6.5 Information on stress testing in ICAAP

In addition to the general information on stress testing as specified in Section 5.4, on the stress tests applied for ICAAP purposes, including on capital planning and allocation of internal capital under the scenarios reported to the management body, competent authorities should ensure that they receive from institutions the following:

• a. description of adverse scenarios considered under ICAAP, including specification of the scenario assumptions and key macroeconomic variables, including the description of how reverse stress tests have been used to calibrate the severity of scenarios used;
• b. description of key assumptions used in the scenarios considered, including management actions, business assumptions regarding balance sheet, reference dates, time horizons etc.

6.5.2 Operational documentation

On evidencing the full implementation of ICAAP stress tests and their outcomes, competent authorities should ensure that they receive from institutions the following:

• a. quantitative outcome of the scenarios considered and impact on key metrics, including P&L and capital, both internal and regulatory own funds, and prudential ratios, as well as, in integrated approaches, the impact on the liquidity position;
• b. explanation of how the scenario outcomes are relevant to the institution’s business model, strategy, material risks and group entities covered by ICAAP.