Glossary beginning with C

Capital adequacy ratio

the main measure of capital adequacy, calculated as the quotient of own funds and total capital requirements multiplied by 8%

Capital risk

risk of inadequate, and thus insufficient in relation to the scale of the Bank’s activities, level and structure of own funds for absorption of unexpected losses (taking into account both development plans and borderline cases)

CCF (Credit Conversion Factor)

credit conversion ratio for part of off-balance sheet exposures

CET 1 Ratio (Common Equity Tier 1 Ratio)

Tier 1 funds (exclusive of hybrid instruments and total capital requirements) multiplied by 8%

CIRS (Currency Interest Rate Swap)

a currency interest rate swap transaction

Commodities risk

risk of loss related to negative changes in prices of commodities, generated by through the maintenance of open positions in respective commodities

Compliance risk

the risk of incurring legal sanctions or occurrence of financial losses or a loss of reputation or credibility as a result of failure on part of the bank, the bank’s employees or entities operating on the Bank’s behalf to observe legal provisions, internal regulations and the market standards adopted by the bank

Concentration risk

the risk resulting from the Bank’s significant exposure to individual entities or groups of entities, whose debt repayment ability depends on one and the same factor (e.g. the industry situation, geographical location, relations between business entities etc.)

Confidence level

the probability, expressed usually as a proportion, that the variable (bank’s loss) under analysis will not exceed a specific value

Coverage ratio

a ratio of the credit and loan impairment write-downs to the value of credits and loans assessed by means of individualizes and portfolio approaches

CRD I (Capital Requirements Directive)

Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions

CRD II

Directive 2009/111/EC of the European Parliament and of the Council of 16 September 2009 amending Directives 2006/48/EC, 2006/49/EC and 2007/64/EC

CRD III

Directive 2010/76/EU of the European Parliament and of the Council of 24 November 2010 amending Directives 2006/48/EC and 2006/49/EC as regards capital requirements for the trading book and for re-securitisations, and the supervisory review of remuneration policies

CRD IV

Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC

Credit exposure

total assets constituting, awarded off-balance sheet liability or concluded off-balance sheet (derivative) transaction

Credit risk

the risk of incurring losses as a result of counterparty’s default in settlement of liabilities towards the bank or the risk of decrease in the economic value of the bank’s receivables as a result of deterioration of the counterparty’s ability to service its debt

Credit Value-at-Risk (CVaR)

a potential loss that should not be exceeded in relation to credit risk on the maintained credit portfolio, on the assumption that a defined confidence level and holding period of the position are kept

CRR Regulation

Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012

CSA (Credit Support Annex)

a collateral agreement – annex to the framework agreement

Cumulated adjusted liquidity gap

the sum of all partial real-terms liquidity gaps from the first a’vista interval to the interval for which the cumulated real-terms liquidity gap is calculated

Cumulated contractual liquidity gap

the sum of all partial contractual liquidity gaps from the first a’vista interval to the interval for which the cumulated contractual liquidity gap is calculated

Cut-off point

the minimum number of points awarded as a result of client creditworthiness assessment made using the scoring system (for individual clients) or the client or joint rating class (for institutional clients), starting from which a loan transaction may be concluded with a specific client

CVA (Credit Value Adjustment)

adjustment of the valuation of derivatives reflecting counterparty credit risk