glossary.json

[
  {
    "term": "NII",
    "full_name": "Net Interest Income",
    "domain": "Finance",
    "definition": "The difference between interest earned on assets (loans, securities) and interest paid on liabilities (deposits, borrowings). NII = Interest Income − Interest Expense.",
    "formula": "interest_income - interest_expense",
    "dataset": "interest",
    "synonyms": ["interest margin income", "net interest revenue"],
    "example_prompt": "Calculate Net Interest Income by product for UK in Q1 2025",
    "unit": "currency",
    "regulatory_context": "Core profitability metric reported in earnings releases; key input to NIM."
  },
  {
    "term": "NIM",
    "full_name": "Net Interest Margin",
    "domain": "Finance",
    "definition": "Net Interest Income expressed as a percentage of average earning assets. Measures how effectively a bank earns on its interest-bearing assets relative to its funding costs.",
    "formula": "(NII / avg_earning_assets) × 100",
    "dataset": "interest",
    "synonyms": ["interest margin ratio", "net margin"],
    "example_prompt": "Show Net Interest Margin trend by product for UK in Q1 2025",
    "unit": "percentage (bps or %)",
    "regulatory_context": "Key metric in 10-K/10-Q filings; analysts track NIM compression/expansion."
  },
  {
    "term": "ECL",
    "full_name": "Expected Credit Loss",
    "domain": "Risk",
    "definition": "Forward-looking estimate of credit losses on financial instruments, calculated as the probability-weighted present value of all cash shortfalls over the expected life of the instrument.",
    "formula": "PD × LGD × EAD (simplified point-in-time estimate)",
    "dataset": "loans",
    "synonyms": ["expected loss", "credit loss provision", "loan loss reserve"],
    "example_prompt": "Compute expected credit loss for Stage 2 loans in the UK",
    "unit": "currency",
    "regulatory_context": "IFRS 9 (International) / CECL under ASC 326 (US GAAP). Required for all financial instruments at amortised cost or FVOCI."
  },
  {
    "term": "PD",
    "full_name": "Probability of Default",
    "domain": "Risk",
    "definition": "The likelihood that a borrower will fail to meet debt obligations within a given time horizon (typically 12 months for Stage 1, lifetime for Stage 2/3 under IFRS 9).",
    "formula": "Estimated from credit models, credit ratings, or transition matrices",
    "dataset": "loans",
    "synonyms": ["default probability", "default rate"],
    "example_prompt": "Show average PD by product for UK Stage 2 loans",
    "unit": "decimal (0–1) or percentage",
    "regulatory_context": "Key input to IRB (Internal Ratings-Based) approach under Basel III/IV."
  },
  {
    "term": "LGD",
    "full_name": "Loss Given Default",
    "domain": "Risk",
    "definition": "The proportion of exposure that is lost if a borrower defaults, net of recoveries. Reflects collateral quality, seniority, and workout costs.",
    "formula": "1 − Recovery Rate",
    "dataset": "loans",
    "synonyms": ["loss severity", "loss rate"],
    "example_prompt": "What is the average LGD for mortgage vs unsecured loans?",
    "unit": "decimal (0–1) or percentage",
    "regulatory_context": "Basel III/IV IRB parameter; downturn LGD required for regulatory capital."
  },
  {
    "term": "EAD",
    "full_name": "Exposure at Default",
    "domain": "Risk",
    "definition": "The total value a bank is exposed to when a borrower defaults. For drawn facilities, equals the outstanding balance; for undrawn, includes a credit conversion factor (CCF).",
    "formula": "Outstanding Balance + (CCF × Undrawn Commitment)",
    "dataset": "loans",
    "synonyms": ["credit exposure", "exposure amount"],
    "example_prompt": "Show total EAD by region for all Stage 2 loans",
    "unit": "currency",
    "regulatory_context": "Basel III/IV IRB parameter; feeds into RWA calculations."
  },
  {
    "term": "IFRS 9 Stage",
    "full_name": "IFRS 9 Impairment Stage Classification",
    "domain": "Risk",
    "definition": "Three-stage model for loan impairment: Stage 1 (performing, 12-month ECL), Stage 2 (significant increase in credit risk, lifetime ECL), Stage 3 (credit-impaired, lifetime ECL).",
    "formula": "Classification based on credit risk deterioration since origination",
    "dataset": "loans",
    "synonyms": ["impairment stage", "ECL stage", "staging"],
    "example_prompt": "Show loans that migrated from Stage 1 to Stage 2 in the last 30 days",
    "unit": "categorical (1, 2, 3)",
    "regulatory_context": "IFRS 9 Financial Instruments (effective 2018); US equivalent is CECL under ASC 326."
  },
  {
    "term": "Stage Migration",
    "full_name": "IFRS 9 Stage Migration",
    "domain": "Risk",
    "definition": "Movement of a loan between IFRS 9 stages due to changes in credit risk. Upward migration (1→2, 2→3) indicates deterioration; downward (3→2, 2→1) indicates improvement.",
    "formula": "Compare current stage_ifrs9 vs previous_stage",
    "dataset": "loans",
    "synonyms": ["stage transition", "migration analysis", "staging movement"],
    "example_prompt": "Analyse Stage 1 to Stage 2 migration for UK mortgages in January 2025",
    "unit": "count / percentage of book",
    "regulatory_context": "Key disclosure under IFRS 7; auditors and regulators scrutinise migration thresholds."
  },
  {
    "term": "NSFR",
    "full_name": "Net Stable Funding Ratio",
    "domain": "Treasury",
    "definition": "Basel III liquidity ratio measuring whether a bank has sufficient stable funding to cover its assets and off-balance-sheet exposures over a one-year horizon. Minimum requirement is ≥100%.",
    "formula": "(Available Stable Funding / Required Stable Funding) × 100",
    "dataset": "liquidity",
    "synonyms": ["stable funding ratio", "funding stability ratio"],
    "example_prompt": "Show monthly NSFR trend and flag months below 100%",
    "unit": "percentage",
    "regulatory_context": "Basel III standard; CRR2 in EU; became binding in many jurisdictions from 2021."
  },
  {
    "term": "ASF",
    "full_name": "Available Stable Funding",
    "domain": "Treasury",
    "definition": "The portion of capital and liabilities expected to be reliable over a one-year time horizon, weighted by stability factors (e.g., retail deposits get high ASF factors).",
    "formula": "Σ(carrying_value × ASF_factor) for each liability/equity category",
    "dataset": "liquidity",
    "synonyms": ["stable funding available", "available funding"],
    "example_prompt": "What is our total available stable funding for UK in Q1 2025?",
    "unit": "currency",
    "regulatory_context": "Numerator of NSFR; defined in Basel III LCR/NSFR framework."
  },
  {
    "term": "RSF",
    "full_name": "Required Stable Funding",
    "domain": "Treasury",
    "definition": "The amount of stable funding a bank needs given the liquidity characteristics and residual maturities of its assets and off-balance-sheet exposures.",
    "formula": "Σ(carrying_value × RSF_factor) for each asset category",
    "dataset": "liquidity",
    "synonyms": ["required funding", "stable funding requirement"],
    "example_prompt": "Show required stable funding by month for UK",
    "unit": "currency",
    "regulatory_context": "Denominator of NSFR; higher RSF factors for illiquid/long-dated assets."
  },
  {
    "term": "LCR",
    "full_name": "Liquidity Coverage Ratio",
    "domain": "Treasury",
    "definition": "Short-term liquidity metric: ratio of high-quality liquid assets (HQLA) to total net cash outflows over a 30-day stress period. Minimum ≥100%.",
    "formula": "HQLA / Total Net Cash Outflows (30 days) × 100",
    "dataset": "liquidity",
    "synonyms": ["liquidity ratio", "HQLA ratio"],
    "example_prompt": "Is our LCR above the 100% regulatory minimum this quarter?",
    "unit": "percentage",
    "regulatory_context": "Basel III; effective from 2015; complementary to NSFR."
  },
  {
    "term": "RWA",
    "full_name": "Risk-Weighted Assets",
    "domain": "Risk",
    "definition": "Total assets adjusted for risk to determine minimum capital requirements. Higher-risk assets receive higher weights (e.g., corporate loans > government bonds).",
    "formula": "Σ(Exposure × Risk_Weight) or via IRB models",
    "dataset": "loans",
    "synonyms": ["risk-weighted exposure", "weighted assets"],
    "example_prompt": "What are the total risk-weighted assets for UK mortgage book?",
    "unit": "currency",
    "regulatory_context": "Basel III/IV; denominator of CET1/Tier 1/Total Capital ratios."
  },
  {
    "term": "CET1 Ratio",
    "full_name": "Common Equity Tier 1 Ratio",
    "domain": "Risk",
    "definition": "Core capital adequacy measure: common equity (share capital, retained earnings, reserves minus deductions) as a percentage of risk-weighted assets.",
    "formula": "CET1 Capital / RWA × 100",
    "dataset": "loans",
    "synonyms": ["core equity ratio", "core tier 1 ratio"],
    "example_prompt": "Estimate CET1 impact from Stage 2 ECL provisions",
    "unit": "percentage",
    "regulatory_context": "Basel III minimum 4.5%; plus buffers (CCB 2.5%, G-SIB surcharge 1–3.5%)."
  },
  {
    "term": "VaR",
    "full_name": "Value at Risk",
    "domain": "Risk",
    "definition": "Statistical measure of the maximum potential loss on a portfolio over a given time horizon at a specified confidence level (e.g., 99% 1-day VaR).",
    "formula": "Depends on method: historical simulation, parametric, or Monte Carlo",
    "dataset": "loans",
    "synonyms": ["value-at-risk", "market risk VaR"],
    "example_prompt": "What is the 99% 1-day VaR for the trading book?",
    "unit": "currency",
    "regulatory_context": "FRTB (Fundamental Review of the Trading Book) under Basel III.1."
  },
  {
    "term": "Structuring",
    "full_name": "Structuring (Smurfing)",
    "domain": "AML",
    "definition": "Breaking large cash transactions into smaller amounts below regulatory reporting thresholds to avoid triggering suspicious activity reports (SARs). Also known as smurfing.",
    "formula": "Heuristic: deposits ≥ 90% of threshold AND < threshold, count ≥ N within sliding window",
    "dataset": "transactions",
    "synonyms": ["smurfing", "transaction splitting", "threshold avoidance"],
    "example_prompt": "Find customers with repeated cash deposits just below reporting thresholds within 7 days",
    "unit": "flag (boolean)",
    "regulatory_context": "Criminal offence under Bank Secrecy Act (US), POCA/MLR (UK), 4AMLD/5AMLD/6AMLD (EU)."
  },
  {
    "term": "CTR",
    "full_name": "Currency Transaction Report",
    "domain": "AML",
    "definition": "Mandatory report filed by financial institutions for cash transactions exceeding a regulatory threshold (e.g., $10,000 USD, £10,000 GBP).",
    "formula": "Triggered when cash_amount ≥ cash_reporting_threshold",
    "dataset": "transactions",
    "synonyms": ["cash transaction report", "large cash report"],
    "example_prompt": "How many CTR-triggering transactions occurred in January 2025?",
    "unit": "count",
    "regulatory_context": "FinCEN (US), NCA/FCA (UK), FIU (EU). Thresholds vary by jurisdiction."
  },
  {
    "term": "SAR",
    "full_name": "Suspicious Activity Report",
    "domain": "AML",
    "definition": "Report filed when a financial institution detects activity that may involve money laundering, terrorist financing, fraud, or other financial crimes. Unlike CTRs, SARs are judgement-based.",
    "formula": "Triggered by suspicious pattern detection (not a fixed threshold)",
    "dataset": "transactions",
    "synonyms": ["suspicious transaction report", "STR"],
    "example_prompt": "Flag transactions that may warrant a SAR filing based on structuring patterns",
    "unit": "flag / narrative",
    "regulatory_context": "Required under BSA (US), POCA s.330 (UK), 4AMLD Art.33 (EU). Tipping off is a criminal offence."
  },
  {
    "term": "KYC",
    "full_name": "Know Your Customer",
    "domain": "AML",
    "definition": "Due diligence process to verify the identity, suitability, and risk profile of customers. Includes Customer Identification Program (CIP), Customer Due Diligence (CDD), and Enhanced Due Diligence (EDD).",
    "formula": "Risk scoring based on customer profile, geography, product, channel",
    "dataset": "transactions",
    "synonyms": ["customer due diligence", "CDD", "identity verification"],
    "example_prompt": "Identify high-risk customers based on transaction patterns",
    "unit": "risk score / categorical",
    "regulatory_context": "FATF Recommendations 10–22; implemented via BSA/CIP (US), MLR 2017 (UK), 4AMLD/5AMLD (EU)."
  },
  {
    "term": "PEP",
    "full_name": "Politically Exposed Person",
    "domain": "AML",
    "definition": "An individual who holds or has held a prominent public function (e.g., heads of state, senior politicians, military officials). PEPs and their associates require Enhanced Due Diligence.",
    "formula": "Screening against PEP lists and databases",
    "dataset": "transactions",
    "synonyms": ["politically exposed individual", "senior political figure"],
    "example_prompt": "Flag transactions from PEP-associated accounts above average thresholds",
    "unit": "flag (boolean)",
    "regulatory_context": "FATF Recommendation 12; defined in 4AMLD Art.3(9) (EU), MLR 2017 reg.35 (UK)."
  },
  {
    "term": "Cost-to-Income Ratio",
    "full_name": "Cost-to-Income Ratio (Efficiency Ratio)",
    "domain": "Finance",
    "definition": "Operating expenses divided by operating income. Measures how efficiently a bank converts revenue into profit; lower is better. Typical range: 40–70%.",
    "formula": "Operating Expenses / Operating Income × 100",
    "dataset": "interest",
    "synonyms": ["efficiency ratio", "CIR", "operating efficiency"],
    "example_prompt": "What is our cost-to-income ratio trend over the last 6 months?",
    "unit": "percentage",
    "regulatory_context": "Key performance indicator in earnings reports; analysts benchmark across peers."
  },
  {
    "term": "ROE",
    "full_name": "Return on Equity",
    "domain": "Finance",
    "definition": "Net income attributable to common shareholders as a percentage of average common equity. Measures profitability relative to shareholder investment.",
    "formula": "Net Income / Average Common Equity × 100",
    "dataset": "interest",
    "synonyms": ["return on common equity", "ROCE"],
    "example_prompt": "Calculate return on equity for UK operations in 2024",
    "unit": "percentage",
    "regulatory_context": "Board-level KPI; target often set above cost of equity (typically 10–15% for large banks)."
  },
  {
    "term": "ROA",
    "full_name": "Return on Assets",
    "domain": "Finance",
    "definition": "Net income divided by average total assets. Indicates how efficiently a bank uses its assets to generate profit. Typical range: 0.5–1.5%.",
    "formula": "Net Income / Average Total Assets × 100",
    "dataset": "interest",
    "synonyms": ["asset return ratio"],
    "example_prompt": "Show ROA by business line for the last quarter",
    "unit": "percentage",
    "regulatory_context": "Reported in earnings releases; useful for comparing banks of different sizes."
  },
  {
    "term": "NPL Ratio",
    "full_name": "Non-Performing Loan Ratio",
    "domain": "Risk",
    "definition": "Non-performing loans (typically 90+ days past due or impaired) as a percentage of total gross loans. Indicates asset quality deterioration.",
    "formula": "Non-Performing Loans / Total Gross Loans × 100",
    "dataset": "loans",
    "synonyms": ["NPL rate", "impaired loan ratio", "delinquency ratio"],
    "example_prompt": "What is the NPL ratio for UK SME loans?",
    "unit": "percentage",
    "regulatory_context": "EBA definition: 90 days past due or unlikely to pay. Tracked by ECB, PRA, Fed."
  },
  {
    "term": "Coverage Ratio",
    "full_name": "Provision Coverage Ratio",
    "domain": "Risk",
    "definition": "Total loan loss provisions (ECL allowance) as a percentage of non-performing loans. Indicates how well a bank is provisioned against credit losses.",
    "formula": "Loan Loss Provisions / Non-Performing Loans × 100",
    "dataset": "loans",
    "synonyms": ["provision ratio", "reserve coverage", "allowance ratio"],
    "example_prompt": "Is our provision coverage ratio adequate for Stage 3 loans?",
    "unit": "percentage",
    "regulatory_context": "Scrutinised by auditors and regulators; typical range 50–150%."
  },
  {
    "term": "Leverage Ratio",
    "full_name": "Basel III Leverage Ratio",
    "domain": "Risk",
    "definition": "Tier 1 capital divided by total exposure measure (on- and off-balance-sheet). Non-risk-based backstop to risk-weighted capital ratios. Minimum 3% (higher for G-SIBs).",
    "formula": "Tier 1 Capital / Total Exposure Measure × 100",
    "dataset": "loans",
    "synonyms": ["Tier 1 leverage ratio", "supplementary leverage ratio (SLR)"],
    "example_prompt": "Calculate our leverage ratio against the 3.25% G-SIB minimum",
    "unit": "percentage",
    "regulatory_context": "Basel III; 3% minimum; G-SIB buffer of 50% of G-SIB surcharge. US SLR at 5% for BHCs."
  },
  {
    "term": "Basis Point",
    "full_name": "Basis Point (bp / bps)",
    "domain": "Finance",
    "definition": "One hundredth of a percentage point (0.01%). Used to express changes in interest rates, yields, and margins. 100 bps = 1%.",
    "formula": "1 bp = 0.01% = 0.0001",
    "dataset": "interest",
    "synonyms": ["bp", "bps", "beep"],
    "example_prompt": "NIM expanded by 15 basis points quarter-on-quarter",
    "unit": "bps",
    "regulatory_context": "Standard unit across fixed income, rates, and banking analytics."
  },
  {
    "term": "Yield Curve",
    "full_name": "Yield Curve",
    "domain": "Treasury",
    "definition": "A graph plotting interest rates of bonds (typically government) across different maturities. Normal (upward-sloping), flat, or inverted curves signal different economic conditions.",
    "formula": "Plot of yield vs maturity for benchmark bonds",
    "dataset": "liquidity",
    "synonyms": ["term structure", "interest rate curve", "rate curve"],
    "example_prompt": "How does the yield curve inversion affect our NIM forecast?",
    "unit": "percentage / bps by tenor",
    "regulatory_context": "Key input to ALM (Asset-Liability Management), transfer pricing, and IRRBB models."
  },
  {
    "term": "IRRBB",
    "full_name": "Interest Rate Risk in the Banking Book",
    "domain": "Treasury",
    "definition": "Risk that changes in interest rates adversely affect a bank's earnings or economic value from non-trading book positions. Measured via EVE (Economic Value of Equity) and NII sensitivity.",
    "formula": "EVE delta and NII delta under prescribed rate shock scenarios",
    "dataset": "interest",
    "synonyms": ["banking book interest rate risk", "rate risk"],
    "example_prompt": "What is our NII sensitivity to a +200bps parallel rate shock?",
    "unit": "currency (delta) or percentage",
    "regulatory_context": "Basel Committee BCBS 368; EBA Guidelines; PRA SS31/15. Pillar 2 capital add-on."
  },
  {
    "term": "FTP",
    "full_name": "Funds Transfer Pricing",
    "domain": "Treasury",
    "definition": "Internal mechanism to price the cost of funds between business units. Credits deposit-gathering units and charges loan-originating units based on a reference rate curve.",
    "formula": "FTP rate assigned based on maturity, repricing, and optionality of the product",
    "dataset": "interest",
    "synonyms": ["transfer pricing", "matched-maturity transfer pricing"],
    "example_prompt": "What is the FTP charge for 5-year fixed-rate mortgages?",
    "unit": "percentage / bps",
    "regulatory_context": "Best practice per Basel Committee; supports profitability measurement and ALM."
  },
  {
    "term": "Watchlist",
    "full_name": "Credit Watchlist",
    "domain": "Risk",
    "definition": "A list of borrowers or counterparties showing early signs of credit deterioration, monitored more closely than the general portfolio. May trigger IFRS 9 stage migration.",
    "formula": "Criteria-based: missed payments, covenant breaches, rating downgrades, sector stress",
    "dataset": "loans",
    "synonyms": ["early warning list", "monitored list", "credit concern list"],
    "example_prompt": "How many watchlist accounts migrated to Stage 2 this month?",
    "unit": "count / currency exposure",
    "regulatory_context": "Expected by regulators as part of credit risk management framework (EBA GL/2017/06)."
  }
]