+Guidelines for common procedures and methodologies for the supervisory review and evaluation process (SREP) and supervisory stress testing (EBA/GL/2026/06)
---+Compliance and reporting obligations
------+Status of these guidelines
---------+1. This document contains guidelines issued pursuant to Article 16 of Regulation (EU) No 1093/2010 …
---------+2. Guidelines set out the EBA’s view of appropriate supervisory practices within the European …
------+Reporting requirements
---------+3. According to Article 16(3) of Regulation (EU) No 1093/2010, competent authorities must notify …
---------+4. Notifications will be published on the EBA website, in line with Article 16(3).
---+1. Title 1. Subject matter, scope and definitions, and implementation
------+Subject matter
---------+1. These guidelines specify the common procedures and methodologies for the functioning of the …
---------+2. These guidelines do not set methodologies for the stress tests conducted by the EBA in …
------+Scope of application
---------+3. Competent authorities should apply these guidelines in accordance with the level of application …
---------+4. For parent undertakings and subsidiaries included in the consolidation, competent authorities …
---------+5. Where an institution has a subsidiary in the same Member State, but no waivers specified in Part …
---------+6. For cross-border groups, procedural requirements should be applied in a coordinated manner …
---------+7. When an institution has established a liquidity subgroup pursuant to Article 8 of Regulation …
------+Addressees
---------+8. These guidelines are addressed to competent authorities as defined in Article 4(2), points (i) …
------+Definitions
---------+9. Unless otherwise specified, terms used and defined in Regulation (EU) No 575/2013 , Directive …
------+Date of application
---------+10. These guidelines apply from 1 January 2027. Paragraphs 102, 103, 239, 462, 463 and 470(f) apply …
------+Repeal
---------+11. The EBA Guidelines on common procedures and methodologies for the supervisory review and …
---+2. Title 2. SREP framework
------+2.1. Overview of the SREP framework
---------+12. Competent authorities should have a comprehensive SREP framework covering the following …
---------+13. Competent authorities should consider the SREP an ongoing process that integrates the outcome …
---------+14. Competent authorities should categorise all institutions under their supervisory remit into …
---------+15. Within a group of entities, if competent authorities determine that the relevance of different …
---------+16. Competent authorities should review the categorisation of their institutions periodically, and …
---------+17. To ensure a minimum level of comparability, competent authorities should refer to the …
---------+18. Competent authorities should continuously assess the risks to which the institution is or might …
---------+19. Competent authorities should ensure that the findings of their assessments are clearly …
---------+20. As part of their ongoing supervisory activities, competent authorities should undertake …
---------+21. The framework referred to in the previous paragraph should consider the following actions …
---------+22. When selecting supervisory measures, competent authorities should identify the full escalation …
---------+23. Without prejudice to the discretion of the competent authorities in selecting the most …
---------+24. The provisions of this title are without prejudice to the possibility of competent authorities …
---------+25. Competent authorities should engage in dialogue with institutions as they perform their …
---------+26. Competent authorities should communicate the outcomes of the SREP assessment to the institution …
------+2.2. Scoring in the SREP
---------+27. Competent authorities should apply a consistent scoring system to help facilitate communication …
---------+28. When assigning risk scores, SREP elements scores and the overall SREP score, competent …
---------+29. The risk scores aim to capture the likelihood that the risks to capital, liquidity and funding …
---------+30. The scores are: 1 (low risk), 2 (medium-low risk), 3 (medium-high risk), and 4 (high risk – …
---------+31. Competent authorities should review the scores upon completion of the SREP assessments with the …
---------+32. Risk scores are assigned to summarise risks to capital (as specified in Title 6). These scores …
---------+33. Competent authorities should determine the risk score through an assessment of an institution’s …
---------+34. When assessing risks to capital, competent authorities should also consider relevant …
---------+35. Competent authorities may use different methods to apply the risk scores, they could score …
---------+36. At the end of the overall SREP assessment, competent authorities should form a comprehensive …
---------+37. Capital adequacy and liquidity and funding adequacy represent the supervisory view of the …
---------+38. The final score is an overall SREP score. This incorporates the four SREP element scores above …
---------+39. Competent authorities should ensure that the SREP element scores and the overall SREP score: a. …
------+2.3. Organisational arrangements
---------+40. Competent authorities should ensure that their organisational arrangements for conducting SREP …
---------+41. When defining arrangements for dialogue with institutions, competent authorities should …
------+2.4. Proportionality and supervisory engagement
---------+42. Competent authorities should adjust the scope, frequency, granularity and intensity of …
---------+43. Under this model, competent authorities should form a view on all the SREP elements (business …
---------+44. This view should be based on information gathered through the full range of supervisory …
---------+45. Competent authorities should engage with the institutions’ management body and senior …
---------+46. Where institutions are part of cross-border groups, competent authorities should discuss how …
---------+47. Where competent authorities determine that institutions have similar risk profiles or may be …
---------+48. For institutions covered by the supervisory examination programme required by Article 99 of …
---------+49. When planning supervisory activities, competent authorities should coordinate activities …
---+3. Title 3. Monitoring of key indicators
------+50. Competent authorities should regularly monitor key financial and non-financial indicators to …
------+51. Consistent with the SREP engagement model in section 2.4, competent authorities should monitor …
------+52. Competent authorities should set up monitoring systems to identify patterns, material changes …
------+53. Competent authorities should tailor the monitoring systems, and the escalation procedures in …
------+54. The monitoring systems should as a minimum be based on information and data reported to the …
------+55. Competent authorities should accompany institution-specific indicators with relevant …
---+4. Title 4. Business model analysis (BMA)
------+4.1. General considerations
---------+56. This title specifies criteria for the assessment of the business model and strategy of the …
---------+57. Competent authorities should use the outcome of the BMA to support the assessment of all other …
---------+58. Competent authorities should take into account environmental, social and governance (ESG) …
---------+59. Competent authorities should also use the business model analysis to assess prudential …
---------+60. To conduct the BMA, competent authorities should use at least the following sources of …
------+4.2. Identifying the areas of focus for the BMA
---------+61. In accordance with the engagement model set out in Title 2, competent authorities should focus …
---------+62. Competent authorities should form a view on the materiality of the changes to the institution’s …
---------+63. Competent authorities should carry out a materiality assessment of the institution’s business …
------+4.3. Assessment of BMA robustness and identification of vulnerabilities
---------+64. Competent authorities should perform an analysis of quantitative features of the institution’s …
---------+65. Competent authorities should perform an analysis of qualitative features of the institution’s …
---------+66. Competent authorities should complement the analysis by carrying out a forward-looking analysis …
---------+67. In the analysis, competent authorities should consider any indications that the business model …
------+4.4. Business model viability and sustainability
---------+68. Competent authorities should assess the resilience of the institution’s business model to …
---------+69. Based on the performed analysis, competent authorities should form, or update, their view on …
------+4.5. Summary of findings, scoring and supervisory measures
---------+70. Based on the assessment of the viability and sustainability, and of any potential risks and …
---------+71. The table below presents a non-exhaustive list of supervisory measures that competent …
---------+72. Competent authorities may apply additional supervisory measures (including quantitative …
---+5. Title 5. Assessing internal governance and institution-wide controls
------+5.1. General considerations
---------+73. When assessing the internal governance and institution-wide controls, competent authorities …
---------+74. Competent authorities should assess the adequacy of the institution’s internal governance …
---------+75. Competent authorities should take into account ESG risks, giving priority to environmental …
---------+76. The assessment of internal governance should inform the specific assessment of risk management …
---------+77. As part of the overall assessment of internal governance and institution-wide controls …
---------+78. When conducting the assessment of internal governance and institution-wide controls at …
------+5.2. Organisational structure, management body and its committees
---------+79. In assessing the institution’s organisational structure, management body and committees …
---------+80. In the context of assessing the institution’s management body, competent authorities should …
---------+81. When reviewing the composition and functioning of the institution’s management body and its …
------+5.3. Risk culture and business conduct
---------+82. In assessing the institution’s risk culture and business conduct, competent authorities should …
---------+83. Competent authorities should assess whether the institution has an appropriate framework in …
------+5.4. Remuneration policies and practices
---------+84. In assessing the institution’s remuneration policies and practices, competent authorities …
------+5.5. Internal control functions
---------+85. In assessing the institution’s internal control functions, competent authorities should assess …
---------+86. Competent authorities should assess whether the risk management function covers the whole …
---------+87. Competent authorities should assess whether the compliance function effectively assesses and …
---------+88. Competent authorities should assess whether the internal audit function independently reviews …
------+5.6. Risk management framework
---------+89. In assessing the institution’s risk management framework, competent authorities should assess …
---------+90. Competent authorities should assess whether the institution has in place a well-documented new …
---------+91. In assessing the institution’s ICAAP and ILAAP frameworks, competent authorities should assess …
---------+92. These assessments should contribute to the determination of P2R and to the assessment of …
---------+93. In assessing the institution’s stress testing, competent authorities should assess …
---------+94. Competent authorities should perform a qualitative assessment of the institution’s stress …
---------+95. Competent authorities should assess the extent to which stress testing is embedded in the …
---------+96. When assessing the stress testing programme, the results of stress tests and proposed …
---------+97. Competent authorities should assess the results of stress tests and whether the institution is …
---------+98. In the assessment of stress test results, competent authorities should also consider all known …
------+5.7. ICT systems, risk data aggregation and risk reporting
---------+99. Competent authorities should assess whether the institution’s ICT systems are reliable …
---------+100. Competent authorities should verify whether the institution develops and maintains appropriate …
---------+101. Competent authorities should determine whether the management body of the institution approves …
------+5.8. ML/TF risks and prudential concerns
---------+102. When analysing the internal governance framework and institution-wide controls, competent …
---------+103. Competent authorities should assess whether the institution’s overall internal governance and …
---------+104. Competent authorities should assess from a prudential perspective whether the roles and …
------+5.9. Recovery planning governance
---------+105. To assess internal governance and institution-wide controls, competent authorities should …
---------+106. Similarly, findings identified from the assessment of the SREP elements, including internal …
------+5.10. Summary of findings, scoring and supervisory measures
---------+107. Following the above assessment, competent authorities should form a view on the adequacy of …
---------+108. The table below presents a non-exhaustive list of supervisory measures that competent …
---+6. Title 6. Assessing risks to capital
------+6.1. General considerations
---------+109. Competent authorities should assess and score the risks to capital that have been identified …
---------+110. The purpose of this title is to provide common methodologies to be considered for assessing …
---------+111. This title provides competent authorities with guidance for the assessment and scoring of the …
---------+112. The title also identifies a set of subcategories within each risk category above, which need …
---------+113. The decision on materiality depends on the supervisory judgement. However, for FX lending …
---------+114. Competent authorities should also assess other risks that are identified as material to a …
---------+115. The above elements should also be taken into account by competent authorities when they are …
---------+116. For credit, market and operational risk, competent authorities should evaluate inter alia the …
---------+117. When evaluating risks to capital, competent authorities should also consider the potential …
---------+118. In their implementation of the methodologies specified in this title, competent authorities …
---------+119. For each material risk, competent authorities should assess and reflect in the risk score: a. …
---------+120. This assessment flow is represented in figure 2 below. Figure 2. Assessment workflow for risks …
---------+121. When performing their assessments, competent authorities should use available information …
---------+122. In the assessment of risks to capital, competent authorities should also evaluate the accuracy …
---------+123. The outcome of the assessment of each material risk should be reflected in a summary of …
------+6.2. Assessment of credit and counterparty risk
---------+124. When assessing the credit risk management framework, competent authorities should evaluate the …
---------+125. Competent authorities should assess credit risk arising from all non-trading book exposures …
---------+126. Competent authorities should take into account the possibility that these components may …
---------+127. Competent authorities should assess the impact of ESG risks on the inherent credit risk as …
---------+128. In addition, competent authorities should also pay attention to consideration given to ML/TF …
---------+129. Competent authorities should assess credit risk from both a current and forward-looking …
---------+130. To assess the inherent credit risk of an institution, competent authorities should first …
---------+131. Competent authorities should focus their assessment primarily on the most significant …
---------+132. Competent authorities should assess the materiality of the risk in relation to the current …
---------+133. As additional source of information for the materiality assessment, competent authorities …
---------+134. Competent authorities should also consider the results of stress tests performed by the …
---------+135. Based on the materiality assessment performed in the previous paragraphs, as well as the size …
---------+136. Competent authorities should assess the nature of the credit exposures (i.e. the types of …
---------+137. To assess the nature of credit risk, competent authorities should consider at least the …
---------+138. Where specialised lending exposures are deemed material, competent authorities should assess …
---------+139. When assessing portfolio credit quality, competent authorities should pay particular attention …
---------+140. Competent authorities should carry out an analysis to distinguish between performing …
---------+141. This should result in an overall assessment on the end-to-end credit cycle of the institution …
---------+142. Competent authorities should assess whether the level of loan loss provisions and credit …
---------+143. When evaluating the inherent credit risk of an institution, competent authorities should also …
---------+144. Competent authorities should consider the level and quality of guarantees (including credit …
---------+145. Competent authorities should also assess the materiality of the residual risk (as referred to …
---------+146. When assessing the impact of ESG risks and environmental risks in particular on the inherent …
---------+147. To achieve a comprehensive understanding of the institution’s credit risk profile, competent …
---------+148. Competent authorities should assess whether the institution has a sound, clearly formulated …
---------+149. Competent authorities should assess whether the institution has an appropriate organisational …
---------+150. Competent authorities should assess whether the institution has appropriate policies and …
---------+151. Competent authorities should assess whether the institution has an appropriate framework for …
---------+152. Competent authorities should assess whether the institution’s management body and senior …
---------+153. Competent authorities should assess whether the institution has defined and implemented …
---------+154. Competent authorities should assess whether the institution has a strong and comprehensive …
---------+155. In conducting this assessment, competent authorities should consider whether the limit system …
---------+156. Competent authorities should also assess the functionality of the internal audit function in …
---------+157. For institutions adopting an internal rating-based approach to determining minimum own funds …
---------+158. Following the above assessment, competent authorities should form a view on the institution’s …
---------+159. The table below presents a non-exhaustive list of supervisory measures that competent …
------+6.3. Assessment of market risk
---------+160. When assessing the market risk management framework, competent authorities should evaluate …
---------+161. In these guidelines, references to ‘market risk’ will encompass all the following risks, which …
---------+162. Competent authorities may perform a less granular analysis for institutions which meet the …
---------+163. Competent authorities should take into account the impact of ESG risks on the inherent market …
---------+164. Through the assessment of inherent market risk competent authorities should determine the main …
---------+165. To support this analysis, competent authorities should consider, as a minimum, the products …
---------+166. The first step in assessing the nature of the inherent market risk of an institution is to …
---------+167. Competent authorities should base their assessment primarily on the most significant …
---------+168. Competent authorities should also consider: a. the complexity of financial products (e.g. …
---------+169. When appropriate, competent authorities should also consider the internal risk measures of …
---------+170. Competent authorities should also assess the institution’s ability to form a comprehensive …
---------+171. When determining whether P2R should be imposed for the market risk to which the institution is …
---------+172. Competent authorities should identify and analyse in relation to market risk positions and the …
---------+173. Competent authorities should identify the materiality of the transfer pricing in the context …
---------+174. For institutions under paragraph 1733, point (a), where the profits and losses, re-allocated …
---------+175. Competent authorities should analyse the historic profitability, including volatility of …
---------+176. Competent authorities should distinguish between trading and non-trading revenues (such as …
---------+177. For those asset classes and/or exposures generating significant profits or losses, competent …
---------+178. Competent authorities should assess whether an institution has implemented adequate stress …
---------+179. To achieve an adequate understanding of the management of market risk, commensurate to the …
---------+180. Competent authorities should also assess the policies and procedures of institutions to …
---------+181. Competent authorities should assess whether institutions have sound, clearly formulated and …
---------+182. Competent authorities should assess whether the institution has an appropriate organisation …
---------+183. Competent authorities should assess whether the institution has clearly defined policies and …
---------+184. In particular, the assessment should cover the positions to be included/excluded from the …
---------+185. Competent authorities should assess whether the institution has an appropriate framework for …
---------+186. Competent authorities should assess whether institutions have in place an adequate monitoring …
---------+187. Competent authorities should assess whether the institution has a strong and comprehensive …
---------+188. Competent authorities should also assess whether the internal validation process is sound and …
---------+189. Competent authorities should also assess the functionality of the internal audit function in …
---------+190. Following the above assessment, competent authorities should form a view on the institution’s …
---------+191. The table below presents a non-exhaustive list of supervisory measures that competent …
------+6.4. Assessment of operational risk
---------+192. When assessing the operational risk management framework, competent authorities should …
---------+193. Competent authorities should assess operational risk throughout all the business lines and …
---------+194. Competent authorities should assess the materiality of operational risk arising from …
---------+195. When assessing operational risk, competent authorities should assess ICT risk, pursuant to …
---------+196. Competent authorities should assess whether the institution has an adequate operational …
---------+197. When assessing operational risk, competent authorities should assess, if applicable, whether …
---------+198. Competent authorities should assess reputational risk jointly with operational risk as it is …
---------+199. Competent authorities should assess the impact of ESG risks on the inherent operational and …
---------+200. Competent authorities should develop a thorough understanding of the institution’s inherent …
---------+201. To support this assessment, competent authorities should consider the own funds requirement …
---------+202. Competent authorities should consider at minimum key operational risk factors, potential …
---------+203. Competent authorities should determine the nature of operational risk exposures by analysing …
---------+204. Following the identification and analysis of the major sources and drivers of operational …
---------+205. A primary source of information competent authorities should consider it is the institution’s …
---------+206. Competent authorities should focus the assessment of operational risk sub-categories to those …
---------+207. Competent authorities should consider the following when assessing the relevance and …
---------+208. Competent authorities should consider whether the institution may occur any expenses, fines …
---------+209. However, the competent authority should apply a forward-looking approach, also considering the …
---------+210. Under the operational risk, competent authorities should assess model risk, with specific …
---------+211. For the assessment of model risk, competent authorities should consider: a. to what extent and …
---------+212. When models are used for decision-making purposes (e.g. product pricing, AI models, evaluation …
---------+213. When conducting the model risk assessment, competent authorities should consider the …
---------+214. In line with DORA, competent authorities should review the institution’s identification …
---------+215. Competent authorities should review the institution’s relevant documentation, methodology and …
---------+217. Competent authorities should then map the identified material ICT risk into the ICT risk …
---------+218. Competent authorities should assess the framework and arrangements the institution has in …
---------+219. Competent authorities should assess whether the institution has a sound, clearly formulated …
---------+220. Competent authorities should assess the institution’s compliance with Article 323 of the …
---------+221. Competent authorities should assess whether the institution has a strong control framework and …
---------+222. Competent authorities should also assess the functionality of the internal audit function in …
---------+223. Competent authorities should assess the institution’s compliance with the (i) EBA Guidelines …
---------+224. Competent authorities should assess whether the institution has established effective business …
---------+225. Competent authorities should determine whether the institution’s business continuity …
---------+226. Competent authorities should assess whether the institution’s business continuity, response …
---------+227. Competent authorities should also assess whether testing results are documented and reported …
---------+228. Competent authorities should assess the institution’s compliance with the DORA and the EBA …
---------+229. Competent authorities should assess how the roles and responsibilities for all ICT-related …
---------+230. Competent authorities should develop a thorough understanding of the institution’s ICT risk …
---------+231. When assessing ICT risk management, competent authorities should pay particular attention to …
---------+232. Competent authorities should consider whether the internal audit function is effective and …
---------+233. Competent authorities should assess the reputational risk to which the institution is exposed …
---------+234. When assessing the relevance of reputational risk, competent authorities should consider the …
---------+235. Competent authorities should consider both internal and external factors or events that might …
---------+236. Competent authorities should assess the significance of the institution’s reputational risk …
---------+237. In the context of the operational risk analysis, competent authorities should take into …
---------+238. Competent authorities should bear in mind that any institution can be exposed to ML/TF risk …
---------+239. Competent authorities should share relevant information on operational risk issues identified …
---------+240. Competent authorities should assess whether the institution has implemented adequate …
---------+241. Competent authorities should form a holistic view on the ability of the institution to deliver …
---------+242. Competent authorities should consider the attention given by the management body and senior …
---------+243. Following the above assessment, competent authorities should form a view on the institution’s …
---------+244. The table below presents a non-exhaustive list of supervisory measures that competent …
------+6.5. Assessment of interest rate risk and credit spread risk arising from non-trading book activities
---------+245. When assessing the inherent interest rate risk arising from interest rate-sensitive positions …
---------+246. Competent authorities should assess IRRBB, including hedges for these positions, irrespective …
---------+247. Competent authorities should consider the relevance and materiality of at least the following …
---------+248. Assessment of IRRBB should be differentiated from assessment of CSRBB that competent …
---------+249. Based on the overall assessment of the inherent risk of IRRBB and the risk management and …
---------+250. Through the assessment of the inherent level of IRRBB, competent authorities should determine …
---------+251. To determine the scope of the IRRBB assessment, competent authorities should first identify …
---------+252. Competent authorities should form a clear view on how changes in interest rates can have an …
---------+253. For this purpose, competent authorities should analyse and form a clear view on the structure …
---------+254. In addition, competent authorities should review the institution’s hedging strategy and the …
---------+255. Competent authorities should also pay attention to any concentrations (e.g. in the loan or …
---------+256. When analysing the impact on the institution’s earnings, competent authorities should be aware …
---------+257. When analysing the impact on the institution’s economic value and earnings, competent …
---------+258. Where the institution is identified as an outlier by the supervisory outlier test on net …
---------+259. Competent authorities should pay attention to the sensitivity of cash flows to changes in the …
---------+260. In addition to using the supervisory outlier test stipulated in Article 98(5) of Directive …
---------+261. In their quantitative assessment, competent authorities should also consider the results of …
---------+262. When analysing the results of both the impact of the supervisory outlier tests, and the …
---------+263. Competent authorities should assess and take into account the results of the interest rate …
---------+264. If, when the outcome of the institution’s shock scenarios and stress tests is reviewed …
---------+265. To achieve a comprehensive understanding of the institution’s interest rate risk profile in …
---------+266. Competent authorities should assess whether the institution has a sound, clearly formulated …
---------+267. Competent authorities should assess whether the institution has an appropriate organisational …
---------+268. Competent authorities should assess whether the institution has clearly defined policies and …
---------+269. Competent authorities should assess whether the institution has an appropriate framework for …
---------+270. In addition, they should consider whether the information systems and measurement techniques …
---------+271. Competent authorities should assess the institution’s approach to modelling the behaviour of …
---------+272. Competent authorities should consider whether the institution’s internal measurement systems …
---------+273. Competent authorities should assess whether the institution has an appropriate monitoring and …
---------+274. Competent authorities should assess whether the institution has a strong and comprehensive …
---------+275. Through the assessment of the inherent level of CSRBB, competent authorities should understand …
---------+276. To determine the scope of the CSRBB assessment, competent authorities should first identify …
---------+277. Competent authorities should form a clear view on how changes in credit spreads can have an …
---------+278. When analysing the impact on the institution’s earnings, competent authorities should consider …
---------+279. Competent authorities should consider the results of the institution’s methodologies for …
---------+280. To achieve a comprehensive understanding of the institution’s credit spread risk profile in …
---------+281. The review of the institution’s governance of CSRBB should include the following elements: a. …
---------+282. For the assessment of these areas, competent authorities should refer to section 6.5.2.2 on …
---------+283. When analysing the perimeter of assets and liabilities covered by the CSRBB assessment, also …
---------+284. To analyse the institution’s measurement of CSRBB, competent authorities should consider …
---------+285. Competent authorities should check the exclusion of idiosyncratic spread in the institution’s …
---------+286. Competent authorities should assess whether the institution has an appropriate framework for …
---------+287. Competent authorities should consider whether the institution’s internal measurement systems …
---------+288. Competent authorities should assess whether the institution has an appropriate monitoring and …
---------+289. Competent authorities should assess whether the institution has a strong and comprehensive …
---------+290. Following the above assessments, competent authorities should form a view on the institution’s …
---------+291. The table below presents a non-exhaustive list of supervisory measures that competent …
---+7. Title 7. SREP capital assessment
------+7.1. General considerations
---------+292. Competent authorities should determine through the SREP capital assessment whether the own …
---------+293. Competent authorities should do this by determining and setting the quantity (amount) and …
---------+294. When a material impact on institution’s capital profile is or may be expected due to relevant …
---------+295. To address potential capital inadequacies, including in stressed conditions, competent …
---------+296. When setting the P2R and, where relevant, P2G, competent authorities should: a. take into …
---------+297. Competent authorities should assess the adequacy of the institution’s own funds and the impact …
------+7.2. Determining Pillar 2 requirement for risks other than the risk of excessive leverage (P2R)
---------+298. Competent authorities should determine P2R for risks other than the risk of excessive …
---------+299. When setting P2R for the risk of unexpected losses pursuant to point (a) of the following …
---------+300. Competent authorities should determine on a risk-by-risk basis, the amounts of capital …
---------+301. Competent authorities should ensure that the amount of capital considered adequate to cover …
---------+302. When identifying, assessing and quantifying risks to which the institution is exposed …
---------+303. The ICAAP and outcomes of its assessment should be taken into account by competent authorities …
---------+304. For the purposes of Article 98(1), point (f) of Directive 2013/36/EU and the determination of …
---------+305. However, diversification between risks in different categories, including those covered by …
---------+306. Competent authorities should assess the reliability of the ICAAP calculations by assessing …
---------+307. Competent authorities should further assess the reliability of the ICAAP calculations by …
---------+308. An ICAAP calculation should be considered partially reliable where, despite not meeting all …
---------+309. Competent authorities should develop and apply risk-specific supervisory benchmarks as a means …
---------+310. The supervisory benchmarks should be developed to provide a prudent, consistent (i.e. as …
---------+311. When applying supervisory benchmarks, competent authorities should consider the business model …
---------+312. Competent authorities should use other relevant inputs to support the determination of …
---------+313. Other relevant inputs should prompt the competent authority to reassess the …
---------+314. To ensure consistency in determining P2R, competent authorities should use the same peer …
---------+315. When competent authorities take supervisory benchmarks as well as other relevant inputs into …
---------+316. If, during the ongoing review of internal approaches for the calculation of own funds …
---------+317. When an institution becomes bound by the output floor as set out in Article 92(3) of …
---------+318. For the purpose of the previous paragraph, competent authorities should encourage institutions …
---------+319. Competent authorities should perform the review described in paragraph 317 at the time an …
---------+320. Competent authorities should set P2R to cover deficiencies – identified following the risk …
---------+321. Competent authorities should only set P2R to cover funding risk – identified following the …
---------+322. Where an institution repeatedly fails to establish or maintain an adequate level of own funds …
---------+323. Where necessary, and having regard to the institution’s specific circumstances, competent …
------+7.3. Pillar 2 requirements for the risk of excessive leverage (P2R-LR)
---------+324. Where, as a result of the risk of excessive leverage assessment, in accordance with Article …
---------+325. In line with the concept of the leverage ratio (and its stack of requirements) as a backstop …
---------+326. In assessing the risk of excessive leverage, competent authorities should consider all of the …
---------+327. Competent authorities should determine the P2R-LR as the difference between the capital …
---------+328. When setting P2R-LR, competent authorities should consider in particular: a) elements of risk …
---------+329. Competent authorities should identify, assess and quantify the risk of excessive leverage …
---------+330. Competent authorities should add the P2R-LR to the minimum leverage ratio Tier 1 requirement. …
---------+331. Where necessary, and having regard to the institutions’ specific circumstances, competent …
------+7.4. Reconciliation with the capital buffers and any macroprudential requirements
---------+332. In determining Pillar 2 requirements (or other capital measures), competent authorities should …
------+7.5. Determining the TSCR, TSLRR, OCR and OLRR
---------+333. Competent authorities should determine and express the TSCR in terms of CET1 Capital, Tier 1 …
---------+334. Competent authorities should determine the TSLRR (in terms of Tier 1 capital) as the sum of …
---------+335. Where competent authorities require institutions to cover P2R-LR with a higher quality of …
---------+336. Where considering the possibility of requiring a higher quality of capital, competent …
---------+337. Competent authorities should determine the OCR as the sum of: a. TSCR; b. combined capital …
---------+338. Competent authorities should determine the OLRR as the sum of: a. TSLRR; b. G-SII leverage …
---------+339. Competent authorities should not consider items and instruments other than those eligible for …
------+7.6. Meeting requirements in stressed conditions – Use of P2G and P2G-LR to address the quantitative outcomes of stress testing
---------+340. Competent authorities should determine by means of stress testing the adequacy of the …
---------+341. Competent authorities should assess as appropriate the quantitative outcomes of stress tests …
---------+342. Competent authorities should determine P2G and P2G-LR, and, where the determination leads to a …
---------+343. The level of P2G should protect against the potential breach of TSCR in an adverse scenario. …
---------+344. Competent authorities should determine and set P2G and P2G-LR based on the outcomes of the …
---------+345. On the basis of establishing a proportionate approach for non-Category 1 institutions and …
---------+346. Competent authorities should determine and set P2G and P2G-LR in accordance with the minimum …
---------+347. Notwithstanding the previous paragraph, competent authorities: a. should assess whether the …
---------+348. When calibrating the P2G, competent authorities should ensure that it is set at a level …
---------+349. When calibrating the P2G-LR, the maximum stress impact should be calculated based on the …
---------+350. Competent authorities should obtain the P2G starting point specific for each institution by …
---------+351. Where setting the P2G and P2G-LR, competent authorities should ensure an adequate link between …
---------+352. When determining the final P2G and P2G-LR, competent authorities should consider, where …
---------+353. For the purpose of determining P2G, competent authorities should also consider the extent to …
---------+354. In addition, competent authorities should consider the extent to which the existing combined …
---------+355. Where competent authorities determine P2G, they should add this guidance on top of the OCR. …
------+7.7. Summary of findings, scoring and supervisory measures
---------+356. Following the above assessment, competent authorities should form a view on whether existing …
---------+357. In setting the score for capital adequacy, where applicable, competent authorities should …
---------+358. The table below provides a non-exhaustive list of supervisory measures that competent …
---------+359. When competent authorities assess the credibility of the capital plan or the revised capital …
---------+360. Competent authorities should expect institutions to implement the revised capital plan …
---+8. Title 8. Assessing risks to liquidity and funding and SREP liquidity and funding assessment
------+8.1. General considerations
---------+361. Competent authorities should assess the institution’s material liquidity and funding risks and …
---------+362. When assessing the inherent liquidity and funding risk, and the adequacy of the liquidity and …
---------+363. The methodology comprises six main components: a. assessment of inherent liquidity risk …
---------+364. The assessment flow is documented graphically in figure 3. Figure 3. Elements of the …
---------+365. In the assessment of risks to liquidity and funding, competent authorities should review …
---------+366. Competent authorities should ensure the assessment pays attention to how the institution’s …
---------+367. To assist with the quantitative assessment of the institution’s liquidity and funding risks …
---------+368. Competent authorities shall also evaluate any information with a potential impact on liquidity …
---------+369. In reviewing the quality of the institution’s organisational and risk management arrangements …
---------+370. Competent authorities should take into account the impact of ESG risks on the inherent …
---------+371. The outcome of the assessment of each individual risk should be reflected in a summary of …
------+8.2. Assessment of inherent liquidity risk
---------+372. Competent authorities should assess the institution’s short- and medium-term liquidity risk …
---------+373. For the assessment of liquidity needs, buffers and counterbalancing capacity under normal …
---------+374. Competent authorities should assess the institution’s liquidity needs in the short and medium …
---------+375. Competent authorities should support the assessment of short-term liquidity risk by analysing …
---------+376. In evaluating the impact of shocks on the institution’s liquidity needs, competent authorities …
---------+377. Competent authorities should ensure that their assessment of the institution’s short-term …
---------+378. Competent authorities should assess the institution’s exposure to intraday liquidity risk for …
---------+379. For those jurisdictions where reporting on intraday risk is not yet available, competent …
---------+380. Competent authorities should assess the adequacy of the institution’s liquidity buffer and …
---------+381. Competent authorities should consider factors that might reduce the institution’s ability to …
---------+382. Competent authorities should review (where applicable) the appropriateness of the …
---------+383. Competent authorities should run their own liquidity stress tests to independently assess …
------+8.3. Assessment of inherent funding risk
---------+384. Competent authorities should assess the institution’s funding risk and whether the medium- and …
---------+385. Competent authorities should assess the appropriateness of the institution’s funding profile …
---------+386. Competent authorities should consider the impact on the institution’s funding profile of any …
---------+387. Competent authorities should assess whether potential shortcomings arising from the …
---------+388. Competent authorities should consider factors that may reduce the stability of the funding …
---------+389. Competent authorities should assess risks to the sustainability of the funding profile arising …
---------+390. Competent authorities should also assess the risk that asset encumbrance may have an adverse …
---------+391. Competent authorities should be aware of the institution’s actual market access and current …
---------+392. Competent authorities should assess the expected change in funding risks based on the …
------+8.4. Assessment of liquidity and funding risk management and control framework
---------+393. To achieve a comprehensive understanding of the institution’s liquidity and funding risk …
---------+394. Competent authorities should assess whether the institution has a sound, clearly formulated …
---------+395. Competent authorities should assess whether the institution has an appropriate organisational …
---------+396. Competent authorities should assess whether the institution has appropriate policies and …
---------+397. Competent authorities should assess the adequacy of the institution’s approach to maintaining …
---------+398. Competent authorities should assess whether the institution has an appropriate framework and …
---------+399. Competent authorities should assess whether institutions have an appropriate reporting …
---------+400. Competent authorities should assess the adequacy of the process of measuring intraday …
---------+401. Competent authorities should assess whether the institution has an adequate set of liquidity …
---------+402. Institutions should be able to demonstrate that the indicators are adequately documented …
------+Institution’s liquidity- and funding-specific stress testing
---------+403. Competent authorities should assess whether an institution has implemented adequate …
---------+404. Competent authorities should take into account whether the framework permits the institution …
---------+405. Competent authorities should ensure that the institution provides the modelled impact of …
---------+406. An important aspect that competent authorities should consider when assessing the …
---------+407. Competent authorities should also assess whether the institution takes a conservative approach …
---------+408. Competent authorities should assess whether the management framework of the institution’s …
---------+409. Competent authorities should assess whether the institution has a strong and comprehensive …
---------+410. Competent authorities should consider whether the institution has limits to ensure consistency …
---------+411. Competent authorities should assess whether the limits are approved and regularly reviewed by …
---------+412. Competent authorities should assess whether the institution has implemented an adequate …
---------+413. Competent authorities should assess whether the institution has adequate controls regarding …
---------+414. Competent authorities should assess whether the institution’s liquidity contingency plan (LCP) …
---------+415. Competent authorities should assess whether the actions described in the LCP are feasible in …
---------+416. Competent authorities should assess the appropriateness of the institution’s governance …
---------+417. Competent authorities should assess whether the funding plan is feasible and appropriate in …
---------+418. In addition, competent authorities may consider: a. whether the institution adequately …
---------+419. Competent authorities should assess whether the institution’s funding plan is appropriately …
---------+420. In addition, competent authorities may take into account whether the institution is able to …
---------+421. Competent authorities should consider the quality of the institution’s processes for …
------+8.5. Summary of findings, scoring and supervisory measures
---------+422. Following the above assessment, competent authorities should form a view on the institution’s …
---------+423. In setting the liquidity and funding adequacy score, competent authorities should, where …
---------+424. Following the liquidity and funding adequacy scoring of section 8.5, competent authorities …
---------+425. The next table provides a non-exhaustive list of qualitative and quantitative supervisory …
---------+426. Where competent authorities determine that quantitative measures may be necessary, they should …
---------+427. It is relevant to note that part of the measures mentioned in table 18 are of a qualitative …
---------+428. When setting structural, long-term supervisory requirements, competent authorities should …
---------+429. Where competent authorities conclude that there is a high risk that the institution’s cost of …
------+8.6. Benchmarking and setting of quantitative liquidity and funding requirements
---------+430. To support their liquidity and funding adequacy scoring and calibrate specific quantitative …
---------+431. Competent authorities should use the most appropriate benchmark for the institution’s business …
---------+432. Competent authorities should assess the suitability of any benchmarks applied to institutions …
---------+433. A key input to the competent authority’s benchmarks for the quantification of specific …
---------+434. Below are some examples of the possible approaches: a. Example 1: Institution with an initial …
---------+435. Where competent authorities have not developed their own benchmark for the quantification of …
---------+436. To articulate the specific quantitative liquidity requirements, competent authorities should …
---------+437. To articulate the specific quantitative stable funding requirements appropriately, competent …
---------+438. Competent authorities should structure quantitative liquidity or funding requirements in such …
---------+439. Competent authorities should ensure that the institution immediately notifies them if it does …
---------+440. Notwithstanding the above, competent authorities may also set qualitative requirements in the …
---------+441. Below are some examples of the different approaches for the structure of specific quantitative …
---------+Example of specific requirements articulation
---+9. Title 9. Overall SREP assessment and communication
------+9.1. General considerations
---------+442. This title covers how the findings from the assessments of each SREP elements are combined …
------+9.2. Overall SREP assessment
---------+443. In determining the overall SREP assessment, competent authorities should consider the findings …
---------+444. On the basis of these considerations, competent authorities should determine the institution’s …
---------+445. The overall SREP assessment should be reflected in a viability score based on the …
---------+446. When determining that an institution is ‘failing or likely to fail’, as reflected by an …
------+9.3. Communication of the outcome of the SREP assessment
---------+447. Competent authorities should communicate, in accordance with the SREP engagement model set out …
---------+448. The communication of the outcome of the SREP assessment to institutions, and, where relevant …
------+9.4. Supervisory reaction to a situation where TSCR or OCR is not met
---------+449. TSCR as determined in accordance with these guidelines and communicated in the SREP assessment …
---------+450. Competent authorities should also monitor whether the institutions meet the OCR. Where …
------+9.5. Supervisory reaction to a situation where P2G is not met
---------+451. Competent authorities should monitor whether the amount of own funds expected in accordance …
---------+452. There are generally three situations to be considered by a competent authority in which an …
---------+453. Notwithstanding particular supervisory responses in accordance with the previous paragraph …
------+9.6. Interaction between supervisory, early intervention measures and resolution authorities’ assessment
---------+454. In addition to the supervisory measures, competent authorities may apply early intervention …
---------+455. Competent authorities should apply early intervention measures without prejudice to any other …
---------+456. When setting supervisory or early intervention measures, competent authorities should, in …
------+9.7. Interaction between supervisory and macroprudential measures
---------+457. Where an institution is subject to macroprudential measures and the SREP assessment determines …
------+9.8. Interaction between supervisory and AML/CFT measures
---------+458. When applying supervisory measures to address prudential deficiencies related to ML/TF risk …
---------+459. Where competent authorities in the course of exercising their supervisory activities have …
---------+460. Where the competent authorities are notified or become aware of supervisory measures or …
---+10. Title 10. Application of the SREP to cross-border groups
------+461. This title addresses the application of the SREP procedures and methodology as specified in …
------+462. In the SREP, competent authorities should also consider the potential ML/TF risks and risks of …
------+463. When assessing prudential implications of ML/TF risks and risks of non-implementation and …
------+10.1. Application of the SREP to cross-border groups
---------+464. When applying the SREP and these guidelines to cross-border groups, competent authorities …
---------+465. When these guidelines are applied to the subsidiaries of a cross-border group, competent …
---------+466. The results of any such initial assessment of the SREP elements, including, if identified …
---------+467. In accordance with Article 3 of the Commission Implementing Regulation (EU) No 710/2014, prior …
---------+468. Following the discussions within the colleges of supervisors and the outcomes of the joint …
---------+469. Where a competent authority’s assessment revealed specific deficiencies related to intra-group …
---------+470. Competent authorities should discuss and coordinate the following within the colleges of …
---------+471. When preparing the summary of the overall SREP assessment for the cross-border group and its …
------+10.2. SREP capital assessment and institution-specific prudential requirements
---------+472. The determination of capital adequacy, and related requirements and guidance in accordance …
---------+473. For parent or subsidiary institutions of a cross-border group, the application of P2R and …
---------+474. In the context of discussions on the adequacy of the level of own funds and determining P2R …
---------+475. To determine the TSCR as specified in Title 7, competent authorities should consider the same …
---------+476. If the outcome of the supervisory assessment of the risk of excessive leverage for the parent …
---------+477. In the context of the discussions on the adequacy of the level of own funds to cover the risk …
---------+478. All the relevant information regarding the determination of P2G and P2G-LR for parent or …
------+10.3. SREP liquidity assessment and institution-specific prudential requirements
---------+479. The determination of measures to address any significant matters and material findings …
---------+480. For Article 113(1)(b) of Directive 2013/36/EU, competent authorities should consider ‘matters’ …
------+10.4. Application of other supervisory measures
---------+481. Competent authorities responsible for the supervision of cross-border groups and their …
---------+482. Competent authorities responsible for the prudential supervision of entities of a cross-border …
---+11. Title 11. Supervisory stress testing
------+11.1. Use of supervisory stress testing by competent authorities
---------+483. Competent authorities should, also on the basis of Article 100 of Directive 2013/36/EU, use …
---------+484. Furthermore, supervisory stress testing should help competent authorities to assess …
---------+485. Competent authorities should also, where appropriate, use supervisory stress testing outcomes …
------+11.2. Key elements of supervisory stress testing
---------+486. When deciding on the key elements of supervisory stress testing, competent authorities should …
---------+487. When designing and conducting supervisory stress tests for SREP purposes, competent …
------+11.3. Organisational and governance arrangements within competent authorities
---------+488. Competent authorities should establish an effective programme for supervisory stress testing. …
---------+489. The governance, organisation and IT arrangements supporting the supervisory stress testing …
---------+490. As part of governance arrangements, competent authorities should ensure that the supervisory …
---------+491. Competent authorities should ensure that they have processes and arrangements in place for an …
---------+492. When applying supervisory stress testing to cross-border groups, competent authorities should …
---------+493. Competent authorities should also identify what information regarding supervisory stress tests …
------+12. Title 12. Assessing third-country branches
---------+494. This title addresses the application of the SREP procedures and methodology as specified in …
---------+495. When performing the SREP assessment for TCBs, competent authorities should evaluate inter alia …
---------+496. The SREP assessment of a TCB should include an assessment of the branch’s business model …
---------+497. The review should be conducted with a level of frequency and intensity that is proportionate …
---------+498. In addition to assessing the core SREP elements for TCBs, competent authorities should ensure …
---------+499. Where competent authorities exercise their right in accordance with Article 48a of Directive …
---------+500. Competent authorities should use the findings from the assessment of the individual SREP …
---------+12.1. Application of SREP to third-country branches
------------+501. The SREP assessment should focus on the TCB’s material risks and how these are dependent on …
------------+502. To inform the assessment, competent authorities should take into account the results of the …
------------+503. Competent authorities should ensure that the scope of the assessment contains measures to …
------------+504. Where the review of the TCB’s governance, business model, or activities, gives competent …
------------+505. Competent authorities should analyse the TCB’s business model and strategy to understand the …
------------+506. Competent authorities should pay specific attention to the outreach of the TCB activities, to …
------------+507. Competent authorities should consider how the head undertaking’s strategic priorities for the …
------------+508. Competent authorities should assess the adequacy of the TCB’s governance arrangements using …
------------+509. In conducting the assessment of internal governance, competent authorities should consider …
------------+510. Competent authorities should assess whether the persons directing the TCB: a. have sufficient …
------------+511. Where the TCB branch has established a management committee, competent authorities should …
------------+512. Competent authorities should assess the TCB’s relation with the head undertaking, including …
------------+513. Where the TCB engages in back-to-back or intragroup operations, competent authorities should …
------------+514. Competent authorities should assess whether the TCB has robust internal control functions. For …
------------+515. Competent authorities should assess whether the TCB conducts appropriate due diligence and …
------------+516. Competent authorities should assess: a. whether the TCB branch meets the minimum capital …
------------+517. Competent authorities should assess whether the institution holds sufficient liquid and …
------------+518. In conducting the capital endowment and liquidity assessment, competent authorities should …
------------+519. Competent authorities should assess: a. the quality of the engagement between the TCB and head …
------------+520. Competent authorities should assess whether the TCB has an adequate framework for managing and …
------------+521. Competent authorities should assess whether the activities performed by the TCB, its assets …
------------+522. Where the TCB engages in back-to-back booking arrangements, competent authorities should …
------------+523. Competent authorities should assess whether the TCB manages assets and liabilities …
------------+524. Where the TCB originates assets and liabilities for other branches or subsidiaries of the same …
---------+12.2. Summary of findings, scoring and supervisory measures
------------+525. Following the above assessment, competent authorities should form an overall risk on the key …
------------+526. Competent authorities may, on the basis of the vulnerabilities and deficiencies identified in …
------------+527. For TCBs of systemic importance, competent authorities may also consider: a) Requiring the TCB …
------------+528. Competent authorities should communicate the outcomes of the SREP assessment to the management …
---------+Annex I – Credit risk sub-categories
------------+categories assessment areas
------------+categories assessment areas
---------+Annex II – Market risk sub-categories
------------+categories (level 1)
------------+categories (level 1)
------------+categories (level 1)
------------+categories (level 1)
------------+categories (level 1)
------------+adjustment risk
------------+banking books)
------------+categories (level 1)
------------+risk
------------+risk
---------+Annex III – Operational risk sub-categories
------------+categories (level 1) categories (level 2)
------------+categories (level 1) categories (level 2)
---------+Annex IV – IRRBB sub-categories
------------+categories (level 1)
---------+Annex V – Transfer pricing risk measurement
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Guidelines for common procedures and methodologies for the supervisory review and evaluation process (SREP) and supervisory stress testing (EBA/GL/2026/06)
Guidelines for common procedures and methodologies for the supervisory review and evaluation process (SREP) and supervisory stress testing (EBA/GL/2026/06) https://www.eba.europa.eu/activities/single-rulebook/regulatory-activities/supervisory-review-and-evaluation-process-srep-and-pillar-2/guidelines-common-procedures-and-methodologies-supervisory-review-and-evaluation-process-srep-and – PDF
1. Übersicht
1.1 Referenzen
1.2 Identifizierte Anforderungen
1.3 Zugehörige Standards
2. Identifizierte Anforderungen
Anforderungen
| Quelle |
Anforderung |
3. Zugehörige Standards
Standards
| Quelle |
Anforderung |
Verknüpfte Vorgänge
- EBA - Published by the European Banking Authority at https://www.eba.europa.eu/
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