List of Terms and their Abbreviations
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1 List of Terms and their Abbreviations asset-backed commercial paper (ABCP) asset backed securities (ABS) asset liability committee (ALCO) asset-liability management (ALM) advanced measurement approach (AMA) asset-swap spread (ASW) Balance Sheet Management Committee (BSMCO) Basel Committee for Banking Supervision (BCBS) Bank Financial Strength Ratings (BFSR) Bank for International Settlements (BIS) Bank of England (BoE) basic indicator approach (BIA) basis points (bps) basis point value (BPV) British Bankers Association (BBA) business as usual (BAU) capital adequacy directive (CAD) Capital Requirements Directive (CRD) certificates of deposit (CDs) cheapest-to-deliver (CTD) Chicago Board of Trade (CBOT) Chicago Board Options Exchange (CBOE) chief executive officer (CEO) chief operating officer (COO) chief risk officer (CRO) collateralised debt obligations (CDO) collaterised loan obligations (CLOs) commercial mortgage-backed securities (CMBS) commercial paper (CP) Committee of European Banking Supervisors (CEBS) consumer price index (CPI) contingency funding plan (CFP) contingent convertible (CoCo) 869
2 870 List of Terms and their Abbreviations cost of capital (CoC) cost of funds (COF) countercyclical capital buffer (CCB) credit default swap (CDS) credit-linked note (CLN) credit rating agencies (CRA) credit support annexe (CSA) credit value adjustment (CVA) debt service coverage ratio (DSCR) debt value adjustment (DVA) discount window facility (DWF) dollar value of a basis point (DVBP) earnings-at-risk (EAR) earnings before interest and tax (EBIT) earnings before interest, taxes, depreciation and amortisation (EBITDA) earnings per share (EPS) Economic Cycle Research Institute (ECRI) Enhanced Capital Notes (ECN) EuroCommercial Paper (ECP) European Central Bank (ECB) European Economic Area (EEA) Executive Credit Committee (ECC) Executive Management Committee (ExCo) expected loss (EL) expected negative exposure (ENE) expected positive exposure (EPE) expected spread (ES) exposure-at-default (EAD) external credit assessment institutions (ECAIs) Financial Services Authority (FSA) firm liquidity pricing (FLP) first-to-default (FtD) floating rate notes (FRNs) foreign exchange (FX) forward rate agreements (FRAs) funds transfer pricing (FTP) Generally Accepted Accounting Principles (GAAP) general collateral (GC) Global Financial Crisis (GFC) Global Master Repurchase Agreement (GMRA) Global Master Securities Lending Agreement (GMSLA) Group Asset Liability Committee (GALCO)
3 List of Terms and their Abbreviations 871 guaranteed investment contract (GIC) Gulf Cooperation Council (GCC) high net worth individuals (HNWIs) hold-to-maturity (HTM) independent and identically distributed (iid) Independent Commission on Banking (ICB) individual liquidity adequacy assessment (ILAA) individual liquidity adequacy standards (ILAS) internal assessment approach (IAA) internal capital adequacy assessment process (ICAAP) internal funding rate (IFR) internal ratings-based (IRB) approach International Financial Reporting Standards (IFRS) International Monetary Fund (IMF) International Accounting Standards (ISA) International Swap and Derivative Association (ISDA) interest-rate-risk (IRR) interest-rate swap (IRS) intra-group lending (IGL) integrated group (IG) investment banking (IB) key performance indicators (KPIs) leading economic indices (LEI) lender-of-last-resort (LoLR) letter of credit (LoC) liquid asset buffer (LAB) liquidity coverage ratio (LCR) liquidity risk factor (LRF) liquidity risk profile (LRP) loan-to-deposit ratio (LTD) loan-to-value (LTV) London Clearing House (LCH) London inter-bank bid rate (Libid) London inter-bank offered rate (Libor) London International Financial Futures and Options Exchange (LIFFE) long term (LT) Long Term Capital Management (LTCM) loss-given-default (LGD) loss volatility (LV) management information (MI) medium-term notes (MTMs)
4 872 List of Terms and their Abbreviations mergers and acquisitions (M&A) Middle East and North Africa (MENA) middle office (MO) Monetary Policy Committee (MPC) mortgaged-backed securities (MBS) net interest income (NII) net interest margin (NIM) net present value (NPV) net stable funding ratio (NSFR) non-executive directors (NEDs) non-integrated group (NIG) non-interest bearing liabilities (NIBLs) non-performing loans (NPLs) observed behavioural forecasting (OBF) ordinary least squares (OLS) Organisation for Economic Cooperation and Development (OECD) over-collatereralisation (OC) over-the-counter (OTC) overnight index swap (OIS) payment-to-income ratio (PTI) present value (PV) present value of a basis point (PVBP) primary loss absorbing capacity (PLAC) principal component analysis (PCA) probabilities of default (PD) profit and loss (P&L) ratings-based approach (RBA) recovery rate (RR) research and development (R&D) residential mortgage-backed securities (RMBS) return on risk-adjusted capital (RORAC) return on assets (RoA) return on capital (RoC) return on capital employed (ROCE) return on equity (ROE) revolving credit facility (RCF) risk-adjusted return on capital (RAROC) risk-sensitive assets (RSA) risk-sensitive liabilities (RSL) risk-weighted assets (RWA) sample regression function (SRF) shareholder value-added (SVA)
5 List of Terms and their Abbreviations 873 short term (ST) significant risk transfer (SRT) small and medium-size corporates (SMEs) special purpose company (SPC) special purpose entity (SPE) Standard & Poor s (S&P) special purpose vehicle (SPV) standardised approach (SA) stress testing and scenario analysis (STSA) stressed VaR (SVaR) structured investment vehicle (SIV) supervisory formula (SF) systemically important financial institutions (SIFIs) term asset-backed loan facility (TALF) term liquidity premium (TLP) terms of reference (ToR) total return swap (TRS) too big to fail (TBTF) Treasury bill (T-bill) UK Independent Commission on Banking (ICB) US Commercial Paper (USCP) value-at-risk (VaR) weighted-average cost of capital (WAC or WACC) weighted-average cost of funds (WACF) weighted-average life (WAL) weighted-average maturity (WAM) year-on-year (yoy) yield curve fitting (YCF) yield-to-maturity (YTM)
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