Appendix C

ABBREVIATIONS AND ACRONYMS

ABCP Asset-Backed Commercial Paper
ABS Asset-Backed Security
AER Annual Equivalent Rate
ALCO Asset–Liability COmmittee
ALM Asset Liability Management
AMA Advanced Measurement Approach
APR Annualized Percentage Rate
ASW Asset Swap Spread
BAU Business As Usual
BBA British Bankers Association
BCBS Basel Committee for Banking Supervision
BIA Basic Indicator Approach
BIS Bank for International Settlements
CA Capital Allocation
CD Certificate of Deposit
CDO Collateralized Debt Obligation
CDS Credit Default Swap
CP Commercial Paper
CRD Capital Requirements Directive
DV01 Dollar Value of loss for a 1bp rise in yields
EAD Exposure At Default
ECAI External Credit Assessment Institution
ECB European Central Bank
ECP Euro Commercial Paper
EEA European Economic Area
EURIBOR Euro Interbank Offered Rate
FI Fixed Income
FRA Forward Rate Agreement
FRN Floating Rate Note
FSA Financial Services Authority
FtD First-to-Default
FX Foreign eXchange
GC General Collateral
GMR AGlobal Master Repurchase Agreement
IAA Internal Assessment Approach
IR Interest Rate
IRB Internal Ratings Based
IRR Internal Rate of Return
ISDA International Swaps and Derivatives Association
LAB Liquid Asset Buffer
LGLetter of Guarantee
LGD Loss Given Default
LIBID London Interbank BID Rate
LIBOR London InterBank Offered Rate
LIFFE London International Financial Futures Exchange
LRF Liquidity Risk Factor
LTD Loan To Deposit
LTV Loan To Value
M Maturity
MATIF French Futures Exchange
MPC Monetary Policy Committee
MTN Medium-Term Note
NED Non-Executive Director
NIBL Non-Interest-Bearing Liability
NII Net Interest Income
NPL Non-Performing Loan
NPV Net Present Value
NSFR Net Stable Funding Ratio
OBS Off Balance Sheet
OIS Overnight Index Swap
OTC Over The Counter
P&L Profit & Loss
PD Probability of Default
PF Persistence Factor
PIBS Permanent Interest-Bearing Share
PSA/ISMA Public Securities Association/International Securities Market Association
PVBP Present Value of a Basis Point
RBA Ratings-Based Approach
RMBS Residential Mortgage-Backed Security
ROA Return On Assets
ROC Return On Capital
ROE Return On Equity
RPI Retail Prices Index
SA Standardized Approach
SBU Strategic Business Unit
SF Supervisory Formula
SIV Structured Investment Vehicle also known as Special Investment Vehicle
SONIA Sterling OverNight Interest rate Average
SPC Special Purpose Corporation
SPV Special Purpose Vehicle
TLP Transfer Liquidity Pricing, also known as Term Liquidity Premium
TP Transfer Price
TRS Total Return Swap
USC PUS Commercial Paper
WACC Weighted Average Cost of Capital
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