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Abbreviations & acronyms

ABCP
asset-backed commercial paper
ABS
asset-backed security
ABSPP
asset-backed securities purchase programme
AnaCredit
European analytical credit dataset (ECB proposal)
ANFA
Agreement on Net-Financial Assets
AQR
asset quality review
ART
alternative risk transfer
AT1
Additional Tier 1 [capital instrument]
AVC
asset value correlation
Basel III
Third Basel Accord
see Basel Committee on Banking Supervision - Basel III: A global regulatory framework for more resilient banks and banking systems and Basel Committee on Banking Supervision - Basel III: International framework for liquidity risk measurement, standards and monitoring
BCBS
Basel Committee on Banking Supervision
BCR
Basic Capital Requirements
BRRD
Bank Recovery and Resolution Directive
BU
banking union
CA
comprehensive assessment
competent authority
CAR
capital adequacy ratio
CBPP
covered bond purchase programme
CBR
combined buffer requirement
CBSG
Cross-Border Stability Group
CCAR
Comprehensive Capital Analysis and Review
CCBM
correspondent central banking model
CCBM2
Collateral Central Bank Management
CCB
capital conservation buffer
CCF
credit conversion factor
CCP
central counterparty
CCR
counterparty credit risk
central credit register
CCyB
countercyclical capital buffer
CD
certificate of deposit
CDD
customer due diligence
CDO
collateralised debt obligation
CDR
constant default rate
CDS
credit default swap
CEBS
Committee of European Banking Supervisors
CEIOPS
Committee of European Insurance and Occupational Pensions Supervisors
CEM
current exposure method
CESAME
Clearing and Settlement Advisory and Monitoring Expert Group
CESAME2
Clearing and Settlement Advisory and Monitoring Expert Group 2
CET1
Common Equity Tier 1
CFC
controlled foreign corporation/company/institution
CFR
credit file review
CFTC
U.S. Commodity Futures Trading Commission
CGFS
Committee on the Global Financial System
CIB
corporate and investment banking
CLOB
central limit order book
CLS
Continuous Linked Settlement
CMBS
commercial mortgage backed-security
CMG
Crisis Management Group
CMU
Capital Markets Union
CNAV
constant net asset value
CoCo
contingent convertible bond
COREP
Common Reporting
CP
commercial paper
CPMI
Committee on Payments and Market Infrastructures
CPR
Constant Prepayment Rate
CPSS
Committee on Payment and Settlement Systems
CR
credit risk
CRAECL
credit risk and accounting for expected credit losses
CRAR
capital to risk-(weighted) assets ratio
CRD IV
Capital Requirements Directive
CRE
commercial real estate
CRM
credit risk mitigation
CRR
Capital Requirements Regulation
cRWA
credit risk-weighted asset
CSA
Credit Support Annex
CSD
credit default swap
central securities depository
CSE
covered swap entity
CSM
clearing and settlement mechanism
CSPP
corporate sector purchase programme
CT1
Core Tier 1
CUSIP
Committee on Uniform Security Identification Procedures
CVA
credit valuation adjustment
DB
defined benefit
DC
defined contribution
DGI
Data Gaps Initiative
DGS
deposit guarantee scheme
DGSD
Deposit Guarantee Scheme Directive
DIF
Deposit Insurance Fund
DIV
data integrity validation
DLT
distributed ledger technology
DRE
deposit rate elasticity
D-SIB
domestic systemically important bank
DTAs
deferred tax assets
DTLs
deferred tax liabilities
DVA
debt valuation adjustment
DvD
delivers versus delivery
DvP
delivery versus payment
EAA
euro area accounts
EAD
exposure at default
EBA
European Banking Authority
EBITDA
earnings before interest, taxes, depreciation and amortization
EBPP
Electronic Bill Presentment and Payment
ECAI
external credit assessment institution
ECL
expected credit loss
ECN
electronic communications network
EDI
electronic data interchange
EDIS
European deposit insurance scheme
EEA
European Economic Area
EEC
European Economic Community
EFSF
European Financial Stability Facility
EFSI
European Fund for Strategic Investments
EFTPOS
electronic funds transfer at point of sale
EGBPI
Expert Group on Banking, Payments and Insurance
EGMA
ECB guide on materiality assessment
EIOPA
European Insurance and Occupational Pensions Authority
EL
expected loss
ELMI
electronic money institution
EM
emerging markets
EMIR
European Market Infrastructure Regulation
EMU
Economic and Monetary Union
EMV
Europay, MasterCard and Visa
EONIA
euro overnight index average
EPC
European Payments Council
EPE
expected positive exposure
ERF
European Resolution Fund (often “Single Resolution Fund”, see SRF)
European Reporting Framework
ERM
enterprise risk management
ESA
European Supervisory Authority
ESCB
European System of Central Banks
ESFS
European System of Financial Supervision
ESM
European Stability Mechanism
ESMA
European Securities and Markets Authority
ESRB
European Systemic Risk Board
ETD
exchange-traded derivative
ETF
exchange-traded fund
EUREPO
repo market reference rate for the euro
EURIBOR
euro interbank offered rate
EVE
economic value of equity
EWI
early warning indicator
FASB
Financial Accounting Standards Board
FATCA
Foreign Account Tax Compliance Act
FinCEN
Financial Crimes Enforcement Network
FINREP
Financial Reporting
FinTech
financial technology
FIRB
foundation internal ratings-based approach
FISMA
Financial Stability, Financial Services and Capital Markets Union
FMI
financial market infrastructure
FOLTF
failing or likely to fail
FRTB
fundamental review of the trading book
FSAP
financial services action plan
Financial Sector Assessment Program
FSB
Financial Stability Board
FTS
fund transfer system
FV
fair value
FVA
funding valuation adjustments
fair value accounting
FVO
fair value option
FVOCI
fair value through other comprehensive income
FVTPL
fair value through profit or loss
FX
foreign exchange
GAAP
generally accepted accounting principle
GDP
gross domestic product
GHOS
Group of Central Bank Governors and Heads of Supervision
GLRA
group-level resolution authority
GSF
group-wide supervision framework
G-SIB
global systemically important bank
G-SIFI
global systemically important financial institution
G-SII
global systemically important institution
global systemically important insurance/insurers
HFT
held-for-trading
HICP
Harmonised Index of Consumer Prices
HLA
higher loss absorbency
HQLA
high-quality liquid asset
HTM
held to maturity
IA
impact assessment
IAS
International Accounting Standards
IASB
International Accounting Standards Board
IBAN
International Bank Account Number
ICA
internal capital adequacy
ICAAP
Internal Capital Adequacy Assessment Process
ICPFs
insurance corporations and pension funds
ICS
Insurance Capital Standard
ICSD
international central securities depository
IDB
interdealer broker
IFRIC
International Financial Reporting Interpretations Committee
IFRS
International Financial Reporting Standards
IFTS
interbank funds transfer system
ILAAP
Internal Liquidity Adequacy Assessment Process
IMA
internal models approach
IMM
Internal Model Method
IOSCO
International Organization of Securities Commissions
IPS
institutional protection scheme
IRBA
internal ratings-based approach
IRC
incremental risk charge
IRRBB
interest rate risk in the banking book
IRT
Internal Resolution Team
IRS
interest rate swap
Internal Revenue Service
ISA
International Standards on Auditing
individual segregated accounts
ISDA
International Swaps and Derivatives Association
ISIN
International Securities Identification Number
ITS
Implementing Technical Standard
JST
Joint Supervisory Team
LAC
loss-absorbing capacity
L/C
letter of credit
LCR
liquidity coverage ratio
LDI
liability-driven investment
LEI
Legal Entity Identifier
LGD
loss given default
LGI
loss given impairment
LGL
loss given loss
LIBOR
London interbank offered rate
LSI
less significant institution
LSOC
Legal Segregation with Operational Commingling
LTRO
longer-term refinancing operation
LTG
long-term guarantee
LVNAV
low volatility net asset value
MBF
market-based finance
MCD
Mortgage Credit Directive
MCR
minimum capital requirement
MDA
maximum distributable amount
MDB
multilateral development bank
MDP
multi-dealer platform
MFI
monetary financial institution
MiFID
Markets in Financial Instruments Directive
MIR
euro area and national MFI interest rate
MMF
money market fund
MOCE
margin over current estimate
MPE
multiple point of entry
MPOR
margin period of risk
MPS
Macroprudential Policy and Surveillance
MREL
minimum requirement for own funds and eligible liabilities
MR
market risk
MRO
main refinancing operation
MSC
merchant service charge
MSRs
mortgage servicing rights
MTF
multilateral trading facility
MtM
mark-to-market
NAV
net asset value
NCA
national competent authority
NCB
national central bank
NCWO
no creditor worse off
NDB
national development bank
NEM
national execution measures
NFC
non-financial corporation
nGAAP
national generally accepted accounting principles
NPE
non-performing exposure
NPL
non-performing loan
NPL WU
non-performing loan workout unit
NRA
national resolution authority
NSFR
net stable funding ratio
NTNI
non-traditional non-insurance
O&D
options and discretions
OBS
off-balance sheet
OCI
other comprehensive income
OIS
overnight index swap
OND
options and national discretions
OMT
Outright Monetary Transaction
OSA
Omnibus Segregated Account
OSI
on-site inspection
O-SII
other systemically important institution
OTC
over-the-counter
OTF
organised trading facility
P&L
profit and loss
PBO
projected benefit obligations
PD
probability of default
PE-ACH
pan-European automated clearing house
PFMI
Principles for financial market infrastructures
PI
probability of impairment
PIN
personal identification number
PORCs
producer-owned reinsurance companies
POS
point of sale
PP&A
processes, policies and accounting
PSE
public sector entity
PSP
payment service provider
PSPP
public sector purchase programme
PV
Present value
PvP
payment versus payment
P2G
Pillar 2 guidance
P2R
Pillar 2 requirements
QA
quality assurance
QIS
quantitative impact study
RA
resolution authority
RAF
risk appetite framework
RAG
Red/Amber/Green
RAS
risk assessment system
RBA
ratings-based approach
RC
risk control
resolution college
RCAP
Regulatory Consistency Assessment Programme
repo
repurchase agreement
RFQ
request for quote
RL
risk level
RMBS
residential mortgage-backed securities
ROA
return on assets
ROI
return on investment
ROE
return on equity
RRE
residential real estate
RSF
required stable funding
RTGS
real-time gross settlement
RTS
Regulatory Technical Standards
RWA
risk-weighted assets
SA
standardised approach
SB
Supervisory Board
SBS
security-based swap
SCCL
single-counterparty credit limits
SCR
solvency capital requirement
SCWP
Supervisory Convergence Work Programme
SDD
SEPA direct debit
SDP
single-dealer platform
SDW
Statistical Data Warehouse
SEC
securities issues statistics
Securities and Exchange Commission
SEP
Supervisory Examination Programme
Supervisory Evaluation Plan
SEPA
Single European Payments Area
SFT
securities financing transaction
SI
systematic internaliser
SIPS
systemically important payment systems
SIV
structured investment vehicle
SME
small and medium-sized enterprise
SMP
Securities Markets Programme
SNLP
stressed net liquidity position
SORP
statement of recommended practice
SPD
Single Programming Document
SPE
SSM Pilot Exercise
single point of entry
SPPI
solely payments of principal and interest
SPV
special-purpose vehicle
SRB
Single Resolution Board
SREP
Supervisory Review and Evaluation Process
SRF
Single Resolution Fund
SRM
Single Resolution Mechanism
SSP
Single Shared Platform
SSR
Short Selling Regulation
SSS
securities settlement system
ST
stress test
STAR
Stress Test Account Reporting
STE
short-term exercise
STEG
Stress Test Expert Group
STEP
Short-term European Paper
STP
straight-through processing
STR
suspicious transaction reporting
STS
simple, transparent and standardised
T2S
TARGET2-Securities
TARGET / TARGET2
Trans-European Automated Real-time Gross settlement Express Transfer system
TLAC
total loss-absorbing capacity
TR
trade repository
TRIM
targeted review on internal models
TRIMI
investigation performed during the TRIM project
TRN
transaction reference number
UCITS
undertaking for the collective investment in transferable securities
UPI
unique product identifier
UTI
unique transaction identifier
UTP
unlikely to pay
VaR
value-at-risk
VC
venture capital
VNAV
variable net asset value
VRDN
variable rate demand note
YKRA
yearly key risk assessment
YRT
yearly renewable term