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date: 21 February 2018

(p. xxix) List of Abbreviations

(p. xxix) List of Abbreviations

ABCP

asset-backed commercial paper

ABS

asset-backed securities

ACH

automated clearing house

ADB

Asian Development Bank

ADEBA

Asociación de Bancos Privados de Capital Argentino

AEI

American Enterprise Institute for Public Policy Research

AMA

advanced measurement approach

AMLF

asset-backed [commercial paper] money-market-fund liquidity facility

APR

annual percentage rate

ARM

adjustable rate mortgage

ASRF

asymptotic single risk factor

ATM

automated teller machine

BBA

British Bankers' Association

BCBS

Basel Committee on Bank Supervision

BCCI

Bank of Credit and Commerce International

BCRA

Banco Central de la República Argentina

BHC

bank holding company

BIS

Bank for International Settlements

bps

basis points

C and I

commercial and industrial

CAD

Capital Adequacy Directive

CAPM

capital asset pricing model

CAR

cumulative abnormal return

CB

central bank

CBC

commercial bank clearinghouse

CBO

collateralized bond obligation

CBOT

Chicago Board of Trade

CCF

credit conversion factor

certificate of deposit

CDF

cumulative distribution function

CDO

collateralized debt obligation

CDS

credit default swap

CEE

Central Eastern Europe

CEPR

Centre for Economic Policy Research

CESifo

Center for Economic Studies Institute for Economic Research

CFS

Center for Financial Studies

CFTC

Commodity Futures Trading Commission

CGFS

Committee on the Global Financial System

CHIPS

Clearing House Interbank Payments System

CLO

collateralized loan obligation

CLS

continuous linked settlement

CLTV

combined loan to value

CME

Chicago Mercantile Exchange

CMO

collateralized mortgage obligation

CORI

Contracting and Organizations Research Institute

CPDO

constant proportion debt obligation

CPI

consumer price index

CRA

credit rating agency

CRO

credit rating organization

DOJ

Department of Justice

DVP

delivery versus payment

EAD

exposure at default

EAIEL

East Asian International Economic Law and Policy Program

EBRD

European Bank for Reconstruction and Development

ECB

European Central Bank

ECLAC

Economic Commission for Latin America and the Caribbean

EFA

Employers Forum on Age

EL

expected loss

ELA

emergency liquidity assistance

EME

emerging market economies

ESC

économies, sociétés, civilisations

ESRC

Economic and Social Research Council

ETA

electronic transfer account

ETF

Exchange-traded fund

extreme-value theory

FASB

Financial Accounting Standards Board

FASIT

financial asset securitization investment trust

FDI

foreign direct investment

FDIC

Federal Deposit Insurance Corporation

FDICIA

Federal Deposit Insurance Corporation Improvement Act (1991)

FEEM

Fondazione Eni Enrico Mattei

FHA

Federal Housing Authority

FHLB

Federal Home Loan Bank

FICO

Fair Isaac Corporation

FIRREA

Financial Institutions Reform, Recovery and Enforcement Act (1989)

FRBNY

Federal Reserve Bank of New York

FRBSF

Federal Reserve Bank of San Francisco

FSA

Financial Services Authority

FSAP

Financial Services Action Plan

FSCS

Financial Services Compensation Scheme

FSLIC

Federal Savings and Loan Insurance Corporation

FSU

former Soviet Union

FTC

Federal Trade Commission

GATS

General Agreement on Trade in Services

GDP

gross domestic product

GLBA

Gramm-Leach-Bliley Act

GNMA

Government National Mortgage Association

GSE

government-sponsored enterprise

HEL

home equity loan

HHI

Herfindahl-Hirschman Index

HMDA

Home Mortgage Disclosure Act

HMSO

Her Majesty's Stationery Office

IADB

Inter-American Development Bank

IBBEA

Interstate Banking and Branching Efficiency Act

ICBA

International Credit Brokers Alliance

ICBC

Industrial and Commercial Bank of China

IFRS

International Financial Reporting Standards

IMF

International Monetary Fund

IPO

initial public offering

internal ratings based

ISDA

International Swap Dealers Association

JPMC

JPMorgan Chase & Co.

KMV

Kealhofer, McQuown, and Vasicek

LBO

leveraged buyout

LCBO

large and complex banking organization

LCFIs

large complex financial institutions

LGD

loss given default

LIBOR

London InterBank Offered Rate

LOLR

lender of last resort

LSE

London School of Economics

LTCM

Long-Term Capital Management

LVPS

large-value payment system

M&A

mergers and acquisitions

MBS

mortgage-backed securities

MFN

most favored nation

MMMF

money market mutual fund

MSA

Metropolitan Statistical Area

NASDAQ

National Association of Securities Dealers Automated Quotations

NBER

National Bureau of Economic Research

NCAER

National Council for Applied Economic Research

NEIO

New Empirical Industrial Organization

NRB

net regulatory benefit (or burden)

NRSRO

Nationally Recognized Statistical Rating Organization

NYSE

New York Stock Exchange

OCC

Office of the Comptroller of the Currency

OECD

Organization for Economic Cooperation and Development

OFHEO

Office of Federal Housing Enterprise Oversight

OIS

overnight index swap

OMO

open-market operations

OTC

over the counter

OTS

Office of Thrift Supervision

PCA

prompt corrective action

PD

probability of default

PE

private equity

PMI

Private Mortgage Insurance

payment versus payment

QSPE

qualifying special purpose entity

QSPV

qualifying special purpose vehicle

RAROC

risk-adjusted return on capital

RBCR

risk-based capital ratio

REIT

real estate investment trust

REMIC

real estate mortgage conduit

RFC

Reconstruction Finance Corporation

RIC

regulated investment company

RIETI

Research Institute of Economy, Trade, and Industry

RMBS

residential-mortgage-backed securities

ROA

return on assets

ROE

return on equity

RTGS

real-time gross settlement

RWA

risk-weighted assets

SBCS

small business credit scoring

SCF

Survey of Consumer Finance

SCP

Structure—Conduct—Performance

SEC

Securities and Exchange Commission

SEE

South Eastern Europe

SEIR

structured early intervention and resolution

SIFMA

Securities Industry and Financial Markets Association

SIPC

Securities Investor Protection Corporation

SIV

structured investment vehicle

S&L

savings and loans

SME

small and medium sized enterprise

SOCB

state-owned commercial bank

SOE

state-owned enterprise

SPD

stress probability of default

SPE

special purpose entity

SPV

special purpose vehicle

SSBF

Survey of Small Business Finance

SUERF

Société Universitaire Européenne de Recherches Financières

TAF

term auction facility

Tankan

kigyō tanki keizai kansoku chōsa

Trans-European automated real-time gross settlement express transfer

TARP

Troubled Asset Relief Program

T-Bill

Treasury Bill

TBTF

too big to fail

TIIE

twenty-eight-day interbank equilibrium interest rate

UL

unexpected loss

VAR

value-at-risk

VIE

variable interest entity