ABS Alert: Total and Excess returns for the ABS market

Research evidence excerpt

ABS Alert: Total and Excess returns for the ABS market

Common Terminology

Exhibit 19: Common Terminology

Asset Backed Securities (ABS)

Acronyms Description Acronyms Description

A&C Agriculture and Construction IRS Internal Revenue Service

ABS Asset Backed Securities ITC Investment Tax Credit

ABS Absolute Prepayment Speed LCF Last cash flow

APR Annual Percentage Rate LIBOR London Interbank Offered Rate

BNPL But now pay later LTV Loan-to-value ratio

BLS Bureau of Labor Statistics MoM Month over Month

BP Basis points MPL Market Place Lender

BWIC Bid Wanted In Competition MPR Monthly payment rate

CAGR Compound Annual Growth Rate MW Megawatts

CDR Constant default rate NCHER The National Council of Education Resources

CE Credit Enhancement NCUA National Credit Union Association

CEU Container shipping, Cost Equivalent Unit NFIB National Federation of Independent Business

CFPB Consumer Financial Protection Bureau NR Non-rated

CMBS Commercial Mortgage Backed Securities N-Spread Nominal spreads to swaps

CME CME Group NY Fed The Federal Reserve Bank of New York

CNL Cumulative Net Loss OAS Option-adjusted Spreads

CPACE Commercial Property Assessed Clean Energy OC Overcollateralization

CPI Consumer Price Index PAYE Pay As You Earn

CPR Constant prepayment rate PACE Property assessed clean energy

CRR Conditional Repayment Rate PSLF Public service loan forgiveness

DM Discount Margin PPA Power purchase agreement

DQ Delinquency PTC Production Tax Credit

DPP Device Payment Plan PV Photovoltaic

DSCR Debt Service Coverage Ratio QoQ Quarter over quarter

DSR Debt Service Ratio QE Quantitative Easing

DTI Debt-to-Income ratio R&W Representation and warranty

ED The Department of Education REPAYE Revised Pay As You Earn Plan

EDSF Euro Dollar Swap FRA RMBS Residential mortgage-back securities