Abbreviations & acronyms
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ABCP
- asset-backed commercial paper
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ABS
- asset-backed security
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ABSPP
- asset-backed securities purchase programme
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A-CVA
- advanced credit valuation adjustment
-
AMA
- advanced measurement approach
-
AnaCredit
- European analytical credit dataset (ECB proposal)
-
ANFA
- Agreement on Net-Financial Assets
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AQR
- asset quality review
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ART
- alternative risk transfer
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AT1
- Additional Tier 1 [capital instrument]
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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
-
CAS
- capital adequacy statement
-
CBPP
- covered bond purchase programme
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CBR
- combined buffer requirement
-
CBSG
- Cross-Border Stability Group
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CCAR
- Comprehensive Capital Analysis and Review
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CCBM
- correspondent central banking model
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CCBM2
- Collateral Central Bank Management
-
CCB
- capital conservation buffer
-
CCF
- credit conversion factor
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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
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CDS
- credit default swap
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CEBS
- Committee of European Banking Supervisors
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CEIOPS
- Committee of European Insurance and Occupational Pensions Supervisors
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CEM
- current exposure method
-
CESAME
- Clearing and Settlement Advisory and Monitoring Expert Group
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CESAME2
- Clearing and Settlement Advisory and Monitoring Expert Group 2
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CET1
- Common Equity Tier 1
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CFC
- controlled foreign corporation/company/institution
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CFR
- credit file review
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CFTC
- U.S. Commodity Futures Trading Commission
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CGFS
- Committee on the Global Financial System
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CIB
- corporate and investment banking
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CIU
- collective investment undertaking
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CLOB
- central limit order book
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CLS
- Continuous Linked Settlement
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CMBS
- commercial mortgage backed-security
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CMG
- Crisis Management Group
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CMU
- Capital Markets Union
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CNAV
- constant net asset value
-
CO2
- carbon dioxide
-
CoCo
- contingent convertible bond
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COREP
- Common Reporting
-
CP
- commercial paper
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CPMI
- Committee on Payments and Market Infrastructures
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CPR
- Constant Prepayment Rate
-
CPSS
- Committee on Payment and Settlement Systems
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CR
- credit risk
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CRAECL
- credit risk and accounting for expected credit losses
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CRAR
- capital to risk-(weighted) assets ratio
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CRD
- Capital Requirements Directive
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CRE
- commercial real estate
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CRM
- credit risk mitigation
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CRR
- Capital Requirements Regulation
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cRWA
- credit risk-weighted asset
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CSA
- Credit Support Annex
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CSD
-
credit default swap
central securities depository -
CSE
- covered swap entity
-
CSM
- clearing and settlement mechanism
-
CSPP
- corporate sector purchase programme
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CT1
- Core Tier 1
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CUSIP
- Committee on Uniform Security Identification Procedures
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CVA
- credit valuation adjustment
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DB
- defined benefit
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DC
- defined contribution
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DGI
- Data Gaps Initiative
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DGS
- deposit guarantee scheme
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DGSD
- Deposit Guarantee Scheme Directive
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DIF
- Deposit Insurance Fund
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DIV
- data integrity validation
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DLT
- distributed ledger technology
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DRE
- deposit rate elasticity
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D-SIB
- domestic systemically important bank
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DTAs
- deferred tax assets
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DTLs
- deferred tax liabilities
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DVA
- debt valuation adjustment
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DvD
- delivers versus delivery
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DvP
- delivery versus payment
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EAA
- euro area accounts
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EAD
- exposure at default
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EBA
- European Banking Authority
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EBITDA
- earnings before interest, taxes, depreciation and amortization
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EBPP
- Electronic Bill Presentment and Payment
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ECAI
- external credit assessment institution
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ECL
- expected credit loss
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ECN
- electronic communications network
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EDI
- electronic data interchange
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EDIS
- European deposit insurance scheme
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EEA
- European Economic Area
-
EEC
- European Economic Community
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EFSF
- European Financial Stability Facility
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EFSI
- European Fund for Strategic Investments
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EFTPOS
- electronic funds transfer at point of sale
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EGBPI
- Expert Group on Banking, Payments and Insurance
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EGMA
- ECB guide on materiality assessment
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EIOPA
- European Insurance and Occupational Pensions Authority
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EL
- expected loss
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ELBE
- expected loss best estimate
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ELMI
- electronic money institution
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EM
- emerging markets
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EMIR
- European Market Infrastructure Regulation
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EMU
- Economic and Monetary Union
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EMV
- Europay, MasterCard and Visa
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EONIA
- euro overnight index average
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EP
- economic perspective
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EPC
- European Payments Council
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EPE
- expected positive exposure
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ERF
-
European Resolution Fund (often “Single Resolution Fund”, see SRF)
European Reporting Framework -
ERM
- enterprise risk management
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ESA
- European Supervisory Authority
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ESCB
- European System of Central Banks
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ESFS
- European System of Financial Supervision
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ESM
- European Stability Mechanism
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ESMA
- European Securities and Markets Authority
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ESRB
- European Systemic Risk Board
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ETD
- exchange-traded derivative
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ETF
- exchange-traded fund
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EUREPO
- repo market reference rate for the euro
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EURIBOR
- euro interbank offered rate
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EVE
- economic value of equity
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EWI
- early warning indicator
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FASB
- Financial Accounting Standards Board
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FATCA
- Foreign Account Tax Compliance Act
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FinCEN
- Financial Crimes Enforcement Network
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FINREP
- Financial Reporting
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FinTech
- financial technology
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FIRB
- foundation internal ratings-based approach
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FISMA
- Financial Stability, Financial Services and Capital Markets Union
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FMI
- financial market infrastructure
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FOLTF
- failing or likely to fail
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FRTB
- fundamental review of the trading book
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FSAP
-
financial services action plan
Financial Sector Assessment Program -
FSB
- Financial Stability Board
-
FTS
- fund transfer system
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FV
- fair value
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FVA
-
funding valuation adjustments
fair value accounting -
FVO
- fair value option
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FVOCI
- fair value through other comprehensive income
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FVTPL
- fair value through profit or loss
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FX
- foreign exchange
-
GAAP
- generally accepted accounting principle
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GDP
- gross domestic product
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GHOS
- Group of Central Bank Governors and Heads of Supervision
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GLRA
- group-level resolution authority
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GSF
- group-wide supervision framework
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G-SIB
- global systemically important bank
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G-SIFI
- global systemically important financial institution
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G-SII
-
global systemically important institution
global systemically important insurance/insurers -
HFT
- held-for-trading
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HICP
- Harmonised Index of Consumer Prices
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HLA
- higher loss absorbency
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HQLA
- high-quality liquid asset
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HTM
- held to maturity
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IA
- impact assessment
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IAS
- International Accounting Standards
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IASB
- International Accounting Standards Board
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IBAN
- International Bank Account Number
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IC
- internal capital
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ICA
- internal capital adequacy
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ICAAP
- Internal Capital Adequacy Assessment Process
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ICPFs
- insurance corporations and pension funds
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ICS
- Insurance Capital Standard
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ICSD
- international central securities depository
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IDB
- interdealer broker
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IFRIC
- International Financial Reporting Interpretations Committee
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IFRS
- International Financial Reporting Standards
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IFTS
- interbank funds transfer system
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ILAAP
- Internal Liquidity Adequacy Assessment Process
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IMA
- internal model approach
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IMM
- internal model method
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IOSCO
- International Organization of Securities Commissions
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IPS
- institutional protection scheme
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IRBA
- internal ratings-based approach
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IRC
- incremental risk charge
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IRRBB
- interest rate risk in the banking book
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IRT
- Internal Resolution Team
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IRS
-
interest rate swap
Internal Revenue Service -
ISA
-
International Standards on Auditing
individual segregated accounts -
ISDA
- International Swaps and Derivatives Association
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ISIN
- International Securities Identification Number
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ITS
- Implementing Technical Standard
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JST
- Joint Supervisory Team
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KRI
- key risk indicator
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LAC
- loss-absorbing capacity
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L/C
- letter of credit
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LCR
- liquidity coverage ratio
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LDI
- liability-driven investment
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LEI
- Legal Entity Identifier
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LGD
- loss given default
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LGI
- loss given impairment
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LGL
- loss given loss
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LIBOR
- London interbank offered rate
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LSI
- less significant institution
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LSOC
- less significant institution
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LSTI
- loan service-to-income
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LTRO
- longer-term refinancing operation
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LTG
- long-term guarantee
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LVNAV
- low volatility net asset value
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MBF
- market-based finance
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MCD
- Mortgage Credit Directive
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MCR
- minimum capital requirement
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MDA
- maximum distributable amount
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MDB
- multilateral development bank
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MDP
- multi-dealer platform
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MFI
- monetary financial institution
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MiFID
- Markets in Financial Instruments Directive
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MIR
- euro area and national MFI interest rate
-
MMF
- money market fund
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MOCE
- margin over current estimate
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MPE
- multiple point of entry
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MPOR
- margin period of risk
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MPS
- Macroprudential Policy and Surveillance
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MREL
- minimum requirement for own funds and eligible liabilities
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MR
- market risk
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MRO
- main refinancing operation
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MSC
- merchant service charge
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MSRs
- mortgage servicing rights
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MTF
- multilateral trading facility
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MtM
- mark-to-market
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NAV
- net asset value
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NCA
- national competent authority
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NCB
- national central bank
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NCWO
- no creditor worse off
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NDB
- national development bank
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NEM
- national execution measures
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NFC
- non-financial corporation
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nGAAP
- national generally accepted accounting principles
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NP
- normative perspective
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NPE
- non-performing exposure
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NPL
- non-performing loan
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NPL WU
- non-performing loan workout unit
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NRA
- national resolution authority
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NSFR
- net stable funding ratio
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NTNI
- non-traditional non-insurance
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O&D
- options and discretions
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OBS
- off-balance sheet
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OCI
- other comprehensive income
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OIS
- overnight index swap
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OND
- options and national discretions
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OMT
- Outright Monetary Transaction
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OSA
- Omnibus Segregated Account
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OSI
- on-site inspection
-
O-SII
- other systemically important institution
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OTC
- over-the-counter
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OTF
- organised trading facility
-
P&L
- profit and loss
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PBO
- projected benefit obligations
-
PD
- probability of default
-
PE-ACH
- pan-European automated clearing house
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PFMI
- Principles for financial market infrastructures
-
PI
- probability of impairment
-
PIN
- personal identification number
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PORCs
- producer-owned reinsurance companies
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POS
- point of sale
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PP&A
- processes, policies and accounting
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PSE
- public sector entity
-
PSP
- payment service provider
-
PSPP
- public sector purchase programme
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PV
- Present value
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PvP
- payment versus payment
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P2G
- Pillar 2 guidance
-
P2R
- Pillar 2 requirements
-
QA
- quality assurance
-
QIS
- quantitative impact study
-
RA
- resolution authority
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RAF
- risk appetite framework
-
RAG
- Red/Amber/Green
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RAROC
- risk-adjusted return on capital
-
RAS
- risk appetite statement
-
RAS
- risk assessment system
-
RBA
- ratings-based approach
-
RC
-
risk control
resolution college -
RCAP
- Regulatory Consistency Assessment Programme
-
repo
- repurchase agreement
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RFQ
- request for quote
-
RL
- risk level
-
RMBS
- residential mortgage-backed securities
-
ROA
- return on assets
-
ROI
- return on investment
-
ROE
- return on equity
-
RORAC
- return on risk-adjusted capital
-
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
-
sVaR
- stressed value at risk
-
T2
- Tier 2
-
T2S
- TARGET2-Securities
-
TARGET / TARGET2
- Trans-European Automated Real-time Gross settlement Express Transfer system
-
TLAC
- total loss-absorbing capacity
-
TR
- trade repository
-
TREA
- total risk exposure amount
-
TRIM
- targeted review on internal models
-
TRIMI
- investigation performed during the TRIM project
-
TRN
- transaction reference number
-
TSCR
- total SREP capital requirement (P1R+P2R)
-
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