+7. Title 7. SREP capital assessment
---+7.1. General considerations
------+292. Competent authorities should determine through the SREP capital assessment whether the own …
------+293. Competent authorities should do this by determining and setting the quantity (amount) and …
------+294. When a material impact on institution’s capital profile is or may be expected due to relevant …
------+295. To address potential capital inadequacies, including in stressed conditions, competent …
------+296. When setting the P2R and, where relevant, P2G, competent authorities should: a. take into …
------+297. Competent authorities should assess the adequacy of the institution’s own funds and the impact …
---+7.2. Determining Pillar 2 requirement for risks other than the risk of excessive leverage (P2R)
------+298. Competent authorities should determine P2R for risks other than the risk of excessive …
------+299. When setting P2R for the risk of unexpected losses pursuant to point (a) of the following …
------+300. Competent authorities should determine on a risk-by-risk basis, the amounts of capital …
------+301. Competent authorities should ensure that the amount of capital considered adequate to cover …
------+302. When identifying, assessing and quantifying risks to which the institution is exposed …
------+303. The ICAAP and outcomes of its assessment should be taken into account by competent authorities …
------+304. For the purposes of Article 98(1), point (f) of Directive 2013/36/EU and the determination of …
------+305. However, diversification between risks in different categories, including those covered by …
------+306. Competent authorities should assess the reliability of the ICAAP calculations by assessing …
------+307. Competent authorities should further assess the reliability of the ICAAP calculations by …
------+308. An ICAAP calculation should be considered partially reliable where, despite not meeting all …
------+309. Competent authorities should develop and apply risk-specific supervisory benchmarks as a means …
------+310. The supervisory benchmarks should be developed to provide a prudent, consistent (i.e. as …
------+311. When applying supervisory benchmarks, competent authorities should consider the business model …
------+312. Competent authorities should use other relevant inputs to support the determination of …
------+313. Other relevant inputs should prompt the competent authority to reassess the …
------+314. To ensure consistency in determining P2R, competent authorities should use the same peer …
------+315. When competent authorities take supervisory benchmarks as well as other relevant inputs into …
------+316. If, during the ongoing review of internal approaches for the calculation of own funds …
------+317. When an institution becomes bound by the output floor as set out in Article 92(3) of …
------+318. For the purpose of the previous paragraph, competent authorities should encourage institutions …
------+319. Competent authorities should perform the review described in paragraph 317 at the time an …
------+320. Competent authorities should set P2R to cover deficiencies – identified following the risk …
------+321. Competent authorities should only set P2R to cover funding risk – identified following the …
------+322. Where an institution repeatedly fails to establish or maintain an adequate level of own funds …
------+323. Where necessary, and having regard to the institution’s specific circumstances, competent …
---+7.3. Pillar 2 requirements for the risk of excessive leverage (P2R-LR)
------+324. Where, as a result of the risk of excessive leverage assessment, in accordance with Article …
------+325. In line with the concept of the leverage ratio (and its stack of requirements) as a backstop …
------+326. In assessing the risk of excessive leverage, competent authorities should consider all of the …
------+327. Competent authorities should determine the P2R-LR as the difference between the capital …
------+328. When setting P2R-LR, competent authorities should consider in particular: a) elements of risk …
------+329. Competent authorities should identify, assess and quantify the risk of excessive leverage …
------+330. Competent authorities should add the P2R-LR to the minimum leverage ratio Tier 1 requirement. …
------+331. Where necessary, and having regard to the institutions’ specific circumstances, competent …
---+7.4. Reconciliation with the capital buffers and any macroprudential requirements
------+332. In determining Pillar 2 requirements (or other capital measures), competent authorities should …
---+7.5. Determining the TSCR, TSLRR, OCR and OLRR
------+333. Competent authorities should determine and express the TSCR in terms of CET1 Capital, Tier 1 …
------+334. Competent authorities should determine the TSLRR (in terms of Tier 1 capital) as the sum of …
------+335. Where competent authorities require institutions to cover P2R-LR with a higher quality of …
------+336. Where considering the possibility of requiring a higher quality of capital, competent …
------+337. Competent authorities should determine the OCR as the sum of: a. TSCR; b. combined capital …
------+338. Competent authorities should determine the OLRR as the sum of: a. TSLRR; b. G-SII leverage …
------+339. Competent authorities should not consider items and instruments other than those eligible for …
---+7.6. Meeting requirements in stressed conditions – Use of P2G and P2G-LR to address the quantitative outcomes of stress testing
------+340. Competent authorities should determine by means of stress testing the adequacy of the …
------+341. Competent authorities should assess as appropriate the quantitative outcomes of stress tests …
------+342. Competent authorities should determine P2G and P2G-LR, and, where the determination leads to a …
------+343. The level of P2G should protect against the potential breach of TSCR in an adverse scenario. …
------+344. Competent authorities should determine and set P2G and P2G-LR based on the outcomes of the …
------+345. On the basis of establishing a proportionate approach for non-Category 1 institutions and …
------+346. Competent authorities should determine and set P2G and P2G-LR in accordance with the minimum …
------+347. Notwithstanding the previous paragraph, competent authorities: a. should assess whether the …
------+348. When calibrating the P2G, competent authorities should ensure that it is set at a level …
------+349. When calibrating the P2G-LR, the maximum stress impact should be calculated based on the …
------+350. Competent authorities should obtain the P2G starting point specific for each institution by …
------+351. Where setting the P2G and P2G-LR, competent authorities should ensure an adequate link between …
------+352. When determining the final P2G and P2G-LR, competent authorities should consider, where …
------+353. For the purpose of determining P2G, competent authorities should also consider the extent to …
------+354. In addition, competent authorities should consider the extent to which the existing combined …
------+355. Where competent authorities determine P2G, they should add this guidance on top of the OCR. …
---+7.7. Summary of findings, scoring and supervisory measures
------+356. Following the above assessment, competent authorities should form a view on whether existing …
------+357. In setting the score for capital adequacy, where applicable, competent authorities should …
------+358. The table below provides a non-exhaustive list of supervisory measures that competent …
------+359. When competent authorities assess the credibility of the capital plan or the revised capital …
------+360. Competent authorities should expect institutions to implement the revised capital plan …
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7. Title 7. SREP capital assessment
7. Title 7. SREP capital assessment
1. Ħarsa ġenerali
1.1 Referenzi
1.2 Rekwiżiti identifikati
1.3 Standards relatati
2. Rekwiżiti identifikati
3. Standards relatati
- EBA - Published by the European Banking Authority at https://www.eba.europa.eu/
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