| ABCP |
Asset Backed Commercial Paper |
| ABS |
Asset Backed Security |
| AFS |
Available For Sale |
| AIG |
American International Group |
| ALM |
Asset Liability Management |
| ASF |
Available Stable Funding |
| bAJD |
basic Affine Jump Diffusion |
| BBA |
British Bankers' Association |
| BCBS |
Basel Committee on Banking Supervision |
| BSL |
Balance Sheet Liquidity |
| c.l. |
confidence level |
| CBC |
CounterBalancing Capacity |
| CC |
Central Clearing |
| CCS |
Cross Currency Swap |
| CD |
Certificate of Deposit |
| CDO |
Collateralized Debt Obligation |
| CDS |
Credit Default Swap |
| CEBS |
Committee of European Banking Supervisors |
| cfAR |
cash Flow At Risk |
| CFP |
Contingency Funding Plan |
| CIR |
Cox, Ingersoll and Ross (model) |
| CM |
Clearing Membership |
| CMBS |
Commercial Mortgage Backed Security |
| CME |
Chicago Mercantile Exchange |
| CP |
Commercial Paper |
| CPR |
Constant Prepayment Rate |
| CRT |
Credit Risk Transfer |
| CSA |
Credit Support Annex |
| CVA |
Credit Value Adjustment |
| DF |
Discount Factor |
| DVA |
Debit Value Adjustment |
| EAD |
Exposure At Default |
| EBF |
European Banking Federation |
| EC |
Economic Capital |
| EEA |
European Economic Area |
| EFC |
Expected Funding Cost |
| EL |
Expected Loss |
| ELoP |
Expected Loss on Prepayment |
| EM |
Empirical Model |
| ENE |
Expected Negative Exposure |
| Eonia |
Euro overnight index average |
| FAS |
Financial Accounting Standards |
| FASB |
Financial Accounting Standards Board |
| FC |
Funding Cost |
| FCAVL |
Forward Cumulated A Vailable Liquidity |
| FFT |
Fast Fourier Transform |
| FO |
Financial Option |
| forex, FX |
Foreign eXchange |
| FRA |
Forward Rate Agreement |
| FSA |
Financial Services Authority |
| FSB |
Federation of Small Businesses |
| FSB |
Financial Stability Board |
| FTO |
Fine-Tuning Operations |
| FTP |
Fund Transfer Pricing |
| FVA |
Funding Value Adjustment |
| FX |
Foreign eXchange |
| (G)CDS |
Global Credit Default Swap |
| G-SIFI |
Global-Systemically Important Financial Institution |
| GDP |
Gross Domestic Product |
| HLA |
High Liquidity Asset |
| HQLA |
High Quality Liquid Asset |
| IAS |
International Accounting Standards |
| IASC |
International Accounting Standards Committee |
| IFRS |
International Financial Reporting Standards |
| ILAA |
Individual Liquidity Adequacy Assessment |
| ILAS |
Individual Liquidity Adequacy Standard |
| ILG |
Individual Liquidity Guidance |
| IMF |
International Monetary Fund |
| IRS |
Interest Rate Swap |
| ISP |
Intesa SanPaolo |
| ITA |
ITAlian Treasury |
| LA |
Liquidity Adjustment |
| LB |
Liquidity Buffer |
| LBC |
Liquidity Buffer Cost |
| LCH |
London Clearing House |
| LCR |
Liquidity Coverage Ratio |
| LEA |
Liquid Equivalent Adjustment |
| LGC |
Liquidity Generation Capacity |
| Liffe |
London International Financial Futures and Options Exchange |
| LLR |
Lender of Last Resort |
| LMM |
Libor Market Model |
| LO |
Liquidity (Behavioural) Option |
| LTRO |
Long Term Refinancing Operation |
| LVA |
Liquidity Value Adjustment |
| LVA |
Liquidity Value Adjustment |
| MBS |
Mortgage Backed Security |
| MRO |
Main Refinancing Operation |
| MTA |
Minimum Transfer Amount |
| MTM |
Mark To Market |
| MTN |
Medium Term Note |
| MVAR |
Market Value At Risk |
| NCB |
National Central Bank |
| NCO |
Net Cash Outflow |
| NINJA |
No Income No Job (or) Asset |
| NML |
Non-Maturing Liability |
| NPV |
Net Present Value |
| NSFR |
Net Stable Funding Ratio |
| OAS |
Option Adjusted Spread |
| OBS |
Off Balance Sheet |
| ODE |
Ordinary Differential Equation |
| OIS |
Overnight Indexed Swap |
| OLS |
Orthogonal Least Square |
| OMO |
Open Market Operation |
| OMT |
Outright Monetary Transaction |
| ON |
Over Night |
| OTC |
Over The Counter |
| OTD |
Originate To Distribute |
| P&L |
Profit and Loss |
| PD |
Probability of Default |
| PDCF |
Primary Dealer Credit Facility |
| PDE |
Partial Differential Equation |
| PDF |
Probability Density Function |
| PFE |
Potential Future Exposure |
| PL |
Probability of Loss |
| PSE |
Public Sector Entity |
| PVA |
Price Volatility Adjustment |
| PVECF |
Present Value of the sum of Expected Capital Cash Flow |
| RFV |
Recovery of Face Value |
| RAROC |
Risk-Adjusted Return On Capital |
| RBS |
Royal Bank of Scotland |
| RI |
Refinance Incentive |
| RMBS |
Residential Mortgage Backed Security |
| RMV |
Recovery of Market Value |
| ROE |
Return On Equity |
| RPM |
Rational Prepayment Models |
| RSF |
Required Stable Funding |
| RTGS |
Real Time Gross Settlement |
| SDE |
Stochastic Differential Equation |
| SF |
Standing Facility |
| SF |
Stochastic Factor |
| SIFI |
Systemically Important Financial Institution |
| SIV |
Structured Investment Vehicle |
| SLRP |
Supervisory Liquidity Review Process |
| SMP |
Securities Market Programme |
| SP |
Survival Probability |
| SPV |
Special Purpose Vehicle |
| TA |
Total Asset |
| TAF |
Term Auction Facility |
| TARGET2 |
Trans-European Automated Real-time Gross-settlement Express Transfer |
| TARP |
Troubled Asset Relief Program |
| TLA |
Targeted Liquidity Assistance |
| TN |
TurNover |
| TPC |
Total Prepayment Cost |
| TRS |
Total Return Swap |
| TSECCF |
Term Structure of Cumulated Expected Cash Flow |
| TSECF |
Term Structure of Expected Cash Flow |
| TSFCFu |
Term Structure of Forward Cumulated Funding |
| TSFu |
Term Structure of available Funding |
| TSL_e |
Term Structure of expected Liquidity |
| TSLaR |
Term Structure of Liquidity at Risk |
| USG |
USaGe metric |
| VA |
Value Added |
| VaR |
Value at Risk |
| ZC |
Zero Coupon |
