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Commission Implementing Regulation (EU) No 710/2014 of 23 June 2014 laying down implementing technical standards with regard to conditions of application of the joint decision process for institution-specific prudential requirements according to Directive 2013/36/EU of the European Parliament and of the Council Text with EEA relevance

Type Implementing Regulation

Publication 2014-06-27

State In force

Text As published

Department European Commission

Source EUR-Lex

articles 22

This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.

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Within this section please provide: (1) a description of the evolution of the risk in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures including, capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.

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C.4 Market risk

Score:

C.5 IRRBB

Score:

C.6 Operational risk

Score:

C.7 Risk of excessive leverage

Score:

C.8 Other risks material to the institution, as applicable (please specify)

Score:

Within this section please provide: (1) a description of the evolution of other identified risks to solvency in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures including, capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.

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D. Risks to liquidity

Overall liquidity risk score:

Within this section please provide: (1) a description of the evolution of liquidity and funding risks in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures including, capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.

Depending on the timing of the joint decision on liquidity, this assessment should either mirror the findings summarised in the Group liquidity risk assessment report (see template in Annex 7), or provide an updated assessment.

Should the assessment of liquidity and funding risks highlight significant issues in relation to funding risk requiring the allocation of capital to mitigate impacts from an increased cost of funding, please describe how it is reflected in the additional own funds requirements, if relevant.

E. Systemic risk

Within this section please provide: (1) a description of the evolution of the risk in the observed period; (2) the outlook for the next assessment period; and, (3) any supervisory measures, including capital and non-capital supervisory measures.

F. ICAAP review

Within this section please provide: (1) a summary of the findings of the assessment of the reliability of the ICAAP framework and institution’s own quantification of risks and the consequent allocation of appropriate internal capital; (2) a description of the evolution of ICAAP framework in the observed period; (3) deficiencies identified; (4) issues of non-compliance with the CRR and the CRD in relation to the ICAAP; (5) mitigating actions to be taken by the institution; and (6) any relevant supervisory measures, including capital and non-capital supervisory measures to address the deficiencies and non-compliance issues.

The section should also have a statement on whether ICAAP estimates are considered reliable and could serve as an input into the assessment of capital adequacy.

G. Inter-risk diversification effects

Taking into account the outcome of the ICAAP assessments and internal capital estimates, and only in case diversification effects are recognised, please provide within this section a description of the impact of diversification effects and define the extent to which benefits from the diversification effects can be taken into account in the determination of capital adequacy.

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H. Stress test outcomes

Within this section please summarise the results and their impact on capital adequacy of institutions own stress tests and their reconciliation with supervisory stress tests, including the explanation of how the stress testing buffer was derived, where applicable.

Other relevant information

Within this section please provide other information deemed relevant by the competent authorities for the purposes of the group risk assessment and not provided above (e.g. information needed to meet requirements of Article 6(5) of this Implementing Regulation.

Quantitative Indicators agreed by the consolidating supervisor and the host EEA competent authorities (pursuant to RTS/ITS on colleges of supervisors)

Please list any quantitative indicators agreed to be shared while developing the joint risk assessment report for the purposes of reaching a joint decision.

ANNEX IV

GROUP RISK ASSESSMENT REPORT TEMPLATE

Table 1

Summary of scores

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Institution:

Entity X/ Sub-group X

Entity Y / Sub-group Y

Consolidated group

Category of the institution:

Reference date:

Total assets (mln EUR) at reference date:

Competent authority:

SREP elements

Score

Business Model (viability and sustainability)

Internal governance arrangements

Risks to solvency

C.1

Credit and counterparty risk

C.2

Settlement / Delivery risk

C.3

Inter-concentration risk

C.4

Market risk

C.5

IRRBB

C.6

Operational risk

C.7

Risk of excessive leverage

C.8

Other risks material to the institution, as applicable (please specify)

C.9

Other risks material to the institution, as applicable (please specify)

Risks to liquidity

[as per the outcome of the Liquidity SREP report]

Systemic risk (risk that institution poses to financial system)

Overall SREP Score

Table 2

Summary of capital adequacy assessment

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Institution:

Entity X/ Sub-group X

Entity Y/ Sub-group Y

Consolidated Group

Category of the institution:

Reference date:

Total assets (mln EUR) at reference date:

Competent authority:

SREP elements

Memoranda items

Overall SREP capital requirement/estimate (including supervisory proxy, where applicable) (in mln EUR)

Memoranda items

Overall SREP capital requirement/estimate (including supervisory proxy, where applicable) (in mln EUR)

Memoranda items

Overall SREP capital requirement/estimate (including supervisory proxy, where applicable) (in mln EUR)

Pillar 1 capital requirements, where applicable (in mln EUR)

ICAAP estimate (in mln EUR)

Pillar 1 capital requirements, where applicable (in mln EUR)

ICAAP estimate (in mln EUR)

Pillar 1 capital requirements, where applicable (in mln EUR)

ICAAP estimate (in mln EUR)

Business Model (viability and sustainability)

Internal governance arrangements

Risks to solvency (risks and controls)

C.1

Credit and counterparty risk

C.2

Settlement / Delivery risk

C.3

Inter-concentration risk

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C.4

Market risk

C.5

IRRBB

C.6

Operational risk

C.7

Risk of excessive leverage

C.8

Other risks material to the institution, as applicable (please specify)

C.9

Other risks material to the institution, as applicable (please specify)

Risks to liquidity — Funding risk (cost of funding perspective)

Systemic risk (risk that institution poses to financial system)

Inter-risk diversification effects

Capital planning / stress test buffer (where applicable)

Capital planning / Stress testing buffer based on the outcomes of ICAAP stress tests, where applicable

Reconciliation of ICAAP stress tests with supervisory stress tests and resulting capital planning / stress testing buffer, where applicable

Capital planning / Stress testing buffer based on the outcomes of ICAAP stress tests, where applicable

Reconciliation of ICAAP stress tests with supervisory stress tests and resulting capital planning / stress testing buffer, where applicable

Capital planning / Stress testing buffer based on the outcomes of ICAAP stress tests, where applicable

Reconciliation of ICAAP stress tests with supervisory stress tests and resulting capital planning / stress testing buffer, where applicable

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SREP capital outcome (preliminary proposal for joint decision discussion)

Overall capital requirement/estimate

Total Pillar 1 capital requirement

Total ICAAP capital estimate

Total SREP capital estimate

Total Pillar 1 capital requirement

Total ICAAP capital estimate

Total SREP capital estimate

Total Pillar 1 capital requirement

Total ICAAP capital estimate

Total SREP capital estimate

Capital adequacy assessment (capital is assessed as adequate/inadequate)

Adequate/Inadequate

Additional own funds requirement

Sum of components or holistic approach (formulated as an amount or ratio, or combination of both)

Diversification effects, including intra-group (-)

Intra-group concentration (+)

Intra-group support arrangements (-)

Other intra-group items (+/-)

Joint decision outcome (based on preliminary proposal (H), reflecting impact of intra-group items, and results of the dialogue between competent authorities)

Overall capital requirement/estimate

Total SREP capital estimate

Capital adequacy assessment (capital is assessed as adequate/inadequate)

Adequate/Inadequate

Additional own funds requirement

Sum of components or holistic approach (formulated as an amount or ratio, or combination of both)

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Memoranda items (values at reference date)

Total own funds (mln EUR) at reference date

Tier 1 own funds (mln EUR) at reference date

Common Equity Tier 1 own funds (mln EUR) at reference date

Total risk weighted assets (mln EUR) at reference date

The own funds requirements applicable in the home Member State in accordance with Article 92 of Regulation (EU) No 575/2013 taking into account any measures adopted or recognised under Article 458 of that Regulation and the transitional arrangements under Part X of that Regulation

The level of the capital conservation buffer required to be maintained by the institution in accordance with Article 129 of Directive 2013/36/EU

The level of the institution-specific countercyclical capital buffer to be maintained by the institution in accordance with Article 130 of Directive 2013/36/EU

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The level of the systemic risk buffer to be maintained by the institution, if applicable, in accordance with Article 133 of Directive 2013/36/EU

The level of the any G-SII buffer or O-SII buffer, as defined in paragraphs (3) and (4) respectively of Article 128 of Directive 2013/36/EU, to be held by the institution

Any other prudential requirements applicable to the institution, including under Article 103 of Directive 2013/36/EU, macro-prudential measures and recommendations of EBA and ESRB

ANNEX V

LIQUIDITY RISK ASSESSMENT REPORT TEMPLATE

Liquidity risk assessment report is supplemented with summary of scores (Table 1) and overall liquidity assessment (Table 2).

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Institution:

Category of the institution:

[based on national classification until common categorisation approach is in place as per EBA Guidelines for common SREP methodologies and procedures; the category to which the institution is assigned shall reflect also its systemic importance]

Reference date:

Total assets (million EUR) at reference date:

Competent authority:

Overall Assessment of Liquidity Risk in SREP

Overall liquidity risk Score :

This section should contain a summary of the individual assessments below.

Liquidity Adequacy Assessment

Within this section please provide: (1) a summary of the assessment of the liquidity adequacy; (2) the proposal for the joint decision, including a statement on the adequacy of liquidity at the respective entity level and any supervisory measures, where applicable, to address significant matters and material findings; and, (3) the outlook for the next assessment period.

A. Assessment of liquidity risk

Score:

Within this section please provide: (1) a description of the evolution of liquidity risk in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures to address the deficiencies and non-compliance issues.

B. Assessment of funding risk

Score:

Within this section please provide: (1) a description of the evolution of funding risk in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures to address the deficiencies and non-compliance issues.

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C. Assessment of liquidity and funding risk management

Score:

Within this section please provide: (1) a description of the evolution of liquidity and funding risk management in the observed period; (2) control deficiencies identified; (3) issues of non-compliance with the CRR and the CRD in relation to risk; (4) the outlook for the next assessment period; (5) risk mitigating actions to be taken by the institution; and, (6) any relevant supervisory measures to address the deficiencies and non-compliance issues.

Other relevant information

Within this section please provide other information deemed relevant by the competent authority for the purposes of the group risk assessment and not provided above.

ANNEX VI

LIQUIDITY RISK ASSESSMENT REPORT TEMPLATE

Table 1

Summary of scores

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Institution:

Category of the institution:

Reference date:

Total assets (mln EUR) at reference date:

Competent authority:

Liquidity elements in SREP

Score

Liquidity risk

Funding risk

Liquidity and funding risk management

E. Overall liquidity risk score

Table 2

Summary of capital adequacy assessment

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Institution:

Category of the institution:

Reference date:

Total assets (mln EUR) at reference date:

Competent authority:

Liquidity elements in SREP

Outcome of liquidity risk assessment

(in mln euros or ratio or narrative information on measures)

Liquidity adequacy assessment

Adequate/Inadequate

Proposal for joint decision - Quantitative measures (Articles 104 and 105)

Specific liquidity buffer requirements [To be specified in terms of LCR eligible assets post-introduction of LCR as a standard (optional before)]

Specific stable funding requirements [To be specified on NSFR definition post-NSFR introduced as a standard (optional before)]

Other quantitative restrictions/requirements

Proposal for joint decision — Qualitative measures (Articles 104 and 105)

Memoranda items (values at reference date)

Actual LCR ratio or any other equivalent domestic ratio (until LCR implementation in CRR)

Actual NSFR ratio or any other equivalent domestic ratio (until NSFR implementation in CRR)

LCR buffer requirement, if any ('Pillar 1')

NSFR stable funding requirement, if any ('Pillar 1')

Any other prudential requirements applicable to the institution, including under Article 103 of Directive 2013/36/EU, macro-prudential measures and recommendations of EBA and ESRB

ANNEX VII

GROUP LIQUIDITY RISK ASSESSMENT REPORT TEMPLATE

The Group liquidity risk assessment report includes as annexes all liquidity risk assessment reports submitted by the relevant competent authorities. The group risk assessment report is supplemented with summaries of scores (Table 1) and liquidity adequacy assessment (Table 2).

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Group:

Category of the group:

Reference date:

Total assets (million EUR) at reference date:

Overall Assessment of Liquidity Risk in SREP

Overall liquidity risk Score :

This section should contain a summary of the individual assessments below.

Liquidity Adequacy Assessment

Within this section please provide: (1) a summary of the assessment of the liquidity adequacy; (2) the proposal for the joint decision, including a statement on the adequacy of liquidity at the group level and any supervisory measures, where applicable, to address significant matters and material findings; and, (3) the outlook for the next assessment period.

A. Assessment of liquidity risk

Score:

B. Assessment of funding risk

Score:

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C. Assessment of liquidity and funding risk management

Score:

Other relevant information

ANNEX VIII

GROUP LIQUIDITY RISK REPORT TEMPLATE

Table 1

Summary of scores

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Institution:

Entity X/ Sub-group X

Entity Y/ Sub-group Y

Consolidated group

Category of the institution:

Reference date:

Total assets (mln EUR) at reference date:

Competent authority:

Liquidity elements in SREP

Score

Liquidity risk

Funding risk

Liquidity and funding risk management

E. Overall liquidity risk score

Table 2

Summary of liquidity assessment

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Institution:

Entity X/ Sub-group X

Entity Y/ Sub-group Y

Consolidated group

Category of the institution:

Reference date:

Total assets (mln EUR) at reference date:

Competent authority:

Liquidity elements in SREP

Outcome of liquidity risk assessment

(in mln Euros or ratio or narrative information on measures]

Liquidity adequacy assessment

Adequate/Inadequate

Proposal for joint decision - Quantitative measures (Articles 104 and 105)

Specific liquidity buffer requirements [To be specified in terms of LCR eligible assets post-introduction of LCR as a standard (optional before)]

Specific stable funding requirements [To be specified on NSFR definition post-NSFR introduced as a standard (optional before)]

Other quantitative restrictions/requirements

Proposal for joint decision — Qualitative measures (Articles 104 and 105)

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Text of image

Memoranda items (values at reference date)

Actual LCR ratio or any other equivalent domestic ratio (until LCR implementation in CRR)

Actual NSFR ratio or any other equivalent domestic ratio (until NSFR implementation in CRR)

LCR buffer requirement, if any ('Pillar 1')

NSFR stable funding requirement, if any ('Pillar 1')

Any other prudential requirements applicable to the institution, including under Article 103 of Directive 2013/36/EU, macro-prudential measures and recommendations of EBA and ESRB

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