ICAAP & ILAAP role in SREP

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Overview of EU regulation✓ EBA RISK REDUCTION PACKAGE ROADMAPS (tasks arising from CRD 5 – CRR 2 – BRRD 2)✓ The EBA’s policy strategy on Pillar 2 deliverables✓ a focus on proportionality✓ the potential inclusion ofenvironmental, social and governance(ESG) risks in the SREP review✓ complementing the role of anti-moneylaundering (AML) authorities✓ capital add-ons are confined to apurely microprudential perspective✓ conditions for applying Pillar 2 capitaladd-ons to cover specific risks✓ the conditions for the use of ICAAPcalculations for the determination ofthe capital add-ons will be clarified12
Implementation in the national regulation - ICAAP✓ Bank of Slovenia – REGULATION on Internal Governance Arrangements, the Managementbody and the Internal Capital Adequacy Assessment Process for Banks and Savings banks (link)✓ Early implementation of SSM requirement into national regulation✓ This national regulation puts more clarity on the supervisory expectations✓ Withdrawal of BoS ICAAP guidelines that prescribed a fall-back approach✓ Dedicated chapter on ICAAP that covers the following aspect:✓ ICAAP as integral part of risk management processes (the bank shall apply the samesystems, processes, methodologies, data and definitions of risks as those applied in theidentification, assessment or measurement, management, monitoring and controlling ofrisks; Management body’s responsibility for approval of ICAAP, MB detailed knowledgeand SB general awareness of the concept and objectives of the ICAAP, including anunderstanding of the importance of its results and the corresponding measures, planningand implementation of ICAAP)✓ Application of results of ICAAP to setting of risk strategies and capital planning(inclusion of identified risks in ICAAP, risk measurement and use of economic capitalmodels, internal assessment of risk-based capital requirement)✓ Internal capital assessment (objectives for maintenance of risk bearing capacity, capitalplanning, analysis of risk bearing capacity, use of stress tests, capital allocation process)13
Page 1 and 2: ICAAP and ILAAProle in SREPKatja Ci
Page 3 and 4: Regulatory aspect of ICAAP and ILAA
Page 5 and 6: Overview of EU regulationCRDIV✓ A
Page 7 and 8: Overview of EU regulation✓ EBA Gu
Page 9 and 10: Overview of EU regulation✓ Guidel
Page 11: Overview of EU regulation✓ Guidel
Page 15 and 16: Implementation in national regulati
Page 17 and 18: Practical aspect of ICAAP and ILAAP
Page 19 and 20: Bank of Slovenia Supervisory Priori
Page 21 and 22: SREP in Bank of SloveniaSSM LSI SRE
Page 23 and 24: SREP in Bank of SloveniaSSM LSI SRE
Page 25 and 26: SREP in Bank of Slovenia and SSM✓
Page 27 and 28: Final thoughts✓ Finding the right

ICAAP & ILAAP role in SREP

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