTV - TIMESERIES
Projected current total LTV based on home price and amortization forecasts

MRR - TIMESERIES
Monthly Repayment Rate (decimal); Voluntary Terminations

ACtoAC - TIMESERIES
Always Current to Always Current Transition Rate (Decimal)

ACtoD - TIMESERIES
Always Current to Delinquent Transition Rate (Decimal)

ACtoS - TIMESERIES
Always Current to Seriously Delinquent Transition Rate (Decimal)

ACtoT - TIMESERIES
Always Current to Terminated Transition Rate (Decimal)

BCtoBC - TIMESERIES
Blemished Current to Blemished Current Transition Rate (Decimal)

BCtoD - TIMESERIES
Blemished Current to Delinquent Transition Rate (Decimal)

BCtoS - TIMESERIES
Blemished Current to Seriously Delinquent Transition Rate (Decimal)

BCtoT - TIMESERIES
Blemished Current to Terminated Transition Rate (Decimal)

TfromAC - TIMESERIES
Percent Terminated from Always Current (Decimal)

TfromBC - TIMESERIES
Percent Terminated from Blemished Current (Decimal)

BlemishedCurrent - TIMESERIES
Percent Current that had a previous missed payment(Decimal)

AlwaysCurrent - TIMESERIES
Percent Current with no missed payments(Decimal))

OrigYear - INTEGER
Year of Loan Origination (calculated from age)

OrigMonth - INTEGER
Month of Loan Origination (calculated from age)