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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