Glossary

ABS
Asset‐backed securities
ADI
Authorised deposit‐taking institution (Australian regulatory term)
BCBS
Basel Committee on Banking Supervision
BGM
Brace‐Gatarek‐Musiela model
BGS
Balance guarantee swap
CAF
Controlled amortisation facility
CBG
Covered bond guarantor
CDO
Collateralised debt obligation
CDS
Credit default swap
CE
Credit enhancement
CFR
Contingent funding risk
CFVA
Contingent funding valuation adjustment
CPT
Conditional pass‐through
CSA
Credit support annex
CVA
Credit valuation adjustment
DPC
Derivative product company
EM
Expected maturity
ENE
Expected negative exposure
EPE
Expected positive exposure
FBA
Funding benefit adjustment
FCA
Funding cost adjustment
FVA
Funding valuation adjustment = FCA + FBA
FX
Foreign exchange
GAAP
Generally Accepted Accounting Standards (USA)
GBM
Geometric Brownian motion
GFC
Global financial crisis
GIC
Guaranteed investment certificate
HQLA
High quality liquid asset
IASB
International Accounting Standards Board
IFRS
International Financial Reporting Standards
ISDA
International Swaps and Derivatives Association
LCR
Liquidity coverage ratio
LTP
Liquidity transfer price
KVA
Capital valuation adjustment
LFM
Legal final maturity
LIBOR
London interbank offer rate
LTV
Loan‐to‐value ratio
MLE
Maximum likelihood estimation
MTM
Mark‐to‐market
MTN
Medium term note
MVA
Margin valuation adjustment
NCCD
Non‐centrally cleared derivative
NSFR
Net stable funding ratio
OC
Over‐collateralisation
OIS
Overnight index swap
OLS
Ordinary least square ...

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