Counter party Credit Risk Abbrevetions

ABS Asset-Backed Security
AIG American International Group Inc.
AIGFP AIG Financial Product
ASW Asset SWap
ATE Additional Termination Event
BCBS Basel Committee on Banking Supervision
BCVA Bilateral Credit Value Adjustment
BSM Black–Scholes–Merton
CAPM Capital Asset Pricing Model
CCDS Contingent Credit Default Swap
CCF Credit Conversion Factor
CCP Central CounterParty
CDO Collateralised Debt Obligation
CDPC Credit Derivative Product Company
CDS Credit Default Swap
CEM Current Exposure Method
CF CashFlow
CFTC Commodity Futures Trading Commission
CLN Credit-Linked Note
CPPI Constant Proportion Portfolio Insurance
CPU Central Processing Unit
CRG Counterparty Risk Group
CSA Credit Support Amount
CSO Collateralised Synthetic Obligation
CVA Credit Value Adjustment
DBL Drexel–Burnham–Lambert
DC Determination Committee
DD Distance to Default
DPC Derivatives Product Company (or Corporation)
EAD Exposure At Default
EDF Expected Default Frequency
EE Expected Exposure

EEPE Effective Expected Positive Exposure
EPE Expected Positive Exposure
ERM Enterprise Risk Management
ETO Early Termination Option
EVT Extreme Value Theory
FX Foreign eXchange
G10 Group of Ten
GCM General Clearing Member
ICM Individual Clearing Member
IMM Internal Model Method; International Monetary Market
IRB Internal Ratings Based
IRS Interest Rate Swap
ISDA International Swaps and Derivatives Association
LGD Loss Given Default
LHP Large Homogeneous Pool
LIBOR London Inter-Bank Offer Rate
LSS Leveraged Super Senior
LTCM Long Term Capital Management
MA Maturity Adjustment
MBS Mortgage-Backed Security
MMR Modified Modified Restructuring
MR Modified Restructuring
MTA Minimum Transfer Amount
MtM Mark-to-Market
NA North American
NAV Net Asset Value
NCM Non-Clearing Member
NGR Ratio of current Net exposure to current GRoss exposure
NN No Netting
NS Netting Set
OTC Over The Counter
PD Probability of Default
PFE Potential Future Exposure
PWC PriceWaterhouseCooper
RC Regulatory Capital
RED Reference Entity Database
S&P Standard & Poor
SFAS Standards of Financial Accounting Statement
SFT Structured Finance Transaction
SIV Structured Investment Vehicle
SM Standardised Method
SPAN Standard Portfolio Analysis of Risk
SPE Special Purpose Entity
SPV Special Purpose Vehicle
TRS Total Return Swap
VAR Value-at-Risk
WR Withdrawn Rating