Abbreviations

ABCP

Asset-backed commercial paper

ASF

Available Stable Funding AVC Asset value correlation CCF Credit conversion factor CCPs Central counterparties CCR Counterparty credit risk CD Certificate of Deposit CDS Credit default swap

CP

Commercial Paper

CRM

Credit risk mitigation

CUSIP

Committee on Uniform Security Identification Procedures

CVA

Credit valuation adjustment

DTAs

Deferred tax assets

DTLs

Deferred tax liabilities

DVA

Debit valuation adjustment DvP Delivery-versus-payment EAD Exposure at default

ECAI

External credit assessment institution

EL

Expected Loss

EPE

Expected positive exposure

FIRB

Foundation internal ratings-based approach

IMM

Internal model method IRB Internal ratings-based IRC Incremental risk charge

ISIN

International Securities Identification Number

LCR

Liquidity Coverage Ratio

LGD

Loss given default

MtM

Mark-to-market

NSFR

Net Stable Funding Ratio

OB