Search Options
Home Media Explainers Research & Publications Statistics Monetary Policy The €uro Payments & Markets Careers
Suggestions
Sort by

Macroprudential policy and financial stability glossary

CAPE

cyclically adjusted price/earnings (ratio)

capital conservation buffer (CCoB)

A capital buffer of up to 2.5% of a bank’s total exposures to avoid breaches of minimum capital requirements during periods of stress when losses are incurred. The capital buffer has been implemented in Europe via Article 129 CRD IV and must be met with CET1 capital.

Capital Requirements Regulation / Capital Requirements Directive (CRR/CRD IV)

Capital Requirements Regulation and Directive: Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms (CRR) and Directive 2013/36/EU on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms (CRD IV). The CRR/CRD IV package transposes the global standards on bank capital (the Basel III agreement) into EU law.

CAPM

capital asset pricing model

CBOE

Chicago Board Options Exchange

CBPP

covered bond purchase programme

CBR

See combined buffer requirement (CBR)

CCoB

See capital conservation buffer (CCoB)

CCyB

See countercyclical capital buffer (CCyB)

CDS

credit default swap

CESR

Committee of European Securities Regulators

CET1

Common Equity Tier 1

CGFS

Committee on the Global Financial System

CISS

composite indicator of systemic stress

CMU

capital markets union

combined buffer requirement (CBR)

The total Common Equity Tier 1 capital required to meet the requirement for the capital conservation buffer extended by an institution-specific countercyclical capital buffer, a G-SII buffer, an O-SII buffer and a systemic risk buffer, as applicable. It is defined in Article 128 CRD IV.

countercyclical capital buffer (CCyB)

A capital buffer intended to ensure that credit institutions accumulate sufficient capital during periods of excessive credit growth to be able to absorb losses during periods of stress. It has been implemented in Europe via Article 130, 135-140 CRD IV and it amounts to 0-2.5% of total risk exposure amount and must be met with CET1 capital, but it can be set at a higher level under certain procedures. The buffer is institution-specific and is calculated as a weighted average of the countercyclical buffer rates that apply in the countries where an institution’s credit exposures are located.

CRD

Capital Requirements Directive

CRE

commercial real estate

CRR

Capital Requirements Regulation

CRR/CRD IV

See Capital Requirements Regulation / Capital Requirements Directive (CRR/CRD IV)

Whistleblowing