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 |