2.2. SREP vērtējums

Kompetentajām iestādēm jāpiemēro saskaņota punktu sistēma, lai veicinātu saziņu starp kompetentajām iestādēm un uzraugu kolēģijām, sekmētu salīdzināmību un vienlīdzīgus konkurences apstākļus starp iestādēm, kā arī noteiktu uzraudzības resursu un pasākumu prioritātes SREP elementu novērtēšanā. Tām jāapkopo novērtējumu rezultāti, piešķirot riska vērtējumus, SREP elementu vērtējumus un kopējo SREP vērtējumu.

Piešķirot riska novērtējumus, SREP elementu novērtējumus un kopējo SREP novērtējumu, kompetentajām iestādēm jāņem vērā apsvērumi, kas izklāstīti tabulās šo pamatnostādņu katras attiecīgās sadaļas un virsraksta beigās, vienlaikus izmantojot uzraudzības iestāžu profesionālo vērtējumu. Lai gan šie apsvērumi kalpo par pamatu punktu piešķiršanai, tos nevajadzētu uztvert kā mehānisku pārbaudes sarakstu, kas jāaizpilda katram elementam, kā arī nevajadzētu uzskatīt, ka tie nosaka elementu svarīguma hierarhiju. Tā vietā to mērķis ir sniegt norādījumus kompetentajām iestādēm punktu piešķiršanā, ņemot vērā dažādu elementu mijiedarbību un nozīmīgumu konkrētajā novērtējamās iestādes dimensijā.

Riska novērtējumu mērķis ir noteikt varbūtību, ka riski, kas saistīti ar kapitālu, likviditāti un finansējumu, būtiski ietekmēs iestādi. SREP elementu novērtējumi un kopējais SREP novērtējums norāda uz risku apmēru, kas apdraud iestādes dzīvotspēju; jo īpaši kopējam SREP novērtējumam jāatspoguļo uzraudzības iestādes viedoklis par iestādes kopējo dzīvotspēju, kā norādīts 9. sadaļā.

The scores are: 1 (low risk), 2 (medium-low risk), 3 (medium-high risk), and 4 (high risk – this represents the worst possible assessment). An additional score of ‘F’ is available only for the overall SREP score, as explained in paragraph 38. Competent authorities may introduce more granular scoring for their internal purposes, such as planning of resources, provided the overall scoring framework set out in these guidelines is respected.

Competent authorities should review the scores upon completion of the SREP assessments with the minimum frequency set out in the SREP engagement model in section 2.4. The scores should also be reviewed without undue delay on the basis of material new findings or developments.

2.2.1. Risk scores

Risk scores are assigned to summarise risks to capital (as specified in Title 6). These scores represent the likelihood that a risk will have a significant prudential impact on the institution (e.g. potential loss), after considering the quality of risk controls to mitigate this impact (i.e. residual risk), but before consideration of the institution’s ability to mitigate the risk through available capital or liquidity resources.

Competent authorities should determine the risk score through an assessment of an institution’s inherent risk level, while duly considering the adequacy of the institution’s risk management and controls framework. In particular, an adequate risk management and controls framework may mitigate the prudential impact of a specific risk, while a weak framework may amplify the prudential impact. The assessment of inherent risk and the adequacy of management and controls should be made with reference to the considerations specified in table 6 for credit and counterparty risk, in table 8 for market risk, in table 10 for operational risk, in table 12 for interest rate and credit spread risk in the banking book (IRRBB and CSRBB), in table 17 for liquidity and funding.

When assessing risks to capital, competent authorities should also consider relevant sub-categories (e.g. concentration risk or country risk as part of the credit and counterparty risk assessment, as set out in Title 6). Depending on the materiality of any of these subcategories to a particular institution, competent authorities may decide to assess and score them individually.

Competent authorities may use different methods to apply the risk scores, they could score ‘risk’ and ‘risk management and controls’ separately (resulting in an intermediate and final score) or score them together. Competent authorities may also aggregate all the risks to capital into an aggregate score.

2.2.2. SREP element scores and overall SREP score

At the end of the overall SREP assessment, competent authorities should form a comprehensive overview of the risk profile and viability of the institution based on the four SREP elements:

• a. business model and strategy as specified in Title 4;
• b. internal governance and institution-wide controls as specified in Title 5;
• c. capital adequacy, as specified in Title 7;
• d. liquidity and funding adequacy, as specified in Title 8.

Capital adequacy and liquidity and funding adequacy represent the supervisory view of the capacity of the institution’s capital and liquidity resources to mitigate/cover risks to capital and liquidity and funding, as set out in Titles 6 and 8, and/or other elements for which additional own funds have been determined as set out in Title 7.

The final score is an overall SREP score. This incorporates the four SREP element scores above and supervisory judgement. Competent authorities should ensure that the overall SREP score provides an indication of the institution’s overall viability, including whether the institution is ‘failing or likely to fail’ within the meaning of Article 32 of Directive 2014/59/EU, and having regard to the EBA Guidelines on ‘failing or likely to fail’¹⁷ . When the outcome of the overall SREP assessment suggests that an institution can be considered to be ‘failing or likely to fail’, competent authorities should apply a score of ‘F’ and follow the process of engaging with resolution authorities as specified in Article 32 of Directive 2014/59/EU.

¹⁷ EBA Guidelines on the interpretation of the different circumstances when an institution shall be considered as failing or likely to fail under Article 32(6) of Directive 2014/59/EU (EBA/GL/2015/07).

Competent authorities should ensure that the SREP element scores and the overall SREP score:

• a. reflect the likelihood that supervisory measures are needed to address concerns;
• b. are considered among the triggers for the decision on whether to apply early intervention measures in accordance with the EBA Guidelines on triggers for use of early intervention measures¹⁸ ;
• c. inform the prioritisation and planning of supervisory resources and the setting of priorities in the supervisory examination programme (SEP).

¹⁸ EBA Guidelines on triggers for use of early intervention measures (EBA/GL/2015/03).