2018 Registration document and annual fi nancial report - BNP PARIBAS 463

5RISKS AND CAPITAL ADEQUACY PILLAR 3

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Appendix 6: Acronyms

Appendix 6: Acronyms

Acronyms

ABCP Asset-Backed Commercial Paper

ABS Asset-Backed Securities

ACPR Autorité de contrôle prudentiel et de résolution

ALCo Asset and Liability Committee

ALM Asset and Liability Management

AMA Advanced Measurement Approach

bp Basis points

BNB Banque Nationale de Belgique

BRRD Bank Recovery and Resolution Directive

CCP Central Counterparty

CCF Credit Conversion Factor

CDO Collaterised Debt Obligations

CDS Credit Default Swap

CEBS Committee of European Banking Supervisors

CLO Collaterised Loan Obligations

CMBS Commercial Mortgage Backed Securities

CMG Crisis Management Group

CRD Capital Requirement Directive

CRM Comprehensive Risk Measure

CRR Capital Requirement Regulation

CVA Credit Valuation Adjustment

D-SIBs Domestic Systemically Important Banks

EAD Exposure at Default

EBA European Banking Authority

ECB European Central Bank

EDTF Enhanced Disclosure Task Force

EEA European Economic Area

EEPE Effective Expected Positive Exposure

EL Expected Loss

FBF Fédération Bancaire Française

FED Federal Reserve System of the United States

FICC Fixed Income Curre ncy and Commodities

FSB Financial Stability Board

Acronyms G-SIBs Global Systemically Important Banks

GDP Gross Domestic Product

GRR Global Recovery Rate

HCSF Haut Conseil de Stabilité Financière

HQLA High Quality Liquid Assets

ICAAP Internal Capital Adequacy Assessment Process

IFRS International Financial Reporting Standards

IMF International Monetary Fund

IRBA Internal Ratings Based Approach

IRC Incremental Risk Charge

ISDA International Swaps and Derivatives Association

KYC Know Your Customer

LGD Loss Given Default

LTV Loan-to-Value

MTN Medium Term Note

MREL Minimum Requirement for own funds and Eligible Liabilities

NBI Net Banking Income

NPV Net Present Value

P&C Property & Casualty

PD Probability of Default

PVA Prudent Valuation Adjustment

RMBS Residential Mortgage-Backed Securities

RW Risk Weight

SFT Securities Financing Transactions

SME Small and Medium Enterprises

SREP Supervisory REview Process

TLAC Total Loss Absorbing Capacity

TLTRO Targeted Long Term Refi nancing Operation

VaR Value at Risk