European CLO Weekly: Tight IG mezz spreads, dispersed sub-IG

Research evidence excerpt

European CLO Weekly: Tight IG mezz spreads, dispersed sub-IG

Exhibit 27: Most commonly used acronyms in structured finance

ABS/RMBS/CMBS/CLO acronyms

Acronym Spelling Acronym Spelling

ERV Estimated Rental Value SH Student Housing

FCF Front cash flow SME Small and medium enterprise

FCLR Foreclosure SOFR Secured Overnight Financing Rate

FRM Fixed rate mortgages SONIA Sterling overnight interbank average rate

FTB First-time buyer (EMEA/APAC) SPE Special purpose entity

GDP Gross domestic product SR OC Senior overcollateralization

GLA Gross Leasing Area SRT Significant Risk Transfer

GSA Green Street Advisors SS Special Servicing

HPCF Highly predictable cash flow (UK) TI Tenant Improvements

HT Hotel TLA Term loan A

HY High Yield TLB Term loan B

IAA Internal Assessment Approach UW Underwriting/Underwritten

IBR Income based repayment VT Voluntary Termination (auto loan by borrower)

IC Interest coverage WA Weighted average

ID Interest diversion WAC Weighted average coupon

IDR Income driven repayment WAL Weighted average life

IG Investment grade WALA Weighted average loan age

iLTV Indexed LTV WAM Weighted Average Maturity

IN Industrial WAP Weighted average price

IO Interest-only mortgages or tranches WARF Weighted average rating factor

IPO Initial public offering WARR Weighted average recovery rate

IRBA Internal rating Based Approach WAS Weighted average spread

IRR Internal rate of return WAVG Weighted average

JR OC Junior overcollateralization WBS Whole business securitisation

L/O Lockout WL Watchlist

LBO Leveraged buyout WoW Week over Week

LCF Last cash flow YM Yield maintenance

LGD Loss Given Default YoY Year over Year

LIBOR London Interbank Offered Rate YTD Year to date

LLI Leveraged loan index YTM Yield to maturity

Source: BofA Global Research

BofA GLOBAL RESEARCH