Agency MBS Alert: Turning short-term basis underweight, from neutral

Research evidence excerpt

Agency MBS Alert: Turning short-term basis underweight, from neutral

Exhibit 8: Common Terminology – Multiple Sectors

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Acronyms Description Acronyms Description

Multiple Multiple

Sectors 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 other alternative

AIFMR 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

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

CPR Constant prepayment rate OAS Option-adjusted Spreads

CQS Credit quality step OC Overcollateralization

CRD Capital Requirements Directive (EU) OID Original issue discount

CRR Capital Requirements Regulation (EU) OLTV Original Loan-to-value ratio

CRR Conditional Repayment Rate OWIC Offer wanted in competition

CRR EU prudential regulation for credit institutions and investment firms PRA Prudential Regulation Authority (UK)

DD Due diligence QE Quantitative Easing

DM Discount Margin QM Qualified Mortgages

DQ Delinquency R&W Representation and warranty