Supervisory Review and Evaluation Process (SREP) and Pillar 2

The aim of the Pillar 2 processes is to enhance the link between an institution's risk profile, its risk management and risk mitigation systems, and its capital planning. Pillar 2 can be divided into two major components: (i) aimed at institutions, where those are expected to establish sound, effective and complete strategies and processes to assess and maintain, on an ongoing basis, the amounts, types and distribution of internal capital commensurate to their risk profiles (ICAAP), as well as robust governance and internal control arrangements, and (ii) supervisory review and evaluation process (SREP). The key purpose of SREP is to ensure that institutions have adequate arrangements, strategies, processes and mechanisms as well as capital and liquidity to  ensure a sound management and coverage of their risks, to which they are or might be exposed, including those revealed by stress testing and risks institution may pose to the financial system.

This section brings together the EBA's work on the supervisory review and examination process in general and on some specific Pillar 2 topics, like concentration and diversification.

Technical Standards, Guidelines & Recommendations

  • Guidelines on stress testing and supervisory stress testing

    These draft Guidelines on stress testing and supervisory stress testing provide detailed guidance on the way institutions should design and conduct a stress testing programme across the EU as well as promote convergence in the use of stress test in the context of the supervisory review and evaluation process (SREP). They build on the previous CEBS Guidelines on Stress Testing (GL32), which were published in August 2010.

    Status: Under development

  • Guidelines on ICAAP and ILAAP information

    These Guidelines specify the information competent authorities will collect from institutions regarding the internal capital adequacy assessment process (ICAAP) and the internal liquidity adequacy assessment process (ILAAP). These draft Guidelines aim at facilitating the consistent approach to the supervisory assessment of ICAAP and ILAAP frameworks as well as the assessment of reliability of institutions’ own capital and liquidity estimates as part of the supervisory review and evaluation process (SREP) following the criteria and methodologies specified in the EBA Guidelines on common procedures and methodologies for SREP.

    Status: Under development

  • Guidelines on the treatment of CVA risk under SREP

    The Guidelines are based on a policy recommendation contained in the EBA’s CVA report and aim to provide a common European approach to assessing CVA risk under SREP. Additionally, these Guidelines will provide a common European approach to the assessment of capital adequacy of own funds and the determination of potential additional own funds requirements for CVA risk.

    Status: Under development

  • Guidelines on Technical aspects of the management of interest rate risk arising from non trading activities in the context of the supervisory review process

    These guidelines on technical aspects of the management of interest rate risk arising from non trading activities are aimed at improving the management of IRRBB risks by institutions, and to promote the convergence of supervisory practices in reviewing and evaluating institutions under the Pillar 2 assessment process.

    Status: Final and translated into the EU official languages

Opinions, Reports and other Publications

 

Opinions