An Introduction to Repo Markets, Third Edition

ABBREVIATIONS

ABN	Asset Backed loan Note
ABS	Asset Backed Securities
ALB	Asset Liability Management
BBA	British Bankers Association
BIS	Bank for International Settlements
BMA	Bond Market Association
BoE	Bank of England
bp, bps	Basis point(s)
CAD	Capital Adequacy Directive
CD	Certificate of Deposit
CDO	Collateralised Debt Obligation
CGO	Central Gilts Office
CMBS	Commercial Mortgage Backed Security
CP	Commercial Paper
CSFB	Credit Suisse First Boston
CTD	Cheapest To Deliver
DBV	Delivery By Value
DVP	Delivery Versus Payment
EAD	Exposure At Default
ECU	European Currency Unit (former term for
EDSP	′euro′) Exchange Delivery Settlement Price
EL	Expected Loss
EURIBOR, Euribor	EURo InterBank Offered Rate
FRA	Forward Rate Agreement
FRN	Floating Rate Note
FV	Future Value
GC	General Collateral
GEMM	Gilt Edged Market Maker
GESLA	Gilt Edged Stock Lending Agreement
GMRA	Global Master Repurchase Agreement
HIC	Hold In Custody
ICMA	International Capital Markets Association
IRB	Internal Risk Based
IRR	Implied Repo Rate
ISDA	International Swap Dealers Association
ISMA	International Securities Market Association
LGD	Loss Given Default
LIBID, Libid	London Interbank BID rate
LIBOR, Libor	London InterBank Offered Rate
LIFFE	London International Financial Futures Exchange
M	Remaining Maturity of an asset
MBS	Mortgage Backed Securities
MRA	Master Repurchase Agreement
NPV	Net Present Value
OECD	Organisation for Economic Cooperation and Development
O/N	Overnight
OSLA	International Stock Lenders Association
OTC	Over The Counter
PD	Probability of Default
PSA	Public Securities Association
PTE	Portuguese Treasury ...