Basel II
INTERNATIONAL CONVERGENCE OF CAPITAL MEASUREMENT AND CAPITAL STANDARDS:
A REVISED FRAMEWORK - COMPREHENSIVE VERSION: JUNE 2006
BASEL COMMITTEE ON BANKING SUPERVISION
Abbreviations
| ABCP | Asset-backed commercial paper |
| ADC | Acquisition, development and construction |
| AMA | Advanced measurement approaches |
| ASA | Alternative standardised approach |
| CCF | Credit conversion factor |
| CCR | Counterparty credit risk |
| CDR | Cumulative default rate |
| CEM | Current exposure method |
| CF | Commodities finance |
| CMV | Current market value |
| CRM | Credit risk mitigation |
| DvP | Delivery-versus-payment |
| EAD | Exposure at default |
| ECA | Export credit agency |
| ECAI | External credit assessment institution |
| EPE | Expected positive exposure |
| FMI | Future margin income |
| HVCRE | High-volatility commercial real estate |
| IAA | Internal assessment approach |
| IMM | Internal model method |
| IPRE | Income-producing real estate |
| I/O | Interest-only strips |
| IRB | Internal ratings-based |
| LGD | Loss given default |
| M | Effective maturity |
| MDB | Multilateral development bank |
| NIF | Note issuance facility |
| OF | Object finance |
| PD | Probability of default |
| PF | Project finance |
| PSE | Public sector entity |
| PvP | Payment-versus-payment |
| QRRE | Qualifying revolving retail exposures |
| RBA | Ratings-based approach |
| RUF | Revolving underwriting facility |
| SF | Supervisory formula |
| SFT | Securities financing transaction |
| SL | Specialised lending |
| SM | Standard method |
| SME | Small- and medium-sized entity |
| SPE | Special purpose entity |
| UCITS | Undertakings for collective investments in transferable securities |
| UL | Unexpected loss |
