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Gleeson on the International Regulation of Banking, 3rd Edition by Gleeson, Simon (30th August 2018)

List of Abbreviations

From: Gleeson on the International Regulation of Banking (3rd Edition)

Simon Gleeson

From: Oxford Legal Research Library (http://olrl.ouplaw.com). (c) Oxford University Press, 2015. All Rights Reserved. Subscriber: null; date: 12 December 2018

  • ABCP

    asset backed commercial paper

  • A-IRB

    advanced IRB

  • AMA

    advanced measurement approach

  • ASF

    available stable funding

  • ASRF

    asymptotic single risk factor

  • AVC

    asset value correlation

  • BA-CVA

    basic approach to CVA

  • BCBS

    Basel Committee on Banking Supervision

  • BI

    business indicator

  • BIC

    business indicator component

  • BIS

    Bank for International Settlements

  • CAD

    Capital Adequacy Directive

  • CCF

    credit conversion factor

  • CCP

    central counterparty

  • CCR

    counterparty credit risk

  • CDO

    collateralized debt obligation

  • CDS

    credit default swap

  • CEBS

    Committee of European Banking Supervisors

  • CECL

    current expected credit loss

  • CEM

    current exposure method

  • CESR

    Committee of European Securities Regulators

  • CF

    Commodities Finance

  • CFD

    contract for differences

  • CFP

    contingency funding plan

  • CIU

    collective investment undertakings

  • CLN

    credit linked note

  • CM

    clearing member

  • CNCOM

    concentration risk capital component

  • CP

    commercial paper

  • CRD

    EU capital requirements directive

  • CRE/RRE

    commercial and residential real estate

  • CRM

    credit risk mitigation

  • CRR

    counterparty credit risk requirement

  • CSA

    credit support annex

  • CSRBB

    credit spread risk in the banking book

  • CTP

    correlation trading portfolio

  • CVA

    credit valuation adjustment

  • D-SIB

    domestic systemically important bank

  • DSCR

    debt service coverage ratio

  • DTA

    deferred tax asset

  • (p. xxx) DTL

    deferred tax loss

  • DvP

    delivery against payment

  • EAD

    exposure at default

  • EBA

    European Banking Authority

  • ECAI

    external credit assessment institution

  • ECL

    expected credit loss

  • EE

    effective exposure level

  • EEA

    European Economic Area

  • EL

    expected loss

  • ELBE

    estimate of expected loss

  • EPE

    effective positive exposure

  • ESMA

    European Securities and Markets Authority

  • EU

    European Union

  • EU CRR

    The EU Capital Requirement Regulation

  • EUL

    expected and unexpected loss

  • FDIC

    Federal Deposit Insurance Corporation

  • F-IRB

    foundation IRB

  • FMI

    future margin income

  • FRA

    forward rate agreement

  • FRTB

    Fundamental Review of the Trading Book

  • FCA

    Financial Conduct Authority

  • FSB

    Financial Stability Board

  • FVA

    funding value adjustment

  • GAAP

    Generally Accepted Accounting Principles

  • G-SIB

    global systemically important bank

  • G-SII

    global systemically important institution

  • HHI

    Herfindahl-Hirschman index

  • HQLA

    high-quality liquid assets

  • HLA

    higher loss absorbency

  • HVCRE

    High-volatility Commercial Real Estate

  • IAA

    internal assessment approach

  • ICA

    independent collateral amounts

  • ICAAP

    internal capital adequacy assessment process

  • IFRS

    International Financial Reporting Standards

  • ILAA

    Individual Liquidity Adequacy Assessment

  • ILAS

    Individual Liquidity Adequacy Standards

  • ILM

    internal loss multiplier

  • IMM

    internal model method

  • IPRE

    income-producing real estate

  • IRB

    internal ratings-based

  • IRC

    incremental risk charge

  • IRRBB

    interest rate risk in the banking book

  • ISDA

    International Swaps and Derivatives Association

  • JTD

    jump-to-default

  • KRI

    key risk indicators

  • LCR

    liquidity coverage ratio

  • LE

    large exposure

  • LGD

    loss given default

  • (p. xxxi) LTV

    Loan to Value

  • MDB

    multilateral development bank

  • MREL

    minimum requirement for eligible liabilities

  • MiFID

    Markets in Financial Instruments Directive

  • MPE

    multiple points of entry

  • MPOR

    margin period of risk

  • MSR

    mortgage servicing right

  • MT

    tranche maturity

  • MTA

    minimum transfer amount

  • NCLEG

    non-core large exposure group

  • NICA

    net independent collateral amount

  • NIMM

    non-investment models method

  • NMRF

    non-modellable risk factor

  • NSFR

    net stable funding ratio

  • OBS

    off-balance sheet

  • OECD

    Organisation for Economic Co-operation and Development

  • OF

    object finance

  • OTC

    over the counter

  • P&L

    profit and loss

  • PCA

    prompt corrective action

  • PD

    probability of default

  • PF

    Project Finance

  • PFCE

    potential future credit exposure

  • PFE

    potential future exposure

  • PRA

    position risk adjustment or Prudential Regulation Authority

  • PRR

    position risk requirement

  • PSE

    public sector entity

  • PvP

    payment against payment

  • QCCPs

    qualifying CCPs

  • QRRE

    qualifying revolving retail exposures

  • RBA

    ratings-based approach

  • RDS

    reference data set

  • repo

    repurchase agreement

  • RMG

    risk management and governance

  • RSF

    required stable funding

  • RWAs

    risk-weighted assets

  • SA

    standardized approach

  • SA-CCR

    standardized approach to counterparty credit risk

  • SA-CVA

    standardized approach to CVA

  • SA-TB

    standardized approach to the trading book

  • SD

    supervisory duration

  • SEC-ERBA

    securitization external ratings-based approach

  • SEC-IRBA

    securitization internal ratings-based approach

  • SEC-SA

    securitization standardized approach

  • SFA

    supervisory formula approach

  • SFT

    securities financing transaction

  • SIFI

    systemically important financial institution

  • SIV

    structured investment vehicle

  • (p. xxxii) SL

    specialized lending

  • SLRP

    supervisory liquidity review process

  • SPE

    single point of entry

  • SPV/SPE

    special purpose vehicle/special purpose entity

  • SSPE

    securitization special purpose entity

  • STC

    simple, transparent and comparable

  • SVaR

    stressed VaR

  • TH

    transfer threshold

  • TLAC

    total loss-absorbing capacity

  • UL

    unexpected loss

  • UK

    United Kingdom

  • US

    United States

  • VaR

    value at risk

  • VRDN

    variable rate demand note

  • WtS

    weighted to short