Frequently Used Abbreviations

ABS Asset-Backed Securities ADV Average Daily Volume ANOVA Analysis of Variance AP Authorized Participant APG Aladdin Product Group ARRC Alternative Reference Rates Committee ARRs Alternative Reference Rates ATM At-the-Money or Automated Teller Machine ATR Alpha Target Ratio AUM Assets Under Management AVaR Analytical VaR BGRI BlackRock Geopolitical Risk Indicator BLK BlackRock BoE Bank of England BP Basis Point BSRMF Buy Side Risk Managers Forum BWIC Bids Wanted in Competition CCD Coupon Curve Duration CCost Cost of Carry CCP Central Counterparty CDF Cumulative Distribution Function CDS Credit Default Swap CDX Credit Default Swap Index CIO Chief Investment Officer CLO Collateralized Loan Obligation CM Clearing Member CMBS Commercial Mortgage-Backed Securities CMRA Capital Market Risk Advisors CP Commercial Paper CPR Conditional Prepayment Rate CRO Chief Risk Officer CSA Collateral Support Agreement CTF Collective Trust Fund CTR Contribution to Risk CVaR Conditional VaR DxS Duration Times Spread EHVaR Enhanced HVaR EM Emerging Markets EMH Efficient Market Hypothesis ERM Exchange Rate Mechanism ES Expected Shortfall ESG Environmental, Social, and Governance ?STR Euro Short-Term Rate ETD Exchange-Traded Derivative ETF Exchange-Traded Fund ETP Exchange-Traded Product EWMA Exponentially Weighted Moving Average FCA Financial Conduct Authority FCM Futures Commission Merchant FINRA Financial Industry Regulatory Authority FSB Financial Stability Board FSOC Financial Stability Oversight Council FX Foreign Exchange GDP Gross Domestic Product GFC Global Financial Crisis GNMAII MBS Ginnie Mae Mortgage-Backed Security HF Hedge Fund HRaR Historical Redemption-at-Risk HROR Horizon Rate of Return HVaR Historical VaR HY High Yield IBORs Interbank Offered Rates ICTR Incremental Contribution to Risk IG Investment Grade IM Initial Margin IMA Investment Management Agreement IOSCO International Organization of Securities Commissions IR Information Ratio IRMP Investment Risk Management Paradigm ISDA International Swaps and Derivatives Association ITM In-the-Money ITRM Idiosyncratic Tail Risk Multiplier KRBC Key Rate Bucket Convexities KRD Key Rate Duration LCR Liquidity Coverage Ratio LDI Liability-Driven Investment LIBOR London Interbank Offered Rate LTV Loan to Value LVNAV Low Volatility Net Asset Value MBS Mortgage-Backed Securities MCTR Marginal Contribution to Risk MD Mahalanobis Distance MDS Market-Driven Scenario MiFID II Markets in Financial Instruments Directive MMF Money Market Fund MPO Multi-Period Optimization MRAC Market Risk Advisory Committee MSQE Mean-Squared Error MTB Mortgage/Treasury Basis MWCB Market Wide Circuit Breaker NAV Net Asset Value NBFI Non-Bank Financial Intermediation OAC Option-Adjusted Convexity OAD Option-Adjusted Duration OAS Option-Adjusted Spread OAV Option-Adjusted Value OCC Office of the Comptroller of the Currency OIS Overnight Index Swaps OLS Ordinary Least Squares OTC Over-the-Counter OTM Out-of-the-Money OTR On-the-Run OTS Office of Thrift Supervision OWIC Offers Wanted in Competition P&L Profit and Loss PCA Principal Components Analysis PEPP Pandemic Emergency Purchase Programme PFMI Principles for Financial Market Infrastructure PQD Public Quantitative Disclosure PROC Portfolio Risk Oversight Committee PRV Purchase Redemption Value PTF Proprietary Trading Firm REITs Real Estate Investment Trusts RFQ Request for Quote RFR Risk-Free Rates RPT Risk and Performance Targets RQA Risk & Quantitative Analysis SAR Standalone Risk SARON Swiss Average Rate Overnight SEC Securities and Exchange Commission SEF Swap Execution Facility SOCP Second Order Conic Programming SOFR Secured Overnight Financing Rate SONIA Sterling Overnight Index Average SPACs Special Purpose Acquisition Companies STRM Systematic Tail Risk Multiplier T-cost Transaction Cost TONA Tokyo Overnight Average Rate TRACE Trade Reporting and Compliance Engine TRS Total Return...