Annex 2. Key features and differences between P2R and P2G

Nature

Requirement on top of Pillar 1 and below the combined buffer requirement set in accordance with Article 104 of the CRD

Expectation on top of the combined buffer requirement

Scope

(1) Risk of unexpected losses over 12 months not covered by minimum requirements; (2) risk of expected losses over 12 months insufficiently covered by provisions; (3) risk of underestimation of risk due to model deficiencies; (4) risks arising from governance deficiencies [See paragraph 348]

Quantitative outcomes of relevant stress tests (other potential areas to be explored further)

Determination

Calculation based on ICAAP as a starting point, where assessed as reliable, supported by, for example, supervisory benchmarks applied in relation to ICAAP calculations, supervisory judgement, etc. [See paragraph 349]

Calculation based on the maximum impact of the adverse scenario on the CET1 ratio, adjusted, for example, for credible mitigating actions and other factors