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 ... |
