The following is a list of Acronyms & Terms that will be helpful to anyone reading this presentation:

CPO

Collateralized Put Option- a fully-collateralized 144A security which provides protection  against default of a referenced Bond.

CRN

Collateralized Reference Note- a 144A security which provides collateral for amount being covered in the CPO in return for a premium paid by the CPO

CDS

Credit Default Swap- a derivative which provides protection against default of a referenced Bond or entity.

CUSIP  

Committee on Uniform Security Identification Procedures- a nine-digit numeric or nine-character alphanumeric code that identifies a North  American financial security

ISDA

International Swaps and Derivatives Association- Determine whether a reference entity has defaulted on their debt obligations and sets an auction which in turn dictates any recovery values

Recovery Value  

The amount of value in a Bond when the issuer of that Bond defaults

144A

Security Securities which are privately placed to qualified institutional investors

SEC

Securities & Exchange Commission

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