ANNEX IV GROUP RISK ASSESSMENT REPORT TEMPLATE

Institution:

Entity X/ Sub-group X

Entity Y / Sub-group Y

Consolidated group

Category of the institution:

Reference date:

Total assets (mln EUR) at reference date:

Competent authority:

SREP elements

Score

Score

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]

[as per the outcome of the Liquidity SREP report]

[as per the outcome of the Liquidity SREP report]

E.

Systemic risk (risk that institution poses to financial system)

Overall SREP Score

Institution:

Entity X/ Sub-group X

Entity Y/ Sub-group Y

Consolidated Group

Category of the institution:

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)

Memoranda items

Overall SREP capital requirement/estimate (including supervisory proxy, where applicable) (in mln EUR)

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)

Pillar 1 capital requirements, where applicable (in mln EUR)

ICAAP estimate (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

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

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

H.

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)

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 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