Range of scenarios of severe macroeconomic and financial stress

The other component of the ORC is the ‘range of scenarios of severe macroeconomic and financial stress’. In order to determine the ORC, institutions should calculate their recovery capacity specific for the relevant scenarios envisaged in the recovery plan (i.e. the so-called ‘scenario-specific recovery capacity’).

To calculate the ‘scenario-specific recovery capacity’, institutions should assume that the scenario results in them breaching their total SREP capital or leverage ratio requirement (TSCR or TSLRR) as defined in the EBA guidelines on common procedures and methodologies for the supervisory review and evaluation process (‘SREP guidelines’)¹³ or their minimum regulatory liquidity requirements as determined by the most recent SREP assessment.

¹³ EBA/GL/2022/03.

In the exceptional circumstances where an institution argues that it is not able to draw up a plausible severe scenario that would lead to a breach of the capital or leverage requirements as specified in paragraph 20, the institution should provide a detailed explanation to the competent authorities on why that specific scenario should still be considered severe enough to threaten its failure unless recovery measures were implemented in a timely manner.