actual distribution — a distribution of market values or exposures at a future time period where the distribution is calculated using historic or realised values such as volatilities calculated using past price or rate changes (16)

additional Tier 1 own-fund insurance items — basic own-fund items of undertakings subject to the requirements of Directive 2009/138/EC where those items are classified in Tier 1 within the meaning of Directive 2009/138/EC in accordance with Article 94(1) of that Directive and the inclusion of those items is limited by the delegated acts adopted in accordance with Article 99 of that Directive (103)

ancillary services undertaking — an undertaking the principal activity of which consists of owning or managing property, managing data-processing services, or a similar activity which is ancillary to the principal activity of one or more institutions (18)

applicable accounting framework — the accounting standards to which the institution is subject under Regulation (EC) No 1606/2002 or Directive 86/635/EEC (77)

asset management company — an asset management company as defined in point (5) of Article 2 of Directive 2002/87/EC and an AIFM as defined in Article 4(1)(b) of Directive 2011/61/EU, including, unless otherwise provided, third country entities, that carry out similar activities, that are subject to the laws of a third country which applies supervisory and regulatory requirements at least equivalent to those applied in the Union (19)

asset-backed commercial paper (ABCP) programme — a programme of securitisations the securities issued by which predominantly take the form of commercial paper with an original maturity of one year or less (9)

authorisation — an instrument issued in any form by the authorities by which the right to carry out the business is granted (42)

basic own funds — borrowed from another act; this instrument states no meaning of its own (101)

branch — a place of business which forms a legally dependent part of an institution and which carries out directly all or some of the transactions inherent in the business of institutions (17)

business unit — any separate organisational or legal entities, business lines, geographical locations (3)

capital market-driven transaction — any transaction giving rise to an exposure secured by collateral which includes a provision conferring upon the institution the right to receive margin at least daily (3)

cash assimilated instrument — a certificate of deposit, a bond, including a covered bond, or any other non-subordinated instrument, which has been issued by an institution, for which the institution has already received full payment and which shall be unconditionally reimbursed by the institution at its nominal value (60)

CCP — borrowed from another act; this instrument states no meaning of its own (34)

CCP-related transaction — a contract or a transaction listed in Article 301(1) between a client and a clearing member that is directly related to a contract or a transaction listed in that paragraph between that clearing member and a CCP (2)

CCR — the risk that the counterparty to a transaction could default before the final settlement of the transaction's cash flows (1)

central banks — the ESCB central banks and the central banks of third countries (46)

central counterparty — borrowed from another act; this instrument states no meaning of its own (34)

CIU — a UCITS as defined in Article 1(2) of Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) OJ L 302, 17.11.2009, p. 32. , including, unless otherwise provided, third-country entities which carry out similar activities, which are subject to supervision pursuant to Union law or to the law of a third country which applies supervisory and regulatory requirements at least equivalent to those applied in the Union, an AIF as defined in Article 4(1)(a) of Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers OJ L 174, 1.7.2011, p. 1. , or a non-EU AIF as defined in Article 4(1)(aa) of that Directive (7)

clean-up call option — a contractual option for the originator to repurchase or extinguish the securitisation positions before all of the underlying exposures have been repaid, when the amount of outstanding exposures falls below a specified level (2)

clearing member — borrowed from another act; this instrument states no meaning of its own (3)

client — a client as defined in point (15) of Article 2 of Regulation (EU) No 648/2012 or an undertaking that has established indirect clearing arrangements with a clearing member in accordance with Article 4(3) of that Regulation (4)

close links — a situation in which two or more natural or legal persons are linked in any of the following ways: participation in the form of ownership, direct or by way of control, of 20 % or more of the voting rights or capital of an undertaking; control; a permanent link of both or all of them to the same third person by a control relationship (38)

collective investment undertaking — borrowed from another act; this instrument states no meaning of its own (7)

competent authority — a public authority or body officially recognised by national law, which is empowered by national law to supervise institutions as part of the supervisory system in operation in the Member State concerned (40)

consolidated basis — on the basis of the consolidated situation (48)

consolidated situation — the situation that results from applying the requirements of this Regulation in accordance with Part One, Title II, Chapter 2 to an institution as if that institution formed, together with one or more other entities, a single institution (47)

consolidating supervisor — a competent authority responsible for the exercise of supervision on a consolidated basis of EU parent institutions and of institutions controlled by EU parent financial holding companies or EU parent mixed financial holding companies (41)

contractual cross product netting agreement — a bilateral contractual agreement between an institution and a counterparty which creates a single legal obligation (based on netting of covered transactions) covering all bilateral master agreements and transactions belonging to different product categories that are included within the agreement; For the purposes of this definition (25)

control — the relationship between a parent undertaking and a subsidiary, as defined in Article 1 of Directive 83/349/EEC, or the accounting standards to which an institution is subject under Regulation (EC) No 1606/2002, or a similar relationship between any natural or legal person and an undertaking (37)

conversion factor — the ratio of the currently undrawn amount of a commitment that could be drawn and that would therefore be outstanding at default to the currently undrawn amount of the commitment, the extent of the commitment being determined by the advised limit, unless the unadvised limit is higher (56)

credit enhancement — a contractual arrangement whereby the credit quality of a position in a securitisation is improved in relation to what it would have been if the enhancement had not been provided, including the enhancement provided by more junior tranches in the securitisation and other types of credit protection (65)

credit institution — an undertaking the business of which is to take deposits or other repayable funds from the public and to grant credits for its own account (1)

credit risk adjustment — the amount of specific and general loan loss provision for credit risks that has been recognised in the financial statements of the institution in accordance with the applicable accounting framework (95)

credit risk mitigation — a technique used by an institution to reduce the credit risk associated with an exposure or exposures which that institution continues to hold (57)

cross-guarantee scheme — a scheme that meets all the following conditions: the institutions fall within the same institutional protection scheme as referred to in Article 113(7); the institutions are fully consolidated in accordance with Article 1(1)(b), (c) or (d) or Article 1(2) of Directive 83/349/EEC and are included in the supervision on a consolidated basis of an institution which is a parent institution in a Member State in accordance with Part One, Title II, Chapter 2 of this Regulation and subject to own funds requirements; the parent institution in a Member State and the subsidiaries are established in the same Member State and are subject to authorisation and supervision by the same competent authority; the parent institution in a Member State and the subsidiaries have entered into a contractual or statutory liability arrangement which protects those institutions and in particular ensures their liquidity and solvency, in order to avoid bankruptcy in the case that it becomes necessary; arrangements are in place to ensure the prompt provision of financial means in terms of capital and liquidity if required under the contractual or statutory liability arrangement referred to in point (d); the… (127)

cross-product netting — the inclusion of transactions of different product categories within the same netting set pursuant to the Cross-Product Netting rules set out in this Chapter (11)

current exposure — the larger of zero and the market value of a transaction or portfolio of transactions within a netting set with a counterparty that would be lost upon the default of the counterparty, assuming no recovery on the value of those transactions in insolvency or liquidation (17)

CVA — an adjustment to the mid-market valuation of the portfolio of transactions with a counterparty. That adjustment reflects the current market value of the credit risk of the counterparty to the institution, but does not reflect the current market value of the credit risk of the institution to the counterparty Article 381

default fund — a fund established by a CCP in accordance with Article 42 of Regulation (EU) No 648/2012 and used in accordance with Article 45 of that Regulation (89)

deferred tax assets that rely on future profitability — deferred tax assets the future value of which may be realised only in the event the institution generates taxable profit in the future (107)

defined benefit pension fund assets — the assets of a defined pension fund or plan, as applicable, calculated after they have been reduced by the amount of obligations under the same fund or plan (109)

different product categories — repurchase transactions, securities and commodities lending and borrowing transactions; margin lending transactions; the contracts listed in Annex II (25)

dilution risk — the risk that an amount receivable is reduced through cash or non-cash credits to the obligor (53)

discretionary pension benefits — enhanced pension benefits granted on a discretionary basis by an institution to an employee as part of that employee's variable remuneration package, which do not include accrued benefits granted to an employee under the terms of the company pension scheme (73)

distributable items — the amount of the profits at the end of the last financial year plus any profits brought forward and reserves available for that purpose before distributions to holders of own funds instruments less any losses brought forward, profits which are non-distributable pursuant to provisions in legislation or the institution's bye-laws and sums placed to non-distributable reserves in accordance with applicable national law or the statutes of the institution, those losses and reserves being determined on the basis of the individual accounts of the institution and not on the basis of the consolidated accounts (128)

distribution of exposures — the forecast of the probability distribution of market values that is generated by setting forecast instances of negative net market values equal to zero (14)

distribution of market values — the forecast of the probability distribution of net market values of transactions within a netting set for a future date (the forecasting horizon), given the realised market value of those transactions at the date of the forecast (13)

distributions — the payment of dividends or interest in any form (110)

early amortisation provision — a contractual clause in a securitisations of revolving exposures or a revolving securitisation which requires, on the occurrence of defined events, investors' positions to be redeemed before the originally stated maturity of the securities issued (14)

ECAI — a credit rating agency that is registered or certified in accordance with Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies OJ L 302, 17.11.2009, p. 1. or a central bank issuing credit ratings which are exempt from the application of Regulation (EC) No 1060/2009 (98)

EL — the ratio of the amount expected to be lost on an exposure from a potential default of a counterparty or dilution over a one year period to the amount outstanding at default (3)

eligible capital — the sum of the following: Tier 1 capital as referred to in Article 25; Tier 2 capital as referred to in Article 71 that is equal to or less than one third of Tier 1 capital (71)

ESCB central banks — the national central banks that are members of the European System of Central Banks (ESCB), and the European Central Bank (ECB) (45)

EU parent financial holding company — a parent financial holding company in a Member State which is not a subsidiary of an institution authorised in any Member State or of another financial holding company or mixed financial holding company set up in any Member State (31)

EU parent institution — a parent institution in a Member State which is not a subsidiary of another institution authorised in any Member State, or of a financial holding company or mixed financial holding company set up in any Member State (29)

EU parent mixed financial holding company — a parent mixed financial holding company in a Member State which is not a subsidiary of an institution authorised in any Member State or of another financial holding company or mixed financial holding company set up in any Member State (33)

excess spread — finance charge collections and other fee income received in respect of the securitised exposures net of costs and expenses (1)

exposure — an asset or off-balance sheet item (1)

facility grade — a risk category within a rating system's facility scale, to which exposures are assigned on the basis of a specified and distinct set of rating criteria from which own estimates of LGD are derived (7)

financial customer — a customer that performs one or more of the activities listed in Annex I to Directive 2013/36/EU as its main business, or is one of the following: a credit institution; an investment firm; an SSPE; a CIU; a non-open ended investment scheme; an insurance undertaking; a financial holding company or mixed-financial holding company (1)

financial holding company — a financial institution, the subsidiaries of which are exclusively or mainly institutions or financial institutions, at least one of such subsidiaries being an institution, and which is not a mixed financial holding company (20)

financial institution — an undertaking other than an institution, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in points 2 to 12 and point 15 of Annex I to Directive 2013/36/EU, including a financial holding company, a mixed financial holding company, a payment institution within the meaning of Directive 2007/64/EC of the European Parliament and of the Council of 13 November 2007 on payment services in the internal market OJ L 319, 5.12.2007, p. 1. , and an asset management company, but excluding insurance holding companies and mixed-activity insurance holding companies as defined in point (g) of Article 212(1) of Directive 2009/138/E (26)

financial instrument — any of the following: a contract that gives rise to both a financial asset of one party and a financial liability or equity instrument of another party; an instrument specified in Section C of Annex I to Directive 2004/39/EC; a derivative financial instrument; a primary financial instrument; a cash instrument. The instruments referred to in points (a), (b) and (c) are only financial instruments if their value is derived from the price of an underlying financial instrument or another underlying item, a rate, or an index (50)

financial sector entity — any of the following: an institution; a financial institution; an ancillary services undertaking included in the consolidated financial situation of an institution; an insurance undertaking; a third-country insurance undertaking; a reinsurance undertaking; a third-country reinsurance undertaking; an insurance holding company; a mixed-activity holding company a mixed-activity insurance holding company as defined in point (g) of Article 212(1) of Directive 2009/138/EC; an undertaking excluded from the scope of Directive 2009/138/EC in accordance with Article 4 of that Directive; a third-country undertaking with a main business comparable to any of the entities referred to in points (a) to (k) (27)

financial undertaking — borrowed from another act; this instrument states no meaning of its own 1.

first loss tranche — the most subordinated tranche in a securitisation that is the first tranche to bear losses incurred on the securitised exposures and thereby provides protection to the second loss and, where relevant, higher ranking tranches (15)

funded credit protection — a technique of credit risk mitigation where the reduction of the credit risk on the exposure of an institution derives from the right of that institution, in the event of the default of the counterparty or on the occurrence of other specified credit events relating to the counterparty, to liquidate, or to obtain transfer or appropriation of, or to retain certain assets or amounts, or to reduce the amount of the exposure to, or to replace it with, the amount of the difference between the amount of the exposure and the amount of a claim on the institution (58)

funds for general banking risk — borrowed from another act; this instrument states no meaning of its own 1.

group of connected clients — any of the following: two or more natural or legal persons who, unless it is shown otherwise, constitute a single risk because one of them, directly or indirectly, has control over the other or others; two or more natural or legal persons between whom there is no relationship of control as described in point (a) but who are to be regarded as constituting a single risk because they are so interconnected that, if one of them were to experience financial problems, in particular funding or repayment difficulties, the other or all of the others would also be likely to encounter funding or repayment difficulties. Notwithstanding points (a) and (b), where a central government has direct control over or is directly interconnected with more than one natural or legal person, the set consisting of the central government and all of the natural or legal persons directly or indirectly controlled by it in accordance with point (a), or interconnected with it in accordance with point (b), may be considered as not constituting a group of connected clients. Instead the existence of a group of connected clients formed by the central government and other natural or legal persons may be assessed… (39)

group of securities — securities which are issued by the same entity, have the same issue date, the same maturity, are subject to the same terms and conditions, and are subject to the same liquidation periods as indicated in Articles 224 and 225, as applicable 5.

hedging set — a group of risk positions arising from the transactions within a single netting set, where only the balance of those risk positions is used for determining the exposure value under the Standardised Method set out in Section 5 (6)

home Member State — the Member State in which an institution has been granted authorisation (43)

host Member State — the Member State in which an institution has a branch or in which it provides services (44)

independent price verification — a process by which market prices or marking to model inputs are regularly verified for accuracy and independence (70)

indirect holding — any exposure to an intermediate entity that has an exposure to capital instruments issued by a financial sector entity where, in the event the capital instruments issued by the financial sector entity were permanently written off, the loss that the institution would incur as a result would not be materially different from the loss the institution would incur from a direct holding of those capital instruments issued by the financial sector entity (114)

initial capital — the amount and types of own funds specified in Article 12 of Directive 2013/36/EU for credit institutions and in Title IV of that Directive for investment firms (51)

institution — a credit institution or an investment firm; (3)

insurance undertaking — borrowed from another act; this instrument states no meaning of its own (5)

internal hedge — a position that materially offsets the component risk elements between a trading book and a non-trading book position or sets of positions (96)

investment firm — a person as defined in point (1) of Article 4(1) of Directive 2004/39/EC, which is subject to the requirements imposed by that Directive, excluding the following: credit institutions; local firms; firms which are not authorised to provide the ancillary service referred to in point (1) of Section B of Annex I to Directive 2004/39/EC, which provide only one or more of the investment services and activities listed in points 1, 2, 4 and 5 of Section A of Annex I to that Directive, and which are not permitted to hold money or securities belonging to their clients and which for that reason may not at any time place themselves in debt with those clients (2)

K_(IRB) — 8 % of the risk-weighted exposure amounts that would be calculated under Chapter 3 in respect of the securitised exposures, had they not been securitised, plus the amount of expected losses associated with those exposures calculated under that Chapter (4)

large financial sector entity — any financial sector entity, other than those referred to in point (27)(j) of Article 4(1), which meets the following conditions: its total assets, calculated on an individual or consolidated basis, are greater than or equal to a EUR 70 billion threshold, using the most recent audited financial statement or consolidated financial statement in order to determine asset size; and it is, or one of its subsidiaries is, subject to prudential regulation in the Union or to the laws of a third country which applies prudential supervisory and regulatory requirements at least equivalent to those applied in the Union (4)

lending institution — the institution which has the exposure in question (1)

leverage — the relative size of an institution's assets, off-balance sheet obligations and contingent obligations to pay or to deliver or to provide collateral, including obligations from received funding, made commitments, derivates or repurchase agreements, but excluding obligations which can only be enforced during the liquidation of an institution, compared to that institution's own funds (93)

LGD — the ratio of the loss on an exposure due to the default of a counterparty to the amount outstanding at default (55)

liquidity facility — the securitisation position arising from a contractual agreement to provide funding to ensure timeliness of cash flows to investors (3)

local firm — a firm dealing for its own account on markets in financial futures or options or other derivatives and on cash markets for the sole purpose of hedging positions on derivatives markets, or dealing for the accounts of other members of those markets and being guaranteed by clearing members of the same markets, where responsibility for ensuring the performance of contracts entered into by such a firm is assumed by clearing members of the same markets (4)

long position — a position in which an institution has fixed the interest rate it will receive at some time in the future 2.

long settlement transactions — transactions where a counterparty undertakes to deliver a security, a commodity, or a foreign exchange amount against cash, other financial instruments, or commodities, or vice versa, at a settlement or delivery date specified by contract that is later than the market standard for this particular type of transaction or five business days after the date on which the institution enters into the transaction, whichever is earlier (2)

loss — economic loss, including material discount effects, and material direct and indirect costs associated with collecting on the instrument (2)

management body — borrowed from another act; this instrument states no meaning of its own (9)

margin agreement — an agreement or provisions of an agreement under which one counterparty must supply collateral to a second counterparty when an exposure of that second counterparty to the first counterparty exceeds a specified level (7)

margin lending transactions — transactions in which an institution extends credit in connection with the purchase, sale, carrying or trading of securities. Margin lending transactions do not include other loans that are secured by collateral in the form of securities (3)

margin period of risk — the time period from the most recent exchange of collateral covering a netting set of transactions with a defaulting counterparty until the transactions are closed out and the resulting market risk is re-hedged (9)

margin threshold — the largest amount of an exposure that remains outstanding before one party has the right to call for collateral (8)

market value — for the purposes of immovable property, the estimated amount for which the property should exchange on the date of valuation between a willing buyer and a willing seller in an arm's-length transaction after proper marketing wherein the parties had each acted knowledgeably, prudently and without being under compulsion (76)

marking to market — the valuation of positions at readily available close out prices that are sourced independently, including exchange prices, screen prices or quotes from several independent reputable brokers (68)

marking to model — any valuation which has to be benchmarked, extrapolated or otherwise calculated from one or more market inputs (69)

minority interest — the amount of Common Equity Tier 1 capital of a subsidiary of an institution that is attributable to natural or legal persons other than those included in the prudential scope of consolidation of the institution (120)

mixed activity holding company — a parent undertaking, other than a financial holding company or an institution or a mixed financial holding company, the subsidiaries of which include at least one institution (22)

mixed financial holding company — borrowed from another act; this instrument states no meaning of its own (21)

model risk — borrowed from another act; this instrument states no meaning of its own (12)

mortgage lending value — the value of immovable property as determined by a prudent assessment of the future marketability of the property taking into account long-term sustainable aspects of the property, the normal and local market conditions, the current use and alternative appropriate uses of the property (74)

multilateral trading facility — multilateral trading facility as defined in point 15 of Article 4 of Directive 2004/39/EC (87)

netting set — a group of transactions between an institution and a single counterparty that is subject to a legally enforceable bilateral netting arrangement that is recognised under Section 7 and Chapter 4. Each transaction that is not subject to a legally enforceable bilateral netting arrangement which is recognised under Section 7 shall be treated as its own netting set for the purposes of this Chapter. Under the Internal Model Method set out in Section 6, all netting sets with a single counterparty may be treated as a single netting set if negative simulated market values of the individual netting sets are set to 0 in the estimation of expected exposure (hereinafter referred to as 'EE') (4)

nominated ECAI — an ECAI nominated by an institution (99)

obligor grade — a risk category within the obligor rating scale of a rating system, to which obligors are assigned on the basis of a specified and distinct set of rating criteria, from which estimates of probability of default (PD) are derived (6)

officially supported export credits — loans or credits to finance the export of goods and services for which an official export credit agency provides guarantees, insurance or direct financing (81)

one-year default rate — the ratio between the number of defaults occurred during a period that starts from one year prior to a date T and the number of obligors assigned to this grade or pool one year prior to that date (78)

operational risk — the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events, and includes legal risk (52)

originator — an entity which: itself or through related entities, directly or indirectly, was involved in the original agreement which created the obligations or potential obligations of the debtor or potential debtor giving rise to the exposure being securitised; or purchases a third party's exposures for its own account and then securitises them (13)

other capital instruments — capital instruments issued by financial sector entities that do not qualify as Common Equity Tier 1, Additional Tier 1 or Tier 2 instruments or Tier 1 own-fund insurance items, additional Tier 1 own-fund insurance items, Tier 2 own-fund insurance items or Tier 3 own-fund insurance items (116)

other reserves — reserves within the meaning of the applicable accounting framework that are required to be disclosed under the applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings (117)

own funds — the sum of Tier 1 capital and Tier 2 capital (118)

own funds instruments — capital instruments issued by the institution that qualify as Common Equity Tier 1, Additional Tier 1 or Tier 2 instruments (119)

parent financial holding company in a Member State — a financial holding company which is not itself a subsidiary of an institution authorised in the same Member State, or of a financial holding company or mixed financial holding company set up in the same Member State (30)

parent institution in a Member State — an institution in a Member State which has a institution or a financial institution as a subsidiary or which holds a participation in such an institution or financial institution, and which is not itself a subsidiary of another institution authorised in the same Member State, or of a financial holding company or mixed financial holding company set up in the same Member State (28)

parent mixed financial holding company in a Member State — a mixed financial holding company which is not itself a subsidiary of an institution authorised in the same Member State, or of a financial holding company or mixed financial holding company set up in that same Member State (32)

parent undertaking — a parent undertaking within the meaning of Articles 1 and 2 of Directive 83/349/EEC; for the purposes of Section II of Chapters 3 and 4 of Title VII and Title VIII of Directive 2013/36/EU and Part Five of this Regulation, a parent undertaking within the meaning of Article 1(1) of Directive 83/349/EEC and any undertaking which effectively exercises a dominant influence over another undertaking (15)

participation — participation within the meaning of the first sentence of Article 17 of Fourth Council Directive 78/660/EEC of 25 July 1978 on the annual accounts of certain types of companies OJ L 222, 14.8.1978, p. 11. , or the ownership, direct or indirect, of 20 % or more of the voting rights or capital of an undertaking (35)

payment leg — the payment agreed in an OTC derivative transaction with a linear risk profile which stipulates the exchange of a financial instrument for a payment. In the case of transactions that stipulate the exchange of payment against payment, those two payment legs shall consist of the contractually agreed gross payments, including the notional amount of the transaction (26)

PD — the probability of default of a counterparty over a one year period (54)

peak exposure — a high percentile of the distribution of exposures at particular future date before the maturity date of the longest transaction in the netting set (18)

positions held with trading intent — any of the following: proprietary positions and positions arising from client servicing and market making; positions intended to be resold short term; positions intended to benefit from actual or expected short term price differences between buying and selling prices or from other price or interest rate variations (85)

pre-funded contribution to the default fund of a CCP — a contribution to the default fund of a CCP that is paid in by an institution (90)

public sector entity — a non-commercial administrative body responsible to central governments, regional governments or local authorities, or to authorities that exercise the same responsibilities as regional governments and local authorities, or a non-commercial undertaking that is owned by or set up and sponsored by central governments, regional governments or local authorities, and that has explicit guarantee arrangements, and may include self-administered bodies governed by law that are under public supervision (8)

qualifying central counterparty — a central counterparty that has been either authorised in accordance with Article 14 of Regulation (EU) No 648/2012 or recognised in accordance with Article 25 of that Regulation (88)

qualifying holding — a direct or indirect holding in an undertaking which represents 10 % or more of the capital or of the voting rights or which makes it possible to exercise a significant influence over the management of that undertaking (36)

rated position — a securitisation position which has an eligible credit assessment by an ECAI as referred to in Section 4 (8)

rating system — all of the methods, processes, controls, data collection and IT systems that support the assessment of credit risk, the assignment of exposures to rating grades or pools, and the quantification of default and loss estimates that have been developed for a certain type of exposures (1)

ratings based method — the method of calculating risk-weighted exposure amounts for securitisation positions in accordance with Article 261 (5)

re-securitisation — securitisation where the risk associated with an underlying pool of exposures is tranched and at least one of the underlying exposures is a securitisation position (63)

re-securitisation position — an exposure to a re-securitisation (64)

reciprocal cross holding — a holding by an institution of the own funds instruments or other capital instruments issued by financial sector entities where those entities also hold own funds instruments issued by the institution (122)

recognised exchange — an exchange which meets all of the following conditions: it is a regulated market; it has a clearing mechanism whereby contracts listed in Annex II are subject to daily margin requirements which, in the opinion of the competent authorities, provide appropriate protection (72)

recognised third-country investment firm — a firm meeting all of the following conditions: if it were established within the Union, it would be covered by the definition of an investment firm; it is authorised in a third country; it is subject to and complies with prudential rules considered by the competent authorities as at least as stringent as those laid down in this Regulation or in Directive 2013/36/EU (25)

reference obligation — an obligation used for the purposes of determining the cash settlement value of a credit derivative (97)

regulated market — borrowed from another act; this instrument states no meaning of its own (92)

reinsurance undertaking — borrowed from another act; this instrument states no meaning of its own (6)

repurchase transaction — any transaction governed by a repurchase agreement or a reverse repurchase agreement (83)

residential property — a residence which is occupied by the owner or the lessee of the residence, including the right to inhabit an apartment in housing cooperatives located in Sweden (75)

retail deposit — a liability to a natural person or to an SME, where the natural person or the SME would qualify for the retail exposure class under the Standardised or IRB approaches for credit risk, or a liability to a company which is eligible for the treatment set out in Article 153(4) and where the aggregate deposits by all such enterprises on a group basis do not exceed EUR 1 million (2)

retained earnings — profits and losses brought forward as a result of the final application of profit or loss under the applicable accounting framework (123)

reverse repurchase agreement — any agreement in which an institution or its counterparty transfers securities or commodities or guaranteed rights relating to either of the following: title to securities or commodities where that guarantee is issued by a recognised exchange which holds the rights to the securities or commodities and the agreement does not allow an institution to transfer or pledge a particular security or commodity to more than one counterparty at one time, subject to a commitment to repurchase them; substituted securities or commodities of the same description at a specified price on a future date specified, or to be specified, by the transferor, being a repurchase agreement for the institution selling the securities or commodities and a reverse repurchase agreement for the institution buying them (82)

revolving exposure — an exposure whereby customers' outstanding balances are permitted to fluctuate based on their decisions to borrow and repay, up to an agreed limit (12)

revolving securitisation — a securitisation where the securitisation structure itself revolves by exposures being added to or removed from the pool of exposures irrespective of whether the exposures revolve or not (13)

risk of excessive leverage — the risk resulting from an institution's vulnerability due to leverage or contingent leverage that may require unintended corrective measures to its business plan, including distressed selling of assets which might result in losses or in valuation adjustments to its remaining assets (94)

risk position — a risk number that is assigned to a transaction under the Standardised Method set out in Section5 following a predetermined algorithm (5)

risk-neutral distribution — a distribution of market values or exposures over a future time period where the distribution is calculated using market implied values such as implied volatilities (15)

rollover risk — the amount by which EPE is understated when future transactions with a counterparty are expected to be conducted on an ongoing basis. The additional exposure generated by those future transactions is not included in calculation of EPE (23)

secured lending transaction — any transaction giving rise to an exposure secured by collateral which does not include a provision conferring upon the institution the right to receive margin at least daily (2)

securitisation — a transaction or scheme, whereby the credit risk associated with an exposure or pool of exposures is tranched, having both of the following characteristics: payments in the transaction or scheme are dependent upon the performance of the exposure or pool of exposures; the subordination of tranches determines the distribution of losses during the ongoing life of the transaction or scheme (61)

securitisation position — an exposure to a securitisation (62)

senior management — borrowed from another act; this instrument states no meaning of its own (10)

servicer — an entity that manages a pool of purchased receivables or the underlying credit exposures on a day-to-day basis (8)

short position — a position in which it has fixed the interest rate it will pay at some time in the future 2.

simple repurchase agreement — a repurchase transaction of a single asset, or of similar, non-complex assets, as opposed to a basket of assets (84)

speculative immovable property financing — loans for the purposes of the acquisition of or development or construction on land in relation to immovable property, or of and in relation to such property, with the intention of reselling for profit (79)

sponsor — an institution other than an originator institution that establishes and manages an asset-backed commercial paper programme or other securitisation scheme that purchases exposures from third-party entities (14)

SSPE — a corporation trust or other entity, other than an institution, organised for carrying out a securitisation or securitisations, the activities of which are limited to those appropriate to accomplishing that objective, the structure of which is intended to isolate the obligations of the SSPE from those of the originator institution, and in which the holders of the beneficial interests have the right to pledge or exchange those interests without restriction (66)

sub-consolidated basis — on the basis of the consolidated situation of a parent institution, financial holding company or mixed financial holding company, excluding a sub-group of entities, or on the basis of the consolidated situation of a parent institution, financial holding company or mixed financial holding company that is not the ultimate parent institution, financial holding company or mixed financial holding company (49)

subsidiary — a subsidiary undertaking within the meaning of Articles 1 and 2 of Directive 83/349/EEC; a subsidiary undertaking within the meaning of Article 1(1) of Directive 83/349/EEC and any undertaking over which a parent undertaking effectively exercises a dominant influence. Subsidiaries of subsidiaries shall also be considered to be subsidiaries of the undertaking that is their original parent undertaking (16)

supervisory formula method — the method of calculating risk-weighted exposure amounts for securitisation positions in accordance with Article 262 (6)

synthetic holding — an investment by an institution in a financial instrument the value of which is directly linked to the value of the capital instruments issued by a financial sector entity (126)

synthetic securitisation — a securitisation where the transfer of risk is achieved by the use of credit derivatives or guarantees, and the exposures being securitised remain exposures of the originator institution (11)

systemic risk — borrowed from another act; this instrument states no meaning of its own (11)

third-country insurance undertaking — borrowed from another act; this instrument states no meaning of its own (23)

third-country reinsurance undertaking — borrowed from another act; this instrument states no meaning of its own (24)

Tier 1 own-fund insurance items — basic own-fund items of undertakings subject to the requirements of Directive 2009/138/EC where those items are classified in Tier 1 within the meaning of Directive 2009/138/EC in accordance with Article 94(1) of that Directive (102)

Tier 2 own-fund insurance items — basic own-fund items of undertakings subject to the requirements of Directive 2009/138/EC where those items are classified in Tier 2 within the meaning of Directive 2009/138/EC in accordance with Article 94(2) of that Directive (104)

Tier 3 own-fund insurance items — basic own-fund insurance items of undertakings subject to the requirements of Directive 2009/138/EC where those items are classified in Tier 3 within the meaning of Directive 2009/138/EC in accordance with Article 94(3) of that Directive (105)

trade exposure — a current exposure, including a variation margin due to the clearing member but not yet received, and any potential future exposure of a clearing member or a client, to a CCP arising from contracts and transactions listed in points (a) to (e) of Article 301(1), as well as initial margin (91)

trade finance — financing, including guarantees, connected to the exchange of goods and services through financial products of fixed short-term maturity, generally of less than one year, without automatic rollover (80)

trading book — all positions in financial instruments and commodities held by an institution either with trading intent, or in order to hedge positions held with trading intent (86)

traditional securitisation — a securitisation involving the economic transfer of the exposures being securitised. This shall be accomplished by the transfer of ownership of the securitised exposures from the originator institution to an SSPE or through sub-participation by an SSPE. The securities issued do not represent payment obligations of the originator institution (10)

tranche — a contractually established segment of the credit risk associated with an exposure or a number of exposures, where a position in the segment entails a risk of credit loss greater than or less than a position of the same amount in each other such segment, without taking account of credit protection provided by third parties directly to the holders of positions in the segment or in other segments (67)

type of exposures — a group of homogeneously managed exposures which are formed by a certain type of facilities and which may be limited to a single entity or a single sub-set of entities within a group provided that the same type of exposures is managed differently in other entities of the group (2)

underlying CIU — a CIU in the shares or units of which another CIU has invested (4)

unfunded credit protection — a technique of credit risk mitigation where the reduction of the credit risk on the exposure of an institution derives from the obligation of a third party to pay an amount in the event of the default of the borrower or the occurrence of other specified credit events (59)

unrated position — a securitisation position which does not have an eligible credit assessment by an ECAI as referred to in Section 4 (7)

unregulated financial entity — any other entity that is not a regulated financial sector entity but performs, as its main business, one or more of the activities listed in Annex I to Directive 2013/36/EU or listed in Annex I to Directive 2004/39/EC (5)