REGLAMENTO DE EJECUCIÓN (UE) N o 710/2014 DE LA COMISIÓN de 23 de junio de 2014 por el que se establecen normas técnicas de ejecución en lo que respecta a las condiciones de aplicación del proceso de decisión conjunta sobre los requisitos prudenciales específicos de las entidades de conformidad con la Directiva 2013/36/UE del Parlamento Europeo y del Consejo (Texto pertinente a efectos del EEE)
REGLAMENTO DE EJECUCIÓN (UE) N
o 710/2014 DE LA COMISIÓN
de 23 de junio de 2014
por el que se establecen normas técnicas de ejecución en lo que respecta a las condiciones de aplicación del proceso de decisión conjunta sobre los requisitos prudenciales específicos de las entidades de conformidad con la Directiva 2013/36/UE del Parlamento Europeo y del Consejo
Visto el Tratado de Funcionamiento de la Unión Europea,
Vista la Directiva 2013/36/UE del Parlamento Europeo y del Consejo, de 26 de junio de 2013, relativa al acceso a la actividad de las entidades de crédito y a la supervisión prudencial de las entidades de crédito y las empresas de inversión, por la que se modifica la Directiva 2002/87/CE y se derogan las Directivas 2006/48/CE y 2006/49/CE (1), y, en particular, su artículo 113, apartado 5, párrafo tercero,
Considerando lo siguiente:
(1)
El intercambio eficiente de información apropiada resulta esencial para la adopción de una decisión conjunta sobre la adecuación de los fondos propios, las medidas relativas a la supervisión de la liquidez, y el nivel de los requisitos de liquidez y de capital aplicados a cada entidad de un grupo y al grupo.
(2)
A fin de garantizar una aplicación coherente del proceso de decisión conjunta, es importante que cada etapa esté bien definida. Un proceso claro también facilita el intercambio de información, favorece la comprensión mutua, desarrolla las relaciones entre las autoridades de supervisión y fomenta una supervisión eficaz.
(3)
Con el fin de llevar a cabo la evaluación de riesgos y la evaluación del perfil de riesgo de liquidez de un grupo de entidades, el supervisor en base consolidada debe tener una visión de conjunto de las actividades realizadas por todas las entidades del grupo, incluidas las entidades que operen fuera de la Unión. Debe fomentarse, por tanto, la interacción entre las autoridades competentes de la Unión Europea y los supervisores de terceros países para que las primeras puedan evaluar los riesgos globales asumidos por el grupo.
(4)
Es esencial la planificación oportuna y realista del proceso de decisión conjunta. Cada autoridad competente interesada debe facilitar al supervisor en base consolidada la información pertinente a su debido tiempo. Para que las evaluaciones individuales se presenten e interpreten de un modo coherente y uniforme, es necesario establecer una plantilla común para los resultados de los procesos de revisión y evaluación supervisoras específicos de cada entidad.
(5)
A fin de garantizar unas condiciones uniformes de aplicación, deben establecerse las etapas de la evaluación conjunta de riesgos y de la adopción de la decisión conjunta, admitiendo que algunas tareas de la evaluación conjunta de riesgos y del proceso de decisión conjunta podrán efectuarse en paralelo, y otras, de forma secuencial.
(6)
Para facilitar la adopción de decisiones conjuntas, es importante que las autoridades competentes que participen en el proceso de decisión establezcan un diálogo entre sí, en particular antes de finalizar los informes de evaluación de riesgos y las decisiones conjuntas.
(7)
El supervisor en base consolidada debe facilitar a las autoridades competentes interesadas toda la información pertinente necesaria para la preparación de su evaluación individual de riesgos y para la adopción de las decisiones conjuntas en materia de capital y liquidez.
(8)
El informe que contiene la evaluación de riesgos del grupo es un documento esencial que permite a las autoridades competentes entender y documentar la evaluación del perfil de riesgo global del grupo bancario con el fin de llegar a una decisión conjunta sobre la adecuación de los fondos propios y sobre el nivel de fondos propios que el grupo está obligado a mantener. El informe que contiene la evaluación del perfil de riesgo de liquidez del grupo es un documento importante que permite a las autoridades competentes entender y documentar la evaluación del perfil de liquidez global del grupo. A fin de presentar la evaluación de riesgos global y la evaluación del riesgo de liquidez del grupo de manera coherente, auspiciar un debate fructífero entre las autoridades competentes y permitir una sólida evaluación de los riesgos transfronterizos del grupo bancario, deben establecerse plantillas comunes de dichos informes.
(9)
Admitiendo que los resultados del proceso de revisión y evaluación supervisoras previstos en el artículo 97 de la Directiva 2013/36/UE pueden documentarse de forma diferente en cada Estado miembro, según la incorporación de dicho artículo a la legislación nacional, y habida cuenta también de las directrices publicadas por la Autoridad Supervisora Europea (Autoridad Bancaria Europea, ABE) de conformidad con el artículo 107, apartado 2, de la Directiva 2013/36/UE, las plantillas normalizadas deben proporcionar formatos coherentes para la comunicación de las conclusiones y los resultados del proceso de revisión supervisora a efectos de las decisiones conjuntas.
(10)
Ni el informe de evaluación de riesgos del grupo ni el informe de evaluación del riesgo de liquidez del grupo deben limitarse a una agregación de las contribuciones de las autoridades competentes. Ambos informes deben utilizarse como una herramienta para realizar la evaluación conjunta de los riesgos del grupo en su conjunto y para analizar la interacción de los elementos intragrupales.
(11)
El establecimiento de procedimientos claros respecto del contenido y la articulación de la decisión conjunta debe garantizar la plena motivación de las decisiones conjuntas y facilitar su seguimiento y ejecución.
(12)
Con el fin de aclarar el procedimiento que se debe seguir una vez adoptada la decisión conjunta, garantizar la transparencia en el tratamiento de los resultados de la decisión y facilitar actuaciones de seguimiento adecuadas en caso necesario, deben establecerse normas relativas a la comunicación de la decisión conjunta plenamente motivada y el control de su aplicación.
(13)
Debe establecerse el procedimiento de actualización de las decisiones conjuntas con el objeto de garantizar un enfoque coherente y transparente, así como la participación apropiada de las autoridades competentes y la comunicación de los resultados.
(14)
El proceso de decisión conjunta a que se refiere el artículo 113 de la Directiva 2013/36/UE incluye el procedimiento que debe seguirse en caso de que no se alcance una decisión conjunta. Para garantizar unas condiciones uniformes de aplicación de este aspecto del procedimiento, la articulación de decisiones plenamente motivadas y el tratamiento de las observaciones y reservas expresadas por los supervisores de los países de acogida, procede establecer normas respecto del calendario de adopción de decisiones en ausencia de una decisión conjunta y la comunicación de los detalles de dichas decisiones.
(15)
El presente Reglamento se basa en los proyectos de normas técnicas de ejecución presentados por la ABE a la Comisión Europea.
(16)
La ABE ha llevado a cabo una consulta pública abierta sobre los proyectos de normas técnicas de ejecución en los que se basa el presente Reglamento, ha analizado los costes y beneficios potenciales correspondientes y ha recabado el dictamen del Grupo de partes interesadas del sector bancario, establecido de conformidad con el artículo 37 del Reglamento (UE) no 1093/2010 del Parlamento Europeo y del Consejo (2).
HA ADOPTADO EL PRESENTE REGLAMENTO:
El presente Reglamento será obligatorio en todos sus elementos y directamente aplicable en cada Estado miembro.
[based on national classification until common categorisation approach is in place as per EBA Guidelines for common SREP methodologies and procedures; the category to which the institution is assigned shall reflect also its systemic importance]
Reference date:
Total assets (million EUR) at reference date:
Competent authority:
Overall SREP assessment
Overall SREP score (following the capital and liquidity adequacy assessment):
This section should contain a summary of the assessments made in the sections below.
Capital adequacy assessment
Within this section please provide: (1) a summary of the assessment of the capital adequacy; (2) the preliminary proposal for the joint decision, including a statement on the adequacy of own funds at the respective entity level and any required level of own funds in excess of the requirements set out in Chapter Four of Title VII of Directive 2013/36/EU (CRD) and in Regulation (EU) No 575/2013 (CRR); (3) the outlook for next assessment period; and, (4) a description of any other capital-related supervisory measures (1).
Within this section please also describe how SREP capital estimates have been derived and how ICAAP capital estimates have been taken into account, if assessed as reliable.
Liquidity Adequacy Assessment
Within this section please provide: (1) a summary of the assessment of the liquidity adequacy; (2) the proposal for the joint decision, including a statement on the adequacy of liquidity at the respective entity level and any required supervisory measures, where applicable; (3) the outlook for the next assessment period; and, (4) a description of any other supervisory measures to address the deficiencies identified, where applicable.
Depending on the timing of the joint decision on liquidity, this assessment should either mirror the findings summarised in the Liquidity SREP report (see template in Annex 5), or provide an updated assessment.
A. Business model analysis (viability and sustainability)
Score:
Within this section please provide: (1) a description of the evolution of the business model, strategy and financial position within the observed period; (2) the supervisory assessment of the viability of the current business model and sustainability of the strategy; and, (3) any relevant supervisory measures, including capital and non-capital supervisory measures.
B. Internal governance arrangements
Score:
Within this section please provide: (1) a description of the evolution of the internal governance framework within the observed period; (2) deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to internal governance requirements; (4) the outlook for the next assessment period; (5) actions to be taken by the institution, and, (6) any relevant supervisory measures, including capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
C. Risks to solvency
C.1 Credit and counterparty risk
Score:
Within this section please provide: (1) a description of the evolution of the risk in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures including, capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
C.2 Settlement/delivery risk
Score:
Within this section please provide: (1) a description of the evolution of the risk in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures including, capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
C.3 Inter-concentration risk
Score:
Within this section please provide: (1) a description of the evolution of the risk in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures including, capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
Within this section please provide: (1) a description of the evolution of the risk in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures including, capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
C.5 IRRBB
Score:
Within this section please provide: (1) a description of the evolution of the risk in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures including, capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
C.6 Operational risk
Score:
Within this section please provide: (1) a description of the evolution of the risk in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures including, capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
C.7 Risk of excessive leverage
Score:
Within this section please provide: (1) a description of the evolution of the risk in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures including, capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
C.8 Other risks material to the institution, as applicable (please specify)
Score:
Within this section please provide: (1) a description of the evolution of other identified risks to solvency in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures including, capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
Within this section please provide: (1) a description of the evolution of liquidity and funding risks in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures including, capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
Depending on the timing of the joint decision on liquidity, this assessment should either mirror the findings summarised in the Liquidity SREP report (see template in Annex 5), or provide an updated assessment.
Should the assessment of liquidity and funding risks highlight significant issues in relation to funding risk requiring the allocation of capital to mitigate impacts from an increased cost of funding, please describe how it is reflected in the additional own funds requirements, if relevant.
E. Systemic risk
Within this section please provide: (1) a description of the evolution of the risk in the observed period; (2) the outlook for the next assessment period; and, (3) any supervisory measures, including capital and non-capital supervisory measures.
F. ICAAP review
Within this section please provide: (1) a summary of the findings of the assessment of the reliability of the ICAAP framework and institution’s own quantification of risks and the consequent allocation of appropriate internal capital; (2) a description of the evolution of ICAAP framework in the observed period; (3) deficiencies identified; (4) issues of non-compliance with the CRR and the CRD in relation to the ICAAP; (5) mitigating actions to be taken by the institution; and (6) any relevant supervisory measures, including capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
The section should also have a statement on whether ICAAP estimates are considered reliable and could serve as an input into the assessment of capital adequacy.
G. Inter-risk diversification effects
Taking into account the outcome of the ICAAP assessments and internal capital estimates, and only in case diversification effects are recognised, please provide within this section a description of the impact of diversification effects and define the extent to which benefits from the diversification effects can be taken into account in the determination of capital adequacy.
Within this section please summarise the results and their impact on capital adequacy of institutions own stress tests and their reconciliation with supervisory stress tests, including the explanation of how the stress testing buffer was derived, where applicable.
Other relevant information
Within this section please provide other information deemed relevant by the competent authority for the purposes of the group risk assessment and not provided above.
Quantitative Indicators agreed by the consolidating supervisor and the host EEA competent authorities (pursuant to RTS/ITS on colleges of supervisors)
Please list any quantitative indicators agreed to be shared while developing the joint risk assessment report for the purposes of reaching a joint decision.
[based on national classification until common categorisation approach is in place as per EBA Guidelines for common SREP methodologies and procedures; the category to which the institution is assigned shall reflect also its systemic importance]
Reference date:
Total assets (mln EUR) at reference date:
Competent authority:
SREP elements
Score
A.
Business Model (viability and sustainability)
B.
Internal governance arrangements
C.
Risks to solvency
C.1
Credit and counterparty risk
C.2
Settlement / Delivery risk
C.3
Inter-concentration risk
C.4
Market risk
C.5
IRRBB
C.6
Operational risk
C.7
Risk of excessive leverage
C.8
Other risks material to the institution, as applicable (please specify)
C.9
Other risks material to the institution, as applicable (please specify)
D.
Risks to liquidity
[as per the outcome of the Liquidity SREP report]
These scores should be consistent with the respective assessments under the liquidity joint decision. Depending on the timing of the joint decision on liquidity, this assessment should either mirror the findings summarised in the liquidity SREP report, or provide updated assessment.
E.
Systemic risk (risk that institution poses to financial system)
[based on national classification until common categorisation approach is in place as per EBA Guidelines for common SREP methodologies and procedures; the category to which the institution is assigned shall reflect also its systemic importance]
Reference date:
Total assets (mln EUR) at reference date:
Competent authority:
SREP elements
Memoranda items
Overall SREP capital requirement/estimate (including supervisory proxy, where applicable) (in mln EUR)
Pillar 1 capital requirements, where applicable (in mln EUR)
ICAAP estimate (in mln EUR)
A.
Business Model (viability and sustainability)
B.
Internal governance arrangements
C.
Risks to solvency (risks and controls)
C.1
Credit and counterparty risk
C.2
Settlement / Delivery risk
C.3
Inter-concentration risk
C.4
Market risk
C.5
IRRBB
C.6
Operational risk
C.7
Risk of excessive leverage
C.8
Other risks material to the institution, as applicable (please specify)
C.9
Other risks material to the institution, as applicable (please specify)
D.
Risks to liquidity — Funding risk (cost of funding perspective)
E.
Systemic risk (risk that institution poses to financial system)
F.
Inter-risk diversification effects
G.
Capital planning / stress test buffer (where applicable)
Capital planning / Stress testing buffer based on the outcomes of ICAAP stress tests, where applicable
Reconciliation of ICAAP stress tests with supervisory stress tests and resulting capital planning / stress testing buffer, where applicable
SREP capital outcome (preliminary proposal for joint decision discussion)
Overall capital requirement/estimate
Total Pillar 1 capital requirement
Total ICAAP capital estimate
Total SREP capital estimate
Capital adequacy assessment (capital is assessed as adequate/inadequate)
Adequate/Inadequate
Additional own funds requirement
Sum of components or holistic approach (formulated as an amount or ratio, or combination of both)
Memoranda items (values at reference date)
Total own funds (mln EUR) at reference date
Tier 1 own funds (mln EUR) at reference date
Common Equity Tier 1 own funds (mln EUR) at reference date
Total risk weighted assets (mln EUR) at reference date
The own funds requirements applicable in the home Member State in accordance with Article 92 of Regulation (EU) No 575/2013, taking into account any measures adopted or recognised in accordance with Article 458 of that Regulation and the transitional arrangements laid down in Part X of that Regulation
The level of the capital conservation buffer that the institution is required to maintain in accordance with Article 129 of Directive 2013/36/EU
The level of the institution-specific countercyclical capital buffer to be maintained by the institution in accordance with Article 130 of Directive 2013/36/EU
The level of any systemic risk buffer that the institution is required to maintain in accordance with Article 133 of Directive 2013/36/EU
The level of any G-SII buffer or O-SII buffer that the institution is required to maintain in accordance with Article 128(3) and (4) of Directive 2013/36/EU
Any other prudential requirements applicable to the institution, including under Article 103 of Directive 2013/36/EU, macro-prudential measures and recommendations of EBA and ESRB
The Group risk assessment report shall include as annexes all SREP reports submitted by the relevant competent authorities. The group risk assessment report shall be supplemented with summaries of scores (Table 1) and the capital adequacy assessment (Table 2).
[based on national classification until common categorisation approach is in place as per EBA Guidelines for common SREP methodologies and procedures; the category to which the institution is assigned shall reflect also its systemic importance]
Reference date:
Total assets (million EUR) at reference date:
Overall SREP assessment of the Group
Overall SREP score (following the capital and liquidity adequacy assessment):
This section should contain a summary of the assessments made in the sections below,
Capital adequacy assessment
Within this section please provide: (1) a summary of the assessment of the capital adequacy; (2) the proposal for the joint decision, including a statement on the adequacy of own funds at the group level and any required level of own funds in excess of the requirements set out in Chapter Four of Title VII of Directive 2013/36/EU (CRD) and in Regulation (EU) No 575/2013 (CRR); (3) the outlook for the next assessment period; and, (3) a description of any other capital-related supervisory measures (1).
Within this section please also describe how SREP capital estimates have been derived and how ICAAP capital estimates have been taken into account, if assessed as reliable.
Liquidity Adequacy Assessment
Within this section please provide: (1) a summary of the assessment of the liquidity adequacy; (2) the proposal for the joint decision, including a statement on the adequacy of liquidity at the group level and any required supervisory measures, where applicable; (3) the outlook for the next assessment period; and, (4) a description of any other supervisory measures to address the deficiencies identified, where applicable.
Depending on the timing of the joint decision on liquidity, this assessment should either mirror the findings summarised in the Group liquidity risk assessment report (see template in Annex 7), or provide an updated assessment.
A. Business model analysis (viability and sustainability)
Score:
Within this section please provide: (1) a description of the evolution of the business model, strategy and financial position within the observed period; (2) the supervisory assessment of the viability of the current business model and sustainability of the strategy; and, (3) any relevant supervisory measures, including capital and non-capital supervisory measures.
B. Internal governance arrangements
Score:
Within this section please provide: (1) a description of the evolution of the internal governance framework within the observed period; (2) deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to internal governance requirements; (4) the outlook for the next assessment period; (5) actions to be taken by the institution, and, (6) any relevant supervisory measures, including capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
C. Risks to solvency
C.1 Credit and counterparty risk
Score:
Within this section please provide: (1) a description of the evolution of the risk in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures including, capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
C.2 Settlement/delivery risk
Score:
Within this section please provide: (1) a description of the evolution of the risk in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures including, capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
C.3 Inter-concentration risk
Score:
Within this section please provide: (1) a description of the evolution of the risk in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures including, capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
Within this section please provide: (1) a description of the evolution of the risk in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures including, capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
C.5 IRRBB
Score:
Within this section please provide: (1) a description of the evolution of the risk in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures including, capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
C.6 Operational risk
Score:
Within this section please provide: (1) a description of the evolution of the risk in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures including, capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
C.7 Risk of excessive leverage
Score:
Within this section please provide: (1) a description of the evolution of the risk in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures including, capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
C.8 Other risks material to the institution, as applicable (please specify)
Score:
Within this section please provide: (1) a description of the evolution of other identified risks to solvency in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures including, capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
Within this section please provide: (1) a description of the evolution of liquidity and funding risks in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures including, capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
Depending on the timing of the joint decision on liquidity, this assessment should either mirror the findings summarised in the Group liquidity risk assessment report (see template in Annex 7), or provide an updated assessment.
Should the assessment of liquidity and funding risks highlight significant issues in relation to funding risk requiring the allocation of capital to mitigate impacts from an increased cost of funding, please describe how it is reflected in the additional own funds requirements, if relevant.
E. Systemic risk
Within this section please provide: (1) a description of the evolution of the risk in the observed period; (2) the outlook for the next assessment period; and, (3) any supervisory measures, including capital and non-capital supervisory measures.
F. ICAAP review
Within this section please provide: (1) a summary of the findings of the assessment of the reliability of the ICAAP framework and institution’s own quantification of risks and the consequent allocation of appropriate internal capital; (2) a description of the evolution of ICAAP framework in the observed period; (3) deficiencies identified; (4) issues of non-compliance with the CRR and the CRD in relation to the ICAAP; (5) mitigating actions to be taken by the institution; and (6) any relevant supervisory measures, including capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.
The section should also have a statement on whether ICAAP estimates are considered reliable and could serve as an input into the assessment of capital adequacy.
G. Inter-risk diversification effects
Taking into account the outcome of the ICAAP assessments and internal capital estimates, and only in case diversification effects are recognised, please provide within this section a description of the impact of diversification effects and define the extent to which benefits from the diversification effects can be taken into account in the determination of capital adequacy.
Within this section please summarise the results and their impact on capital adequacy of institutions own stress tests and their reconciliation with supervisory stress tests, including the explanation of how the stress testing buffer was derived, where applicable.
Other relevant information
Within this section please provide other information deemed relevant by the competent authorities for the purposes of the group risk assessment and not provided above (e.g. information needed to meet requirements of Article 6(5) of this Implementing Regulation.
Quantitative Indicators agreed by the consolidating supervisor and the host EEA competent authorities (pursuant to RTS/ITS on colleges of supervisors)
Please list any quantitative indicators agreed to be shared while developing the joint risk assessment report for the purposes of reaching a joint decision.
SREP capital outcome (preliminary proposal for joint decision discussion)
Overall capital requirement/estimate
Total Pillar 1 capital requirement
Total ICAAP capital estimate
Total SREP capital estimate
Total Pillar 1 capital requirement
Total ICAAP capital estimate
Total SREP capital estimate
Total Pillar 1 capital requirement
Total ICAAP capital estimate
Total SREP capital estimate
Capital adequacy assessment (capital is assessed as adequate/inadequate)
Adequate/Inadequate
Adequate/Inadequate
Adequate/Inadequate
Additional own funds requirement
Sum of components or holistic approach (formulated as an amount or ratio, or combination of both)
Sum of components or holistic approach (formulated as an amount or ratio, or combination of both)
Sum of components or holistic approach (formulated as an amount or ratio, or combination of both)
I.
Diversification effects, including intra-group (-)
Intra-group concentration (+)
Intra-group support arrangements (-)
Other intra-group items (+/-)
J.
Joint decision outcome (based on preliminary proposal (H), reflecting impact of intra-group items, and results of the dialogue between competent authorities)
Overall capital requirement/estimate
Total SREP capital estimate
Total SREP capital estimate
Total SREP capital estimate
Capital adequacy assessment (capital is assessed as adequate/inadequate)
Adequate/Inadequate
Adequate/Inadequate
Adequate/Inadequate
Additional own funds requirement
Sum of components or holistic approach (formulated as an amount or ratio, or combination of both)
Sum of components or holistic approach (formulated as an amount or ratio, or combination of both)
Sum of components or holistic approach (formulated as an amount or ratio, or combination of both)
Common Equity Tier 1 own funds (mln EUR) at reference date
Total risk weighted assets (mln EUR) at reference date
The own funds requirements applicable in the home Member State in accordance with Article 92 of Regulation (EU) No 575/2013 taking into account any measures adopted or recognised under Article 458 of that Regulation and the transitional arrangements under Part X of that Regulation
The level of the capital conservation buffer required to be maintained by the institution in accordance with Article 129 of Directive 2013/36/EU
The level of the institution-specific countercyclical capital buffer to be maintained by the institution in accordance with Article 130 of Directive 2013/36/EU
The level of the systemic risk buffer to be maintained by the institution, if applicable, in accordance with Article 133 of Directive 2013/36/EU
The level of the any G-SII buffer or O-SII buffer, as defined in paragraphs (3) and (4) respectively of Article 128 of Directive 2013/36/EU, to be held by the institution
Any other prudential requirements applicable to the institution, including under Article 103 of Directive 2013/36/EU, macro-prudential measures and recommendations of EBA and ESRB
[based on national classification until common categorisation approach is in place as per EBA Guidelines for common SREP methodologies and procedures; the category to which the institution is assigned shall reflect also its systemic importance]
Reference date:
Total assets (million EUR) at reference date:
Competent authority:
Overall Assessment of Liquidity Risk in SREP
Overall liquidity risk Score :
This section should contain a summary of the individual assessments below.
Liquidity Adequacy Assessment
Within this section please provide: (1) a summary of the assessment of the liquidity adequacy; (2) the proposal for the joint decision, including a statement on the adequacy of liquidity at the respective entity level and any supervisory measures, where applicable, to address significant matters and material findings; and, (3) the outlook for the next assessment period.
A. Assessment of liquidity risk
Score:
Within this section please provide: (1) a description of the evolution of liquidity risk in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures to address the deficiencies and non-compliance issues.
B. Assessment of funding risk
Score:
Within this section please provide: (1) a description of the evolution of funding risk in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures to address the deficiencies and non-compliance issues.
C. Assessment of liquidity and funding risk management
Score:
Within this section please provide: (1) a description of the evolution of liquidity and funding risk management in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures to address the deficiencies and non-compliance issues.
Other relevant information
Within this section please provide other information deemed relevant by the competent authority for the purposes of the group risk assessment and not provided above.
[based on national classification until common categorisation approach is in place as per EBA Guidelines for common SREP methodologies and procedures; the category to which the institution is assigned shall reflect also its systemic importance]
[based on national classification until common categorisation approach is in place as per EBA Guidelines for common SREP methodologies and procedures; the category to which the institution is assigned shall reflect also its systemic importance]
Reference date:
Total assets (mln EUR) at reference date:
Competent authority:
Liquidity elements in SREP
Outcome of liquidity risk assessment
(in mln euros or ratio or narrative information on measures)
A.
Liquidity adequacy assessment
Adequate/Inadequate
B.
Proposal for joint decision - Quantitative measures (Articles 104 and 105)
Specific liquidity buffer requirements [To be specified in terms of LCR eligible assets post-introduction of LCR as a standard (optional before)]
Specific stable funding requirements [To be specified on NSFR definition post-NSFR introduced as a standard (optional before)]
Other quantitative restrictions/requirements
D
Proposal for joint decision — Qualitative measures (Articles 104 and 105)
Memoranda items (values at reference date)
Actual LCR ratio or any other equivalent domestic ratio (until LCR implementation in CRR)
Actual NSFR ratio or any other equivalent domestic ratio (until NSFR implementation in CRR)
LCR buffer requirement, if any ('Pillar 1')
NSFR stable funding requirement, if any ('Pillar 1')
Any other prudential requirements applicable to the institution, including under Article 103 of Directive 2013/36/EU, macro-prudential measures and recommendations of EBA and ESRB
The Group liquidity risk assessment report includes as annexes all liquidity risk assessment reports submitted by the relevant competent authorities. The group risk assessment report is supplemented with summaries of scores (Table 1) and liquidity adequacy assessment (Table 2).
[based on national classification until common categorisation approach is in place as per EBA Guidelines for common SREP methodologies and procedures; the category to which the institution is assigned shall reflect also its systemic importance]
Reference date:
Total assets (million EUR) at reference date:
Overall Assessment of Liquidity Risk in SREP
Overall liquidity risk Score :
This section should contain a summary of the individual assessments below.
Liquidity Adequacy Assessment
Within this section please provide: (1) a summary of the assessment of the liquidity adequacy; (2) the proposal for the joint decision, including a statement on the adequacy of liquidity at the group level and any supervisory measures, where applicable, to address significant matters and material findings; and, (3) the outlook for the next assessment period.
A. Assessment of liquidity risk
Score:
Within this section please provide: (1) a description of the evolution of liquidity risk in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures to address the deficiencies and non-compliance issues.
B. Assessment of funding risk
Score:
Within this section please provide: (1) a description of the evolution of funding risk in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures to address the deficiencies and non-compliance issues.
C. Assessment of liquidity and funding risk management
Score:
Within this section please provide: (1) a description of the evolution of liquidity and funding risk management in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures to address the deficiencies and non-compliance issues.
Other relevant information
Within this section please provide other information deemed relevant by the competent authorities for the purposes of the group risk assessment and not provided above (e.g. information needed to meet requirements of Article 6(5) of this Implementing Regulation
[based on national classification until common categorisation approach is in place as per EBA Guidelines for common SREP methodologies and procedures; the category to which the institution is assigned shall reflect also its systemic importance]
[based on national classification until common categorisation approach is in place as per EBA Guidelines for common SREP methodologies and procedures; the category to which the institution is assigned shall reflect also its systemic importance]
[based on national classification until common categorisation approach is in place as per EBA Guidelines for common SREP methodologies and procedures; the category to which the institution is assigned shall reflect also its systemic importance]
[based on national classification until common categorisation approach is in place as per EBA Guidelines for common SREP methodologies and procedures; the category to which the institution is assigned shall reflect also its systemic importance]
[based on national classification until common categorisation approach is in place as per EBA Guidelines for common SREP methodologies and procedures; the category to which the institution is assigned shall reflect also its systemic importance]
[based on national classification until common categorisation approach is in place as per EBA Guidelines for common SREP methodologies and procedures; the category to which the institution is assigned shall reflect also its systemic importance]
Reference date:
Total assets (mln EUR) at reference date:
Competent authority:
Liquidity elements in SREP
Outcome of liquidity risk assessment
Outcome of liquidity risk assessment
Outcome of liquidity risk assessment
(in mln Euros or ratio or narrative information on measures]
(in mln Euros or ratio or narrative information on measures]
(in mln Euros or ratio or narrative information on measures]
A.
Liquidity adequacy assessment
Adequate/Inadequate
Adequate/Inadequate
Adequate/Inadequate
B.
Proposal for joint decision - Quantitative measures (Articles 104 and 105)
Specific liquidity buffer requirements [To be specified in terms of LCR eligible assets post-introduction of LCR as a standard (optional before)]
Specific stable funding requirements [To be specified on NSFR definition post-NSFR introduced as a standard (optional before)]
Other quantitative restrictions/requirements
D
Proposal for joint decision — Qualitative measures (Articles 104 and 105)
Actual LCR ratio or any other equivalent domestic ratio (until LCR implementation in CRR)
Actual NSFR ratio or any other equivalent domestic ratio (until NSFR implementation in CRR)
LCR buffer requirement, if any ('Pillar 1')
NSFR stable funding requirement, if any ('Pillar 1')
Any other prudential requirements applicable to the institution, including under Article 103 of Directive 2013/36/EU, macro-prudential measures and recommendations of EBA and ESRB
