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

7

Abbreviations

AMC

asset management company

APP

asset purchase programme

AT1

additional tier 1

BIS

Bank for International

Settlements

bp

basis point(s)

BRRD

bank recovery and resolution

directive

CAPM

capital asset pricing model

CDS

credit default swap(s)

CET1

common equity tier 1

CoCo

contingent convertible

(instrument)

CoE

cost of equity

CRD

capital requirements directive

CRR

capital requirements regulation

CRE

commercial real estate

DDoS

distributed denial of service

EBA

European Banking Authority

ECB

European Central Bank

ECL

expected credit loss(es)

EDF

expected default frequencies

EEA

European Economic Area

ESRB

European Systemic Risk Board

Euribor

Euro interbank offered rate

EWS

early warning system

FBL

forborne loan(s)

Finrep

financial (supervisory) reporting

FinTech

financial technology

FRTB

fundamental review of the trading

book

GDP

gross domestic product

ICT

information and communication

technologies

IFRS

International Financial Reporting

Standard

IMF

International Monetary Fund

ITS

implementing technical standard

IRRBB

interest rate risk in the banking

book

RI

risk indicator

LCR

liquidity coverage ratio

LCU

local currency unit

MDA

maximum distributable amount

MPO

monetary policy and operations

MREL

minimum requirement for own

funds and eligible liabilities

NFC

non-financial corporate(s); net fee

and commission income

NII

net interest income

NPL

non-performing loan(s)

NSFR

net stable funding ratio

OCR

overall capital requirements

p.a.

per annum

OMT

outright monetary transactions

PD

probability of default

pp

percentage point(s)

P&L

profit and loss

RAQ

risk assessment questionnaire

RAR

risk assessment report

REA

risk exposure amount

RoA

return on assets

RoE

return on equity

SA-CCR

standardised approach for

counterparty credit risk

SME

small and medium-sized

enterprises

SREP

supervisory review and evaluation

process

TLAC

total loss-absorbing capacity

(T)LTRO

(targeted) long-term refinancing

operation

TOI

total operating income