Interesting thing I found at reference.com. An abbreviation formed from inital letters without forming a word, such as BBC, is called an initialism. If it forms a word, it is an acronym.

And not all abbreviations have always been capitalized. The old state abbreviations, for example. Minn., Md., Penn., etc. And etc. for example. And only one word of the phrase is abbreviated in that one and a space is removed! English are a funny language indeed.