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  1. Final Report - Guidelines on common procedures and methodologies for the supervisory review and evaluation process (SREP) and supervisory stress testing under Directive 2013/36/EU (EBA/GL/2022/03) (applicable from 1 January 2023)
  2. Guidelines
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Guidelines

EBA/GL/2022/03

18 March 2022

Guidelines on common procedures and methodologies for the supervisory review and evaluation process (SREP) and supervisory stress testing

Comparing proposed amendment...
Compliance and reporting obligations (paras. 1-4)
Title 1. Subject matter, definitions, level of application and implementation (paras. 5-15)
1.1. Subject matter (paras. 5-7)
1.2. Definitions (para. 8)
1.3. Level of application (paras. 9-13)
1.4. Date of application (para. 14)
1.5. Repeal (para. 15)
Title 2. The common SREP (paras. 16-59)
2.1. Overview of the common SREP framework (para. 16)
2.1.1. Categorisation of institutions (paras. 17-19)
2.1.2. Continuous assessment of risks (paras. 20-22)
2.1.3. Periodic assessment of capital and liquidity adequacy (paras. 23-25)
2.1.4. Overall SREP assessment (paras. 26-28)
2.1.5 Dialogue with institutions, application of supervisory measures and communicating findings (paras. 29-32)
2.2 Scoring in the SREP (paras. 33-36)
2.2.1 Risk scores (paras. 37-39)
2.2.2 Viability scores including an overall SREP score (paras. 40-44)
2.3 Organisational arrangements (paras. 45-46)
2.4 Proportionality and supervisory engagement (paras. 47-49)
2.4.1 Category 1 institutions (para. 50)
2.4.2 Category 2 institutions (para. 51)
2.4.3 Category 3 institutions (para. 52)
2.4.4 Category 4 institutions (para. 53)
2.4.5 Minimum requirements for supervisory engagement (paras. 54-57)
2.4.6 Focus and granularity of the assessment (paras. 58-59)
Title 3. Monitoring of key indicators (paras. 60-69)
Title 4. Business model analysis (paras. 70-97)
4.1 General considerations (paras. 70-76)
4.2 Preliminary assessment (paras. 77-79)
4.3 Identifying the areas of focus for the BMA (para. 80)
4.4 Assessing the business environment (paras. 81-82)
4.5 Analysis of the current business model (para. 83)
4.5.1 Quantitative analysis (paras. 84-85)
4.5.2 Qualitative analysis (paras. 86-87)
4.6 Analysis of the strategy and financial plans (paras. 88-90)
4.7 Assessing business model viability (paras. 91-92)
4.8 Assessing the sustainability of the institution's strategy (paras. 93-94)
4.9 Identification of key vulnerabilities (paras. 95-96)
4.10 Summary of findings and scoring (para. 97)
Title 5. Assessing internal governance and institution-wide controls (paras. 98-153)
5.1 General considerations (paras. 98-101)
5.2 Overall internal governance framework (para. 102)
5.3 Organisation and functioning of the management body (para. 103)
5.4 Corporate values and risk culture (paras. 104-105)
5.5 Remuneration policies and practices (para. 106)
5.6 Internal control framework (paras. 107-112)
5.7 Risk management framework (para. 113)
5.7.1 Risk appetite framework and strategy (paras. 114-115)
5.7.2 ICAAP and ILAAP frameworks (paras. 116-124)
5.7.3 Assessment of institutions' stress testing (paras. 125-141)
5.7.4 New products and significant changes (paras. 142-143)
5.8 Information and communication technologies and business continuity management (paras. 144-145)
5.9 ML/TF risks and prudential concerns (paras. 146-148)
5.10 Recovery planning (paras. 149-150)
5.11 Application at the consolidated level and implications for group entities (paras. 151-152)
5.12 Summary of findings and scoring (para. 153)
Title 6. Assessing risks to capital (paras. 154-359)
6.1 General considerations (paras. 154-168)
6.2 Assessment of credit and counterparty risk (paras. 169-237)
6.2.1 General considerations (paras. 169-171)
6.2.2 Assessment of inherent credit risk (paras. 172-219)
6.2.3 Assessment of credit risk management and controls (paras. 220-236)
6.2.4 Summary of findings and scoring (para. 237)
6.3 Assessment of market risk (paras. 238-271)
6.3.1 General considerations (para. 238)
6.3.2 Assessment of inherent market risk (paras. 239-256)
6.3.3 Assessment of market risk management and controls (paras. 257-269)
6.3.4 Summary of findings and scoring (paras. 270-271)
6.4 Assessment of operational risk (paras. 272-326)
6.4.1 General considerations (paras. 272-276)
6.4.2 Assessment of inherent operational risk (paras. 277-302)
6.4.3 Assessment of reputational risk (paras. 303-309)
6.4.4 Assessment of operational risk management, measurement and controls (paras. 310-326)
6.5 Assessment of interest rate risk arising from non-trading book activities (paras. 327-359)
6.5.1 General considerations (paras. 327-330)
6.5.2 Assessment of inherent IRRBB (paras. 331-347)
6.5.3 Assessment of IRRBB management and controls (both risk management and compliance, and internal audit control functions) (paras. 348-358)
6.5.4 Summary of findings and scoring (para. 359)
Title 7. SREP capital assessment (paras. 360-449)
7.1 General considerations (paras. 360-365)
7.2 Determining additional own funds requirements for risks other than the risk of excessive leverage (para. 366)
7.2.1 Determining additional own funds to cover unexpected losses (paras. 367-385)
7.2.2 Determining own funds or other measures to cover model deficiencies (para. 386)
7.2.3 Determining own funds or other measures to cover other deficiencies (paras. 387-389)
7.2.4 Determining the composition of additional own funds requirements (paras. 390-391)
7.3 Additional own funds requirements for the risk of excessive leverage (para. 392)
7.3.1 Assessment of risk of excessive leverage (paras. 393-394)
7.3.2 Determination of additional own funds requirement to address the risk of excessive leverage (paras. 395-398)
7.3.3 Composition of additional own funds requirement to address the risk of excessive leverage (paras. 399-400)
7.4 Reconciliation with the capital buffers and any macroprudential requirements (para. 401)
7.5 Determining the TSCR, TSLRR, OCR and OLRR (paras. 402-409)
7.6 Articulation and justification of own funds requirements (paras. 410-419)
7.7 Meeting requirements in stressed conditions (paras. 420-422)
7.7.1 Using P2G to address the quantitative outcomes of stress testing (paras. 423-442)
7.7.2 Capital planning and other supervisory measures to address capital adequacy in stressed conditions (paras. 443-448)
7.8 Summary of findings and scoring (para. 449)
Title 8. Assessing risks to liquidity and funding (paras. 450-504)
8.1 General considerations (paras. 450-458)
8.2 Assessing liquidity risk (paras. 459-469)
8.3 Assessing inherent funding risk (paras. 470-477)
8.4 Assessing liquidity and funding risk management (paras. 478-503)
8.5 Summary of findings and scoring (para. 504)
Title 9.  SREP liquidity assessment (paras. 505-533)
9.1 General considerations (paras. 505-508)
9.2 Overall assessment of liquidity (paras. 509-513)
9.3 Determining the need for specific liquidity requirements (paras. 514-517)
9.4 Determination of specific quantitative liquidity requirements (paras. 518-525)
9.5 Articulation of specific quantitative liquidity requirements (paras. 526-531)
9.6 Summary of findings and scoring (paras. 532-533)
Title 10.  Overall SREP assessment and application of supervisory measures (paras. 534-591)
10.1 General considerations (paras. 534-538)
10.2 Overall SREP assessment (paras. 539-543)
10.3 Application of capital measures (paras. 544-545)
10.4 Application of liquidity measures (paras. 546-547)
10.5 Application of other supervisory measures (paras. 548-579)
10.6 Supervisory reaction to a situation where TSCR or OCR is not met (paras. 580-582)
10.7 Supervisory reaction to a situation where P2G is not met (paras. 583-586)
10.8 Interaction between supervisory and early intervention measures (paras. 587-588)
10.9 Interaction between supervisory and macroprudential measures (para. 589)
10.10 Interaction between supervisory and AML/CFT measures (paras. 590-591)
Title 11. Application of the SREP to cross-border groups (paras. 592-594)
11.1 Application of the SREP to cross-border groups (paras. 595-602)
11.2 SREP capital assessment and institution-specific prudential requirements (paras. 603-611)
11.3 SREP liquidity assessment and institution-specific prudential requirements (para. 612)
11.4 Application of other supervisory measures (paras. 613-614)
Title 12. Supervisory stress testing (paras. 615-633)
12.1 Use of supervisory stress testing by competent authorities (paras. 615-620)
12.2 Key elements of supervisory stress testing (paras. 621-623)
12.3 Organisational and governance arrangements within competent authorities (paras. 624-629)
12.4 Process and methodological considerations (paras. 630-633)
Annexes
Annex 1. Operational risk, examples of the link between losses and risk drivers
Annex 2. Key features and differences between P2R and P2G
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