348. When calibrating the P2G, competent authorities should ensure that it is set at a level …

When calibrating the P2G, competent authorities should ensure that it is set at a level appropriate to cover at least the anticipated maximum stress impact, which should be calculated based on the changes in the CET1 ratio (i.e. considering both movements in CET1 capital and TREA) in the worst year of stress, and taking into account the level of applicable capital requirements. The maximum stress impact for the purpose of setting the P2G should be understood as the difference between the lowest CET1 ratio in the adverse scenario over the stress test horizon and the actual CET1 ratio at the starting point.

1. Panoramica

1.1 Riferimenti

1.2 Requisiti identificati

1.3 Standard correlati

2. Requisiti identificati

3. Standard correlati

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