Macroprudential policy and financial stability glossary

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C

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. Phasing-in arrangements apply between 2016 and 2019, but earlier introduction is possible.
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)