Appendix B
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 | Annualised 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 |
| BoE | Bank of England |
| BSA | Building Societies Association |
| CA | Capital Allocation |
| CD | Certificate of Deposit |
| CDO | Collateralised Debt Obligation |
| CDS | Credit Default Swap |
| CP | Commercial Paper |
| CRD IV | Capital Requirements Directive IV |
| CSA | Credit Support Annexe |
| CVA | Credit Valuation Adjustment |
| 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 |
| FTP | Funds Transfer Pricing |
| FVA | Funding Valuation Adjustment |
| FX | Foreign Exchange |
| GC | General Collateral |
| GMRA | Global Master Repurchase Agreement |
| HQLA | High Quality Liquid Assets |
| IA | Initial Amount |
| IAA | Internal Assessment Approach |
| ICAAP | Internal Capital Adequacy Assessment Process |
| ILAAP | Individual Liquidity Adequacy Assessment Process |
| IM | Initial Margin |
| IR | Interest Rate |
| IRB | Internal Ratings Based |
| IRR | Internal Rate of Return |
| ISDA | International Swaps and Derivatives Association |
| LAB | Liquid Asset Buffer |
| LCR | Liquidity Coverage Ratio |
| LG | Letter 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 |
| LTD | Loan To Deposit |
| LTV | Loan To Value |
| M | Maturity |
| MATIF | French Futures Exchange |
| MPC | Monetary Policy Committee |
| MTN | Medium‐Term Note |
| NED | Non‐Executive Director |
| NIBL | Non‐Interest‐Bearing Liability |
| NII | Net Interest Income |
| NPL | Non‐Performing Loan |
| NPV | Net Present Value |
| NSFR | Net Stable Funding Ratio |
| OBS | Off‐Balance‐Sheet |
| OIS | Overnight Index Swap |
| OTC | Over The Counter |
| P&L | Profit & Loss |
| PD | Probability of Default |
| PSA/ISMA | Public Securities Association/International Securities Market Association |
| PVBP | Present Value of a Basis Point |
| RBA | Ratings‐Based Approach |
| RMBS | Residential Mortgage‐Backed Security |
| ROA | Return On Assets |
| ROC | Return On Capital |
| ROE | Return On Equity |
| RPI | Retail Prices Index |
| RRP | Recovery and Resolution Plan |
| SA | Standardised Approach |
| SBU | Strategic Business Unit |
| SF | Supervisory Formula |
| SONIA | Sterling Overnight Interest Rate Average |
| SPC | Special Purpose Corporation |
| SPV | Special Purpose Vehicle |
| TLP | Term Liquidity Premium |
| TP | Transfer Price |
| TRS | Total Return Swap |
| USCP | US Commercial Paper |
| WACC | Weighted Average Cost of Capital |
| WACF | Weighted Average Cost of Funding |
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