List of Abbreviations

asset-backed security

automated clearinghouse

advanced measurement approaches

asset backed commercial paper money market mutual fund liquidity facility

Asset Quality Review

adjustable rate mortgage

available stable funding

asymptotic-single-risk-factor

automated teller machine

asset-value correlation

Basel Committtee on Banking Supervision

bank holding company

Bank for International Settlements

Capital Asset Pricing Model

central bank

commercial bank clearinghouse

Chicago Board of Trade

credit conversion factor

certificates of deposit

collateralized debt obligation

credit default swap

Central Eastern Europe

Commodity Futures Trading Commission

credit guarantee corporations

Clearinghouse Interbank Payments SystemCLO collateralized debt obligation

combined loan-to-value

Chicago Mercantile Exchange

collateralized mortgage obligation

Contagion Value at Risk

commercial paper

commercial paper funding facility

Fourth Capital Requirements Directive

credit spread

credit valuation adjustments

exposure at default

European Banking Authority

European Central Bank

expected loss

emergency liquidity assistance

efficient market hypothesis

expected shortfall

extreme-value theory

Federal Deposit Insurance Corporation

Federal Deposit Insurance Corporation Improvement Act

Federal Home Loan Mortgage Corporation (or Freddie Mac)

foundation internal ratings-based (approach)

Funding for Lending Scheme

Federal National Mortgage Association (or Fannie Mae)

Financial Stability Board

Federal Savings and Loan Insurance Corporation

former Soviet Union

Gramm–Leach–Bliley Act

Government National Mortgage Association (also called Ginnie Mae)

global systemically important banksHELOC home equity line of credit

Herfindahl–Hirschman indices

high-quality liquid assets

International Association of Insurance Supervisors

International Accounting Standards Board

industrial organization

International Organization of Securities Commissions

internal-ratings-based (approach)

large, complex financial institution

least cost resolution

liquidity coverage ratio

downturn loss-given-default

London Interbank Offered Rate

liquidity mismatch index

long-term refinancing operations

mergers and acquisitions

mortgage-backed security

Mortgage Electronic Registration System

marginal expected shortfall

money market fund

money market investment fund facility

money market mutual fund

net cash outflows

new empirical industrial organization

net stable funding ratio

Office of the Comptroller of the Currency

Orderly Liquidation Authority

open market operations

over-the-counter

originate-to-distribute

originate-to-hold

Office of Thrift Supervision

prompt corrective action

probability of default

Primary Dealer Credit Facility

risk-adjusted return on capital

risk-based capital ratio

randomized controlled trials

real estate mortgage investment conduits

residential mortgage-backed security

return on assets

return on equity

real-time gross settlement

required amount of stable funding

risk-weighted assets

small business credit scoring

Survey of Consumer Finances

structure-conduct-performance

structured early intervention and resolution

systemic expected shortfall

systemically important bank

systemically important financial institution

structured investment vehicle

small and medium-size enterprises

subordinated notes and/or bonds

special purpose vehicle

South Eastern Europe

Single Supervisory Mechanism

Term Auction Facility

Term Asset-Backed Securities Loan Facility

Troubled Asset Relief Program

too-big-to-fail

Term Securities Lending Facility

unexpected loss

Value at Risk

very long term refinancing operations