Elderlake Partners

08 · SREP, P2R & P2G

Art 97–104b CRD · EBA SREP GL

Purpose & history

How judgement becomes a number

The SREP scores four elements — business model, governance & risk management, risks to capital, risks to liquidity — each 1–4, composing an overall score that anchors P2R: a binding, MDA-relevant requirement covering risks Pillar 1 misses (concentration, IRRBB above the SOT's tolerance, model deficiencies, whatever TRIM left). Composition rule: at least 56.25% CET1 and 75% Tier 1, unless the supervisor demands more. P2G sits above the buffers: sized from stress-test depletion, not MDA-relevant, but ignoring it invites the one letter no CFO wants. The standing disciplines: no double counting with Pillar 1 (acute since the floor and SMA arrived — nominal P2R amounts were recalculated at the floor switch precisely to strip overlap), and proportionality (SREP intensity by category). ESG risks and transition-plan credibility enter the methodology from 2026 under CRD6.

Requirements

ICAAP / ILAAPAnnual, two perspectives (normative 3y+, economic), stress-integrated, board-owned — the SREP's primary evidence.
Data & dialogueSTE data collections, findings remediation with deadlines, supervisory board interaction — the SREP is a year-round process wearing an annual letter.
Capital planning to the full stackRequirement + guidance projected under base and adverse; distributions planned against MDA and P2G simultaneously.
ESG (from 2026)Transition plans with quantifiable targets; ESG risk drivers mapped into ICAAP scenarios.

Calculations

P2R composition in euros TREA €72bn, P2R = 2.0% → €1.44bn total: ≥ €810m CET1 (56.25%), ≤ €270m AT1, ≤ €360m T2 — P2R is also an AT1/T2 issuance question.
P2G sizing Adverse-scenario CET1 depletion 3.9% → bucketed → P2G ≈ 1.5%, sitting on top of the 11.125% stack: management target ≈ 12.6%+ before the board sleeps.
The floor flowing uphill (single stack) TREA €60bn → €72.5bn as the floor binds: the same 11.125% stack grows €6.7bn → €8.1bn CET1; P2R's nominal recalculation at the switch is the only brake on pure double counting.

Changes & sources

  • Sources: Art 97–104b CRD; EBA SREP GL (2022); ECB SREP methodology and annual aggregate outcomes; CRD6 for ESG and third-country branches.
  • Watch: P2G methodology harmonisation and the floor/P2R overlap debate — both quietly worth basis points.

Independent analysis by Elderlake Partners, as at August 2026. Not legal, accounting or supervisory advice.