CMBS rating actions review for the week ending June 26th

Research evidence excerpt

CMBS rating actions review for the week ending June 26th

Acronym descriptions

Exhibit 2: Common Terminology – Multiple Sectors

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Acronyms Description Acronyms Description

Multiple Sectors Multiple Sectors

ABCP Asset-backed commercial paper ISM Institute for Supply Management

AIFM Alternative Investment Fund Managers ITS Implementing Technical Standards (EU)

EU financial regulation of hedge funds, private equity, real estate funds and

AIFMR other alternative investment fund managers JHF Japanese Housing Finance Agency

ALS Average Loan Size LCF Last cash flow

AMF Financial Markets Authority (France) LGD Loss Given Default

BaFin Federal Financial Supervisory Authority (Germany) LIBOR London Interbank Offered Rate

BLS Bureau of Labor Statistics LTV Loan-to-value ratio

BPS Basis points MBS Mortgage-Backed Security

BWIC Bid Wanted In Competition MEP Member of European Parliament (EU)

CDR Constant default rate MoM Month over Month

CDX Credit Default Swap Index NRI National Risk Index

CE Credit Enhancement NR Non-rated

CEE Central and Eastern Europe NSFR Net Stable Funding Ratio

CFPB Consumer Financial Protection Bureau N-Spread Nominal spreads to swaps

CLTV Combined Loan-to-value ratio or Current Loan-to-value ratio NY Fed The Federal Reserve Bank of New York

CMO Collateralized Mortgage Obligation OAS Option-adjusted Spreads

CPR Constant prepayment rate OC Overcollateralization

CQS Credit quality step OID Original issue discount

CRD Capital Requirements Directive (EU) OLTV Original Loan-to-value ratio

CRR Capital Requirements Regulation (EU) OWIC Offer wanted in competition

CRR Conditional Repayment Rate PRA Prudential Regulation Authority (UK)

CRR EU prudential regulation for credit institutions and investment firms QE Quantitative Easing