Page 67 - NAFIF-2019-Facility-Reference-Guide

ASSET-BACKED SECURITIES (ABS)
Products covered only in the U.S.:
· Consumer-related ABS (Auto Loans, consumer credit cards, student loans,
etc.).
· Exclude ABS with maturities of less than 2 years.
· Esoteric ABS (Cell towers, whole business securitization, time shares, etc)
Related Products covered in other QARs:
· Sub-prime cash ABS, home equity loans, non-agency-backed CMOs, non-
agency-backed ARMs (including hybrid and "negative M"), and mortgage
derivatives - Covered in the sub-prime ABS questionnaire.
· U.S. dollar denominated MBS pass-throughs (including 5-, 7-, 15-, 30-year
paper backed by Ginnie Mae, Fannie Mae, or Freddie Mac) - Covered in the
MBS pass-throughs questionnaire.
· U.S. agency CMOs, agency ARMs, and mortgage derivatives - Covered in the
Agency CMOs questionnaire..

COLLATERALIZED LOAN OBLIGATIONS
Products included:
· Collateralized loan obligations (CLOs)
· Secondary vs New Issue
· AAA, Mezzanine, Equity

EMERGING MARKETS
Products included:
· Hard currency denominated sovereigns
· Hard currency denominated corporates
· Local currency sovereigns
· Local currency corporates
· Local currency interest rate derivatives

SHORT-TERM FIXED-INCOME
Products included in the US:
· Short-Term Government Securities (T-Bills, excluding repos and reverse
repos)
· ABS FRNs (maturities of two years and in)
· Agency Discount Notes, Agency FRN's, and Agency MTN's
· Commercial Paper (excluding overnight CP)
· CDs
Products included in Canada Only
· Short-Term Government Securities (Canadian T-Bills, Provincial T-Bills and
CMBs) excluding repos and reverse repos and Term Deposits
· Credit (Commercial Paper, ABS CP, U.S. denominated corporate paper, BAs
and BDNs)
· Funding (Repos/Reverse Repos and Term Deposits)

Page 48