This chapter lists the abbreviations used in the Basel Framework.

This is a future version | View current version
Effective as of: 01 Jan 2023 | Last update: 27 Mar 2020
Status: Forthcoming (View changes)

A-IRB

Advanced internal ratings-based

ABCP

Asset-backed commercial paper

ABS

Asset-backed securities

ADC 

Acquisition, development and construction

ALCO

Asset and liability management committee

AML

Anti-money-laundering

APL

Actual profit and loss

ARS

Argentine peso

ASF

Available stable funding

AT1

Additional Tier 1

AUD

Australian dollar

AUF

Additional utilisation factor

BA-CVA

Basic approach to credit valuation adjustment risk

BCP

Basel Core Principle

BF

Balance factor

BI

Business indicator

BIC

Business indicator component

BIS

Bank for International Settlements

BOR

Interbank offered rates

bp

Basis points

BRL

Brazilian real

CAD

Canadian dollar

CCBS

Cross-currency basis spread

CCF

Credit conversion factor

CCP

Central counterparty

CCR

Counterparty credit risk

CDD

Customer due diligence

CDO

Collateralised debt obligation

CDR

Cumulative default rate

CDS

Credit default swap

CDX

Credit default swap index

CET1

Common Equity Tier 1

CF

Commodities finance

CFP

Contingency funding plan

CFT

Combating the financing of terrorism

CHF

Swiss franc

CLF

Committed liquidity facility

CLO

Collateralised loan obligation

CM

Clearing member

CMBS

Commercial mortgage-backed securities

CNY

Chinese yuan renminbi

CPR

Conditional prepayment rate

CRO

Chief risk officer

CRM

Credit risk mitigation

CSR

Credit spread risk

CSRBB

Credit spread risk in the banking book

CTP

Correlation trading portfolio

CUSIP

Committee on Uniform Security Identification Procedures

CVA

Credit valuation adjustment

D-SIB

Domestic systemically important bank

DAR

Detailed assessment report

DRC

Default risk charge

DSCR

Debt service coverage ratio

DTA

Deferred tax asset

DTL

Deferred tax liability

DvP

Delivery-versus-payment

EAD

Exposure at default

ECA

Export credit agency

ECAI

External credit assessment institution

ECL

Expected credit loss

ECRA

External credit risk assessment approach

EEPE

Effective expected positive exposure

EL

Expected loss

ELGD

Expected loss-given-default

EONIA

Euro overnight index average

EPC

Engineering and procurement contract

EPE

Expected positive exposure

ES

Expected shortfall

EUR

Euro

Euribor

Euro Interbank Offered Rate

EV

Economic value

EVaR

Economic value-at-risk

EVE

Economic value of equity

F-IRB

Foundation internal ratings-based

FAQ

Frequently asked question

FATF

Financial Action Task Force

FBA

Fall-back approach

FC

Financial component

FSAP

Financial Sector Assessment Program

FSB

Financial Stability Board

FX

Foreign exchange

G-SIB

Global systemically important bank

GAAP

Generally accepted accounting practice

GBP

British pound sterling

GDP

Gross domestic product

GIRR

General interest rate risk

GSE

Government-sponsored entity

HBR

Hedge benefit ratio

HKD

Hong Kong dollar

HLA

Higher loss absorbency

HPL

Hypothetical profit and loss

HQLA

High-quality liquid assets

HVCRE

High-volatility commercial real estate

HY

High yield

IA

Independent amount

IAA

Internal assessment approach

IADI

International Association of Deposit Insurers

IAS

International accounting standard

ICA

Independent collateral amount

ICAAP

Internal capital adequacy assessment process

IDR

Indonesian rupiah

IFRS

International financial reporting standard

IG

Investment grade

ILDC

Interest, leases and dividend component

ILM

Internal loss multiplier

IM

Initial margin

IMA

Internal models approach

IMF

International Monetary Fund

IMM

Internal models method

IMS

Internal measurement systems

INR

Indian rupee

IOSCO

International Organization of Securities Commissions

I/O

Interest-only strips

IPRE

Income-producing real estate

IRB

Internal ratings-based

IRRBB

Interest rate risk in the banking book

ISDA

International Swaps and Derivatives Association

ISIN

International Securities Identification Number

IT

Information technology

JPY

Japanese yen

JTD

Jump-to-default

KRW

Korean won

KS

Kolmogorov-Smirnov

LC

Loss component

LCR

Liquidity Coverage Ratio

LF

Limit factor

LGD

Loss-given-default

LIBOR

London Interbank Offered Rate

LST

Long settlement transaction

LTA

Look-through approach

LTV

Loan-to-value ratio

LVPS

Large-value payment system

M

Effective maturity

MBA

Mandate-based approach

MBS

Mortgage-backed security

MDB

Multilateral development bank

MF

Maturity factor

MIS

Management information system

MNA

Master netting agreement

MPE

Multiple point of entry

MPOR

Margin period of risk

MSR

Mortgage servicing right

MTA

Minimum transfer amount

MTM

Mark-to-market

MXN

Mexican peso

NA

Not applicable

NGR

Net-to-gross ratio

NICA

Net independent collateral amount

NII

Net interest income

NMD

Non-maturity deposit

NMRF

Non-modellable risk factor

NOK

Norwegian krone

NR

Non-rated

NSFR

Net stable funding ratio

NZD

New Zealand dollar

O&M

Operations and maintenance

OBS

Off-balance-sheet

OC

Overcollateralisation

OECD

Organisation for Economic Cooperation and Development

OF

Object finance

OIS

Overnight index swaps

ORC

Operational risk capital requirements

OTC

Over-the-counter

P&L

Profit and loss

PD

Probability of default

PF

Project finance

PFE

Potential future exposure

PLA

Profit and loss attribution

PONV

Point of non-viability

PSE

Public sector entity

PV

Present value

PVA

Prudential valuation adjustment

QCCP

Qualifying central counterparty

QRRE

Qualifying revolving retail exposures

RC

Replacement cost

RCLF

Restricted-use committed liquidity facility

RFET

Risk factor eligibility test

RMBS

Residential mortgage-backed security

ROSC

Report on the Observance of Standards and Codes

ROU

Right-of-use

RRAO

Residual risk add-on

RSF

Required stable funding

RTPL

Risk-theoretical profit and loss

RUB

Russian ruble

RWA

Risk-weighted assets

S&P

Standard and Poor's

SA

Standardised approach

SA-CCR

Standardised approach for counterparty credit risk

SA-CVA

Standardised approach to credit valuation adjustment risk

SAR

Saudi Arabian riyal

SC

Services component

SCRA

Standardised credit risk assessment approach

SEC-SA

Securitisation standardised approach

SEC-ERBA

Securitisation external ratings-based approach

SEC-IRBA

Securitisation internal ratings-based approach

SEK

Swedish krona

SES

Stressed expected shortfall

SF

Supervisory factor

SFT

Securities financing transaction

SGD

Singapore dollar

SIB

Systemically important bank

SIV

Structured investment vehicle

SL

Specialised lending

SME

Small or medium-sized entity

SPE

Special purpose entity

SPV

Special purpose vehicle

STC

Simple, transparent and comparable

STM

Settled-to-market

TDRR

Term deposit redemption rate

TLAC

Total loss-absorbing capacity

TRS

Total return swap

TRY

Turkish lira

UCITS

Undertakings for collective investments in transferable securities

UL

Unexpected loss

ULF

Undrawn limit factor

USD

United States dollar

VaR

Value-at-risk

VM

Variation margin

WTI

West Texas Intermediate

ZAR

South African rand