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E U R O P E A N B A N K I N G A U T H O R I T Y

4

Abbreviations

AQR

asset quality review

AT1

additional tier 1

BCBS

Basel Committee on Banking

Supervision

BIS

Bank for International

Settlements

BRRD

Bank Recovery and Resolution

Directive

CAPM

Capital Asset Pricing Model

CCP

counterparty clearing party /

parties

CDS

credit default swap

CDX

CDS index

CET1

common equity tier 1

CoCo

contingent convertible

CoE

cost of equity

CRD

Capital Requirements Directive

CRR

Capital Requirements Regulation

CRE

Commercial Real Estate

CT1

Core Tier 1 ratio

DDoS

Distributed denial of service

EA

Euro area

EBA

European Banking Authority

ECB

European Central Bank

EDF

expected default frequencies

EEA

European economic area

EMIR

European Market Infrastructure

Regulation

ESMA

European Securities and Markets

Authority

ESRB

European Systemic Risk Board

EURIBOR

Euro interbank offered rate

FBE

forbearance exposure

FBL

forbearance loan(s)

FED

federal reserve (system) (of the

US)

FX

foreign exchange / foreign

currency

GDP

gross domestic product

GL

guideline

IFRS

International Financial Reporting

Standard(s)

IFRS

International Financial Reporting

Standard

IMF

International Monetary Fund

IRB

internal rating-based

IRRBB

interest rate risk in the banking

book

KRI

key risk indicator

LDP

low default portfolio(s)

LGD

loss given default

LIBOR

London interbank offered rate

LTRO

long-term refinancing operation

MPO

monetary policy and operations

MREL

minimum requirement for own

funds and eligible liabilities

NACE

Nomenclature of Economic

Activities

NII

net interest income

NPE

non-performing exposure

NPL(s)

non-performing loan(s)

NSFR

net stable funding ratio

OTC

over the counter

OpR

operational risk

PD

probability of default

P&L

Profit and Losses

QE

quantitative easing

RAQ

risk assessment questionnaire

RAR

report on the risks and

vulnerabilities of the European

Banking System

REA

risk exposure amount

RoA

return on assets

RoE

return on equity

RWA

risk-weighted assets

RW

risk weights