Introduction 介绍

The following sections provide a broad description of the Supervisory Review and Evaluation Process (SREP) methodology applied to significant institutions under the direct supervision of the European Central Bank (ECB) (as set out in the SSM Regulation^[1]

and the SSM Framework Regulation^[2]

Regulation (EU) No 468/2014 of the European Central Bank of 16 April 2014 establishing the framework for cooperation within the Single Supervisory Mechanism between the European Central Bank and national competent authorities and with national designated authorities (SSM Framework Regulation) (ECB/2014/17) (OJ L 141, 14.5.2014, p. 1).

). The ECB continuously refines its supervisory methodologies to ensure they are up to date and reflect the latest supervisory developments as well as regulatory requirements.
以下各节提供了适用于欧洲央行（ECB）直接监管的重要机构的监管审查和评估过程（SREP）方法论的广泛描述（如《SSM 条例 ^[1] 》和《SSM 框架条例 ^[2] 》所规定）。欧洲央行不断完善其监管方法论，以确保其与最新的监管发展和监管要求保持同步。

The ECB carries out the SREP assessment on the basis of a case-by-case approach using a standardised methodology, applying a principle of business and corporate governance neutrality.
欧洲央行根据一种以案为基础的方法进行 SREP 评估，采用标准化方法，应用业务和公司治理中立原则。

The SREP approach: SREP 方法：

• is consistent with the European Banking Authority (EBA) Guidelines on SREP (EBA/GL/2014/13)^[3]

  Guidelines EBA/GL/2014/13 of the European Banking Authority of 19 December 2014 on common procedures and methodologies for the supervisory review and evaluation process (SREP), amended by Guidelines EBA/GL/2018/03 of 19 July 2018 on the revised common procedures and methodologies for the supervisory review and evaluation process (SREP) and supervisory stress testing, available on the EBA’s website, referred to in this report as the “EBA Guidelines on SREP”.

  , relevant Capital Requirements Directive (CRD)^[4]

  Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p. 338).

  provisions as transposed into national laws, relevant Capital Requirements Regulation (CRR)^[5]

  Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).

  provisions and other relevant EBA guidelines and regulatory technical standards as applied to the relevant risks assessed in the SREP;
  符合欧洲银行管理局（EBA）有关 SREP 的指导方针（EBA/GL/2014/13） ^[3] ，相关的资本要求指令（CRD） ^[4] 规定，作为国家法律的转化，相关的资本要求条例（CRR） ^[5] 规定以及其他相关的 EBA 指南和监管技术标准，适用于 SREP 中评估的相关风险；
• is periodically updated to ensure alignment with the EBA Guidelines on SREP and to reflect new regulations;
  定期更新，以确保与欧洲银行管理局有关 SREP 的指导方针保持一致，并反映新的监管规定；
• draws on leading practices within the Single Supervisory Mechanism (SSM) and methods recommended by international bodies, thereby keeping up with evolving practices and ensuring continuous improvement;
  借鉴单一监管机制（SSM）内的领先做法和国际机构推荐的方法，从而跟上不断发展的实践，确保持续改进；
• is applied in a proportionate manner to significant institutions, taking into account the nature, scale and complexity of their activities and, where relevant, their position within a group.
  以相应比例应用于重要机构，考虑其活动的性质、规模和复杂性，以及在集团内的地位（如适用）。

For official definitions and further information, please refer to the EBA Guidelines on SREP.
有关官方定义和更多信息，请参阅欧洲银行管理局有关 SREP 的指导方针。

1 The Supervisory Review and Evaluation Process
1 监管审查和评估流程

1.1 Executive summary 1.1 执行摘要

Joint Supervisory Teams (JSTs) regularly assess and measure risks to SSM significant institutions. The teams are made up of supervisors from the ECB and national competent authorities (NCAs) and carry out this regular review and assessment to determine whether banks are complying with relevant European laws and regulations and are meeting supervisory expectations.
联合监管团队（JSTs）定期评估和衡量对 SSM 重要机构的风险。这些团队由欧洲央行和国家主管当局（NCAs）的监管人员组成，并进行定期审查和评估，以确定银行是否遵守相关的欧洲法律法规，并是否符合监管期望。

Supervisors do this through the Supervisory Review and Evaluation Process, or SREP, which is central to European banking supervision.
监管机构通过监管审查和评估流程（SREP）来实现这一点，这是欧洲银行监管的核心。

The SREP assesses the way a bank deals with its risks and the elements that could adversely affect its capital or liquidity, now or in the future. This process determines where a bank stands in terms of capital and liquidity requirements, as well as the adequacy of its internal arrangements and risk controls.
SREP 评估银行处理风险的方式以及可能在现在或将来对其资本或流动性产生不利影响的因素。该过程确定银行在资本和流动性要求方面的位置，以及其内部安排和风险控制的充分性。

The SREP has three main outcomes:
SREP 有三个主要结果：

• a holistic, forward-looking assessment of the overall viability of the institution^[6]

  According to the EBA Guidelines on SREP, “overall SREP assessment” means the up-to-date assessment of the overall viability of an institution based on assessment of the SREP elements.

  ;
  对机构整体可行性的全面、前瞻性评估 ^[6] ；
• issuance of a decision requiring banks – where needed – to meet their capital/liquidity requirements and implement other supervisory measures^[7]

  Article 104 CRD IV and Article 16 of the SSM Regulation.

  ;
  要求银行根据需要满足其资本/流动性要求并实施其他监管措施的决定的发布 ^[7] ;
• input into the determination of the minimum level of supervisory engagement for a specific institution as part of the next Supervisory Examination Programme (SEP)^[8]

  Articles 97 to 99 CRD IV.

  .
  作为下一个监管审查计划（SEP）的一部分，输入以确定特定机构监管参与的最低水平 ^[8] 。

The SREP is based on four elements:
SREP 基于四个要素：

• a business model and profitability assessment;
  商业模式和盈利能力评估;
• an internal governance and risk management assessment;
  内部治理和风险管理评估;
• an assessment of risks to capital on a risk-specific basis (i.e. credit risk, market risk, operational risk, interest rate risk in the banking book – IRRBB), of the institution’s internal capital adequacy assessment process (ICAAP) and of capital adequacy;
  对机构内部资本充足性评估（ICAAP）以及资本充足性的风险特定基础评估（即信用风险、市场风险、运营风险、银行账簿中的利率风险-IRRBB）；
• an assessment of risks to liquidity and funding on a risk-specific basis (i.e. short-term funding, long-term funding and the institution’s internally identified risks in normal scenarios and under stressed conditions), which feeds into the preliminary determination of a liquidity requirement to cover those risks, of the institution’s internal liquidity adequacy assessment process (ILAAP) and of the adequacy of liquidity.
  对流动性和资金风险进行基于风险的评估（即短期融资、长期融资以及机构在正常情况和压力情况下内部确定的风险），这将反映在初步确定的流动性需求中，以覆盖这些风险，这是机构内部流动性充足性评估过程（ILAAP）和流动性充足性的评估。

For each element, the evaluation is conducted through a dedicated risk assessment system (RAS). The RAS is fed with regular reporting, such as common reporting (COREP) and financial reporting (FINREP), and qualitative information, and also includes ad hoc information obtained by JSTs from various sources on an ongoing basis. These include other data (e.g. short-term exercise data, internal bank data), reports (e.g. external audit reports), meetings and inputs stemming from on-site supervision and/or “deep dive” analysis. The outcome of the RAS is summarised in a “rationale” and a score that facilitates comparison and internal communication.
对于每个要素，评估是通过专用风险评估系统（RAS）进行的。 RAS 接收定期报告，如常规报告（COREP）和财务报告（FINREP），以及定性信息，并包括 JSTs 从各种来源持续获取的临时信息。 这些信息包括其他数据（例如，短期行使数据，内部银行数据），报告（例如，外部审计报告），会议和源自现场监督和/或“深度分析”的输入。 RAS 的结果总结在“理由”和便于比较和内部沟通的分数中。

The approach for each of the four elements is based on the three phases described below and focused on a quantitative (risk level)^[9]

and/or a qualitative (risk control)^[10]

“Considerations in relation to adequate management and controls”, in line with the EBA Guidelines on SREP.

perspective in line with the EBA Guidelines on SREP. Following the JST’s detailed assessment, each of the four elements is given a combined score ranging from 1 (low risk) to 4 (high risk). Following the conclusion of a pilot project conducted in SREP 2021 to introduce more granular and accurate scoring for the assessment of internal governance and the overall SREP assessment, for SREP 2022 the four elements have been scored using qualifiers for scores 2 and 3 (2+, 2, 2- and 3+, 3, 3-). The qualifiers provide a more granular and more accurate assessment, allowing a more precise reflection of the year-to-year evolution. The qualifiers should not be interpreted as a tool to express trends or outlooks, but as a tool to increase the granularity of the assessment.
每个元素的方法基于以下描述的三个阶段，并侧重于与 EBA 关于 SREP 的指导方针一致的定量（风险水平） ^[9] 和/或定性（风险控制） ^[10] 视角。根据 JST 的详细评估，每个元素被给予从 1（低风险）到 4（高风险）的综合评分。在 SREP 2021 进行的试点项目结束后，为了引入更细粒度和准确的评分以评估内部治理和整体 SREP 评估，对于 SREP 2022，这四个元素已使用 2 和 3 的评分资格（2+、2、2-和 3+、3、3-）进行评分。这些资格提供了更细粒度和更准确的评估，允许更精确地反映年度演变。这些资格不应被解释为表达趋势或展望的工具，而应被视为增加评估的细粒度的工具。

The assessment includes the evaluation of the institution’s ICAAP and ILAAP, as well as the performance of stress tests.
评估包括对机构的 ICAAP 和 ILAAP 的评估，以及压力测试的表现。

The assessment of each element is performed in three phases:
每个要素的评估分为三个阶段：

• Phase 1: Supervisors gather data from the bank.
  阶段 1：监管机构从银行收集数据。
• Phase 2: Production of an automated preliminary anchoring score for the risk level and a formal compliance check for risk control.
  第二阶段：为风险水平制定自动化初步锚定评分和风险控制的正式合规检查。
• Phase 3: Supervisors carry out a more thorough risk assessment, taking into account supervisory judgements regarding the specificities of the bank.
  第三阶段：监管机构进行更彻底的风险评估，考虑到对银行特定情况的监管判断。

1.1.1 Overall assessment 1.1.1 总体评估

The assessment of the four elements is then combined in an overall SREP assessment, reflecting the “supervisory view”, which is summarised in an overall SREP score of between 1 and 4 (with qualifiers) and a main rationale which explains why the score in question has been assigned. In line with the EBA Guidelines on SREP, this overall SREP score reflects the supervisor’s overall assessment of the viability of the institution: higher scores reflect higher risks to the viability of the institution stemming from one or more features of its risk profile.
四个要素的评估随后结合在一个总体的 SREP 评估中，反映了“监管观点”，总体 SREP 评分在 1 到 4 之间（带有修饰语），并解释了为什么分配了相应的评分。根据欧洲银行管理局关于 SREP 的指导方针，这个总体 SREP 评分反映了监管机构对机构可行性的总体评估：较高的评分反映了机构可行性面临的风险较高，这些风险源自其风险配置的一个或多个特征。

As an outcome of the assessment, banks may be asked to implement a wide range of measures to address any capital and liquidity shortcomings, as well as other qualitative measures.
作为评估的结果，银行可能会被要求实施一系列措施来解决资本和流动性不足问题，以及其他定性措施。

Banks receive the outcome of the SREP assessment via a formal SREP decision. The individual SREP decision supports other supervisory activities. It feeds into the SEP, which consists of strategic and operational planning for the upcoming supervisory cycle. Moreover, it has a direct impact on the frequency and depth of the bank’s off-site and on-site supervision.
银行通过正式的 SREP 决定获得 SREP 评估结果。个别的 SREP 决定支持其他监管活动。它输入到 SEP 中，该计划包括未来监管周期的战略和运营规划。此外，它直接影响银行远程和现场监督的频率和深度。

2 The framework 2 框架

The SREP is flexible and adjustable to ensure risk-based supervision. In practice, this means that the frequency, scope and depth with which the elements of the SREP are assessed can vary depending on the level of supervisory engagement and the bank’s specific circumstances.
SREP 灵活可调，以确保基于风险的监管。在实践中，这意味着根据监管参与水平和银行特定情况的不同，对 SREP 要素进行评估的频率、范围和深度可能会有所变化。

The SREP assessment cycle is generally based on year-end data from the previous year, i.e. the SREP 2022 assessment cycle is generally based on year-end data for 2021. The outcomes of the SREP assessment cycle for a given year generally translate into SREP decisions applicable for the following year, i.e. the outcomes of the SREP 2022 assessment cycle are reflected in SREP decisions applicable for 2023.
SREP 评估周期通常基于前一年的年底数据，即 SREP 2022 评估周期通常基于 2021 年年底数据。给定年份的 SREP 评估周期结果通常会转化为适用于下一年的 SREP 决策，即 SREP 2022 评估周期的结果会反映在适用于 2023 年的 SREP 决策中。

2.1 Backward and forward-looking perspectives
2.1 向后和向前看的观点

The SREP aims to assess an institution’s intrinsic riskiness, its position vis-à-vis a group of peers, and its vulnerability to exogenous factors.
SREP 旨在评估机构的内在风险性、与一组同行的位置以及其对外部因素的脆弱性。

Supervisors are required to take all necessary steps in a timely manner to ensure an institution’s future viability, so their assessment also needs to adopt a forward‑looking perspective. Thus, the SREP assesses an institution’s viability at a 12-month horizon as well as from a medium to long-term perspective, using a wide range of backward and forward-looking quantitative and qualitative information.
监管机构需要及时采取一切必要措施，确保机构未来的生存能力，因此他们的评估也需要采用前瞻性视角。因此，SREP 在 12 个月的时间跨度以及中长期视角上评估机构的生存能力，使用广泛的前瞻性和后瞻性定量和定性信息。

Past developments are a key input into the assessment, since reliable data are, in general, widely available and may give an indication of trends in terms of future developments. This must be complemented by forward-looking information (including, for instance, probabilities of default (PDs), losses given default (LGDs), institutions’ capital and liquidity planning, and institutions’ own and supervisory stress tests). In the RAS, the forward-looking perspective is incorporated in Phase 3 assessments. Blocks 2 of Elements 3 and 4 take a forward-looking view with a focus on the near future. Blocks 3 of Elements 3 and 4 adopt a longer-term perspective, e.g. three to five years.
过去的发展是评估的关键输入，因为可靠的数据通常是广泛可得的，可以指示未来发展的趋势。这必须与前瞻性信息相结合（包括例如违约概率（PDs）、违约损失率（LGDs）、机构的资本和流动性规划，以及机构自身和监管的压力测试）。在 RAS 中，前瞻性视角被纳入第 3 阶段的评估中。元素 3 和 4 的第 2 块采取了一个关注近期未来的前瞻性视角。元素 3 和 4 的第 3 块采取了一个更长期的视角，例如三到五年。

2.2 Holistic approach 2.2 全面的方法

The SREP aims to produce an overall picture of an institution’s risk profile that is as complete as possible, taking into account all relevant risks and their possible mitigants. An institution’s risk profile is necessarily multi-faceted, and many risk factors are interrelated. This also holds true for the possible supervisory actions that can be implemented in response. This is why the four elements of the SREP need to be looked at together when producing the overall SREP assessment and preparing the SREP decision.
SREP 旨在尽可能全面地绘制机构风险概况的整体图景，考虑所有相关风险及其可能的缓解措施。机构的风险概况必然是多方面的，许多风险因素是相互关联的。这也适用于可能实施的监管行动。这就是为什么在制定整体 SREP 评估和准备 SREP 决策时，需要一起审视 SREP 的四个要素。

With regard to possible additional capital requirements, the holistic approach is being expanded by looking more closely at the individual drivers of risk, since the factors that feed into the overall supervisory assessment of a bank do not all have the same impact on its additional capital requirements.
关于可能的额外资本要求，通过更仔细地审视风险的各个驱动因素，全面的方法正在扩展，因为影响银行整体监管评估的因素并不都对其额外资本要求产生相同的影响。

2.3 Accountability 2.3 责任制

The SREP results in supervisory actions, including decisions on capital or liquidity or other types of supervisory measure. These measures (whether immediate, short‑term or more structural) have to be taken into account in supervisory planning.
SREP 结果会导致监管行动，包括资本、流动性或其他类型的监管措施的决定。这些措施（无论是立即的、短期的还是更结构性的）必须在监管规划中考虑到。

The SREP provides high-quality supervision to ensure financial stability within the euro area. This entails enhancing SSM institutions’ resilience to shocks. JSTs carry out their assessments in a conservative manner, adopting a fair but tough approach, and take the necessary action to enhance and ensure the viability of institutions.
SREP 提供高质量监管，以确保欧元区内的金融稳定。这意味着增强 SSM 机构对冲击的抵御能力。JST 以保守的方式进行评估，采取公平但严格的方法，并采取必要行动以增强和确保机构的可行性。

2.4 Constrained judgement
2.4 受限判断

The principle of “constrained judgement” applies throughout the SREP, allowing the JST to take into account the specificity and complexity of an institution while also ensuring consistency across supervisory judgements within the SSM. This is done through anchor points provided by the process, from which JSTs can deviate to a certain extent. Both dimensions are important. Anchor points are necessary to ensure homogeneity in supervisory assessments, but they cannot take into account the specificities of an institution’s risks and are considered to be only a starting point for the supervisory assessment. Supervisory judgement is necessary to adequately assess an institution’s specific risk profile but needs to be consistent over time and across institutions.
“受限判断”原则贯穿整个 SREP，允许 JST 考虑机构的特殊性和复杂性，同时确保在 SSM 内监管判断的一致性。这是通过流程提供的锚点来实现的，JST 可以在一定程度上偏离这些锚点。两个维度都很重要。锚点是为了确保监管评估的一致性而必要的，但不能考虑机构风险的特殊性，被视为监管评估的起点。监管判断是必要的，以充分评估机构的特定风险配置，但需要随时间和机构之间保持一致。

Constrained judgement in the SREP can be summarised as follows:
SREP 中的受限判断可总结如下：

• anchor points provide a standardised perspective across institutions;
  锚定点为各机构提供了标准化的视角；
• all assessments rely on supervisory judgement;
  所有评估都依赖监管判断；
• judgement is guided by the SREP methodology, and it is possible to depart from anchor points to a certain, pre-defined extent;
  判断受 SREP 方法论指导，并且可以在一定预定义范围内偏离锚定点；
• each step is justified and documented, to ensure accountability.
  每个步骤都经过合理化和记录，以确保问责制。

The constrained judgement should ensure the right balance between:
受限制的判断应确保在以下方面取得正确平衡：

• a common process, ensuring consistency across SSM banks and defining anchor points;
  一个常见的流程，确保 SSM 银行之间的一致性，并定义锚点；
• the necessary supervisory judgement, to take into account the specificities and complexity of an institution.
  必要的监管判断，考虑机构的特殊性和复杂性。

Constrained judgement is used effectively by JSTs in both directions – improving as well as worsening the scores.
受限判断在 JSTs 中被有效地使用，可以改善分数，也可以恶化分数。

3 The overall SREP 3 总体 SREP

3.1 Preparation: information sources
3.1 准备工作：信息来源

The SREP assessment is performed on the basis of a wide range of information sources, including both quantitative and qualitative data. The preparation phase entails intense cooperation between the ECB and national competent authorities, which work together on bank-specific topics within the Joint Supervisory Teams and on the SREP methodological elements within a dedicated technical network. Quantitative data are of particular importance for fostering consistency and comparability.
SREP 评估是基于广泛的信息来源进行的，包括定量和定性数据。准备阶段需要欧洲央行和国家主管当局之间的密切合作，二者在联合监管团队内就银行特定主题展开合作，并在专门的技术网络内就 SREP 方法要素展开合作。定量数据对于促进一致性和可比性尤为重要。

Key sources of quantitative information include (non-exhaustive list):
定量信息的主要来源包括（不限于以下列表）：

• risk indicators based on FINREP and COREP data (available at a consolidated level since mid-2014);
  基于 FINREP 和 COREP 数据的风险指标（自 2014 年中期以来可在合并水平上获得）；
• risk indicators from sources other than FINREP/COREP;
  除 FINREP/COREP 之外的风险指标；
• indicators of economic and market conditions (GDP, sector NPLs, market volatility, etc.);
  经济和市场状况指标（GDP、部门不良贷款率、市场波动率等）；
• other, non-harmonised regulatory data (central credit register, etc.);
  其他，非协调的监管数据（中央信贷登记等）;
• an institution’s internal information (ICAAP, ILAAP, including stress tests, internal reports, etc.);
  机构的内部信息（ICAAP，ILAAP，包括压力测试，内部报告等）；
• financial statements, Pillar 3;
  财务报表，第三支柱；
• peer group indicators; 同行群体指标;
• supervisory stress test results;
  监督性压力测试结果;
• market views (external ratings, investors’ quantitative analyses, etc.).
  市场观点（外部评级、投资者的定量分析等）。

Key sources of qualitative information include (non-exhaustive list):
定性信息的主要来源包括（非详尽列表）：

• relevant documentation, such as policy documents;
  相关文件，如政策文件；
• supervisory findings (inspection reports, meeting reports, etc.);
  监管发现（检查报告、会议报告等）；
• institutions’ internal documents (ICAAP/ILAAP information, such as risk management reports (dashboards, limit reports, etc.), risk appetite, financial statements, management body memos, organisational charts, internal audit reports, whistle-blower reports, etc.);
  机构的内部文件（ICAAP/ILAAP 信息，如风险管理报告（仪表板、限额报告等），风险偏好，财务报表，管理层备忘录，组织结构图，内部审计报告，举报者报告等）；
• reports on the environment in which institutions operate: risk trends, new areas of focus, analysts’ reports, rating agencies’ reports, equity analyst recommendations, news, etc.
  机构运营环境报告：风险趋势、新关注领域、分析师报告、评级机构报告、股票分析师建议、新闻等。

3.2 Evaluation: overview 3.2 评估：概述

The SSM risk assessment system supports the JSTs’ day-to-day supervisory work. It is used for their ongoing analysis of Element 1 (business model), Element 2 (internal governance and risk management), Block 1 of Element 3 (risks to capital) and Block 1 of Element 4 (risks to liquidity and funding).
SSM 风险评估系统支持 JSTs 的日常监管工作。它用于对其对 Element 1（业务模式）、Element 2（内部治理和风险管理）、Element 3 的 Block 1（资本风险）和 Element 4 的 Block 1（流动性和资金风险）的持续分析。

Supervisory assessments of the four elements and the overall SREP are formalised in a rationale and a score. In the rationale, the JST highlights the main factors driving its assessment, key deficiencies, and their possible effects on the institution’s viability, supported by key evidence such as tables and figures.
监管评估的四个要素和整体 SREP 在理由和得分中得到正式确定。在理由中，JST 突出显示其评估的主要驱动因素、关键缺陷及其可能对机构生存能力的影响，同时支持关键证据，如表格和图表。

Scores are mostly used as a means of summarising supervisors’ views and facilitating high-level, cross-sector comparisons and communication, both within the SSM and with the institution itself. They should not be confused with other types of rating, such as those used by rating agencies or institutions to assess a debtor’s ability to pay back its debt or the likelihood of its default.
分数主要用作总结监管者的观点，并促进高层次、跨部门的比较和沟通，既在 SSM 内部，也与机构本身。它们不应与其他类型的评级混淆，例如评级机构或机构用于评估债务人偿还债务能力或违约可能性的评级。

Risk elements are assessed from both a quantitative (risk level)^[11]

and a qualitative (risk control)^[12]

“Considerations in relation to adequate management and controls”, in line with the EBA Guidelines on SREP.

perspective.
风险因素从定量（风险水平） ^[11] 和定性（风险控制） ^[12] 的角度进行评估。

For each perspective, assessments are performed in three complementary phases^[13]

:
对于每个角度，评估分为三个互补阶段 ^[13] ：

These three phases establish a logical sequence to be followed when performing the assessment. In practice, additional information collected during thesupervisory activities needs to be recorded on an ongoing basis. The outcome of Phase 3 may also require the JST to gather additional information in order to refine its assessment.
这三个阶段建立了一个逻辑顺序，用于进行评估时的遵循。在实践中，监管活动期间收集的额外信息需要持续记录。第三阶段的结果可能还需要 JST 收集额外信息以完善其评估。

3.2.1 Considerations in relation to inherent risk: risk level
3.2.1 与固有风险相关的考虑：风险水平

A risk level (RL) assessment refers to the intrinsic riskiness of an institution’s portfolios and takes account of several different aspects: the intrinsic situation and riskiness of the institution, the institution’s position relative to its peers, and macro factors that may influence its risk profile. These aspects are reviewed in the three‑phase process mentioned above.
风险水平（RL）评估是指机构投资组合的固有风险性，并考虑了几个不同方面：机构的固有情况和风险性、机构相对于同行的位置，以及可能影响其风险配置的宏观因素。这些方面在上述的三阶段过程中进行审查。

Phase 1 第一阶段

This information/data gathering phase allows the JST to maintain up-to-date information on an institution’s activities, risks and processes. It is also an initial opportunity to identify the materiality of the risk factors and sub-categories that will be assessed in Phase 3.
这一信息/数据收集阶段使 JST 能够保持对机构活动、风险和流程的最新信息。这也是初步确定将在第 3 阶段评估的风险因素和子类别的重要性的机会。

The “materiality” of an institution’s risks is taken into account for two main reasons: (i) to identify those activities and risks which are critical for an institution’s ability to ensure sound management and coverage of its risks; and (ii) to focus supervisory work and decisions on those activities that entail risks which threaten the institution’s capacity to operate, either in the short term (viability) or in the medium to long term (sustainability), and its ability to cover and manage its risks.
机构风险的“重要性”考虑到两个主要原因：(i) 识别那些对于机构确保风险的健康管理和覆盖至关重要的活动和风险；以及 (ii) 将监管工作和决策集中在那些涉及威胁机构运营能力的风险活动上，无论是短期（可行性）还是中长期（可持续性），以及机构覆盖和管理风险的能力。

A “material risk” is defined as a risk that would have an impact on the “prudential elements” of the institution if it materialised. The materiality of a risk reflects both size and riskiness. Depending on the category, size and riskiness, the materiality is either separable (e.g. in the case of credit and market risk) or inseparable (e.g. in the case of operational risk).
“重大风险”被定义为一种风险，如果实现将对机构的“审慎要素”产生影响。风险的重要性反映了规模和风险性。根据类别、规模和风险性，重要性可以是可分离的（例如信用风险和市场风险的情况）或不可分离的（例如操作风险的情况）。

The materiality of a risk is taken into account at three different levels in the SREP:
风险的实质性在 SREP 中以三个不同的层面被考虑：

1. When assessing the business model and profitability
   在评估商业模式和盈利能力时
   The main activities of the institution are initially reviewed from a holistic point of view in order to identify activities which may threaten the institution’s prudential elements (especially its future profits, its capital adequacy, and its liquidity position).
   机构的主要活动将首先从整体角度进行审查，以确定可能威胁机构审慎要素（特别是其未来利润、资本充足性和流动性位置）的活动。
2. When assessing the risk level of a risk factor category
   在评估风险因素类别的风险水平时
   Phase 1 starts with a more detailed check to determine whether the category could be considered non-material in special cases. Scores assigned at the end of Phase 3 reflect the materiality of a risk.
   第一阶段开始时，进行更详细的检查，以确定在特殊情况下该类别是否可以被视为非重要性。第三阶段结束时分配的分数反映了风险的重要性。
3. When combining risk category scores: the overall SREP score should reflect the institution’s ability to bear and manage its risks (especially the material ones)
   在结合风险类别得分时：整体 SREP 得分应反映机构承担和管理风险的能力（特别是重要的风险）
   The data gathering phase also allows the JST to look at an institution relative to its peers. SSM institutions are classified by business model to allow further comparisons. JSTs can also complement their analysis by referring to other peer groups that they deem relevant.
   数据收集阶段还允许 JST 相对于同行机构进行比较。SSM 机构按业务模式分类，以便进行进一步比较。JST 还可以通过参考其他他们认为相关的同行群体来补充他们的分析。

Phase 2 第二阶段

This automated anchoring phase involves an intrinsic assessment based on a number of pre-defined indicators/criteria that are applied to all institutions in a systematic and comparable way. The objective is to systematically review the situation at an institution against a selection of identical quantitative indicators that European banking supervisors deem relevant, so as to foster consistency of assessment within the system.
这一自动锚定阶段涉及基于一系列预定义指标/标准的内在评估，这些指标/标准以系统化和可比较的方式应用于所有机构。其目标是根据欧洲银行监管机构认为相关的一组相同定量指标系统地审查机构的情况，以促进系统内评估的一致性。

Each underlying indicator is associated with a score ranging from 1 to 4 corresponding to defined thresholds. For reasons of availability and consistency, indicators are calculated on the basis of regulatory reporting. When choosing the indicators and the corresponding thresholds, a balance had to be struck between accuracy and simplicity so that they could be applied to a very large population of institutions with different business models. The relevance of the indicators, thresholds and aggregation rules is monitored and back-tested ex post on a regular basis and updated as deemed appropriate.
每个基础指标都与从 1 到 4 的分数相关联，对应于定义的阈值。出于可用性和一致性的原因，指标是根据监管报告进行计算的。在选择指标和相应的阈值时，必须在准确性和简单性之间取得平衡，以便它们可以应用于具有不同业务模式的大量机构。指标、阈值和聚合规则的相关性定期进行事后监测和回测，并根据需要进行更新。

In all cases, data quality is key for institutions to be able to properly manage their risks and for supervisors to be able to reliably assess institutions.
在所有情况下，数据质量对于机构能够有效管理风险以及监管机构能够可靠评估机构至关重要。

Phase 3 第三阶段

This main assessment phase reviews a broad range of quantitative and qualitative information coming from a wide range of sources to provide a more accurate picture of an institution from a quantitative perspective, and to shed light on its relative position vis-à-vis its peers and the environment in which it operates. This complements the limitations of the standardised assessment performed in Phase 2. Results are expressed by means of a rationale summarising the assessment and a score.
这个主要评估阶段审查来自各种来源的广泛定量和定性信息，以从定量角度提供一个更准确的机构画面，并阐明其相对于同行及其运营环境的位置。这补充了第 2 阶段进行的标准评估的局限性。结果通过总结评估和得分的理由来表达。

The JSTs then adjust the Phase 2 risk level score on the basis of this Phase 3 intermediate score, following the constrained judgement approach.
JSTs 根据这个第 3 阶段中间得分，遵循受限判断方法，调整第 2 阶段风险水平得分。

Common scores for the assessment of the risk level
评估风险水平的常见评分

1 = “Low”: There is no discernible risk of significant impact on the prudential elements of the group or its entities, given the inherent risk level.
1 = “低”：鉴于固有风险水平，对集团或其实体的审慎要素没有明显影响风险。

2 = “Medium-low”: There is a low risk of significant impact on the prudential elements of the group or its entities, given the inherent risk level.
2 = “中低”：鉴于固有风险水平，对集团或其实体的审慎要素产生重大影响的风险较低。

3 = “Medium-high”: There is a medium risk of significant impact on the prudential elements of the group or its entities, given the inherent risk level.
3 = “中高风险”：鉴于固有风险水平，对集团或其实体的审慎要素可能会产生中等风险的重大影响。

4 = “High”: There is a high risk of significant impact on the prudential elements of the group or its entities, given the inherent risk level.
4 = “高”：鉴于固有风险水平，对集团或其实体的审慎要素可能产生重大影响的高风险。

3.2.2 Considerations in relation to adequate management and controls: risk control
3.2.2 关于充分管理和控制的考虑：风险控制

A risk control (RC) assessment refers to the adequacy and appropriateness of (i) an institution’s internal governance/risk management and (ii) the risk management and controls that are in place at the risk factor level. This includes assessing how institutions monitor their risk exposures, identify the measures that need to be taken, and assess the adequacy of their internal policies, organisation and limits.
风险控制（RC）评估是指（i）机构内部治理/风险管理的充分性和适当性以及（ii）风险因素层面上已经建立的风险管理和控制措施。这包括评估机构如何监控其风险敞口，确定需要采取的措施，并评估其内部政策、组织和限额的充分性。

Category-specific risk control arrangements that are assessed need to be consistent with the general internal governance/risk management at the level of the institution.
需要评估的特定类别风险控制安排需要与机构层面的一般内部治理/风险管理保持一致。

Phase 1 第一阶段

The information gathering phase involves assembling relevant data and information on the key features of an institution’s risk control/internal governance environment.
信息收集阶段涉及收集有关机构风险控制/内部治理环境关键特征的相关数据和信息。

Phase 2 第二阶段

This phase checks whether an institution’s internal governance and risk control framework formally complies with the key requirements of the applicable regulation, technical standards and key guidelines issued by the EBA.
本阶段检查机构的内部治理和风险控制框架是否正式符合欧洲银行业监管局发布的适用法规、技术标准和关键指南的主要要求。

For risk controls related to capital and liquidity risks, the focus includes, but is not limited to, four main sub-categories: (i) governance, (ii) risk appetite, (iii) risk management and internal control, and (iv) internal audit.
对于与资本和流动性风险相关的风险控制，重点包括但不限于四个主要子类别：(i)治理，(ii)风险偏好，(iii)风险管理和内部控制，以及(iv)内部审计。

For internal governance, the focus includes, but is not limited to, three main sub‑categories: (i) internal governance, (ii) risk management and risk culture, and (iii) risk infrastructure, data and reporting.
对于内部治理，重点包括但不限于三个主要子类别：(i) 内部治理，(ii) 风险管理和风险文化，以及 (iii) 风险基础设施、数据和报告。

In all cases, data quality is key for institutions to be able to properly manage their risks and for supervisors to be able to reliably assess institutions.
在所有情况下，数据质量对于机构能够有效管理风险以及监管机构能够可靠评估机构至关重要。

Phase 3 第三阶段

In this main assessment phase, the JST assesses how the governance and control framework works in practice. This involves reviewing the adequacy of the governance and control framework in the light of the scale and complexity (business model, organisational structure, etc.) of the institution, and the degree to which the framework is embedded in its operational processes.
在这个主要评估阶段，JST 评估治理和控制框架在实践中的运作情况。这涉及根据机构的规模和复杂性（商业模式、组织结构等）审查治理和控制框架的适当性，以及框架在其运营流程中的融入程度。

The JST performs an in-depth analysis of Phase 2 non-compliance areas, notably by considering questions such as the following:
JST 对第 2 阶段不合规领域进行深入分析，特别是考虑以下问题：

• What are the reasons for non-compliance?
  不遵守规定的原因是什么？
• Is the non-compliance confirmed and does it constitute a breach of regulatory requirements?
  非合规是否已确认并构成违反监管要求？
• Are there mitigating factors?
  有减轻因素吗？
• What could the supervisory response be?
  监管部门可能会做出什么监管响应？

In addition, institutions may formally comply with Phase 2 requirements and still be assigned a high risk score in Phase 3: weaknesses may arise from aspects that were not covered by Phase 2 or, more importantly, control mechanisms may not work properly.
此外，机构可能会正式遵守第二阶段的要求，但在第三阶段仍被分配高风险评分：弱点可能来自第二阶段未涵盖的方面，或者更重要的是，控制机制可能无法正常运作。

The JSTs assess each sub-category, identifying underlying reasons for the score assigned (key strengths and deficiencies, mitigants and other relevant corrective factors). This content is meant to be indicative of the type of assessment required to assign the score.
JSTs 评估每个子类别，确定分配的分数的根本原因（主要优势和不足之处，减轻因素和其他相关的纠正因素）。此内容旨在指示分配分数所需的评估类型。

Although the competence to supervise credit and financial institutions as regards money laundering and the financing of terrorism (AML/CFT) lies with national authorities, and the ECB’s supervisory tasks explicitly exclude AML/CFT supervision, in line with the applicable legal framework^[14]

, the ECB should consistently factor money laundering and financing of terrorism (ML/FT) risks into its relevant supervisory activities, taking into consideration the input of AML/CFT supervisors. In this context, the ECB has developed an approach aimed at identifying and reflecting AML/CFT-related concerns and associated prudential warning signals in its prudential supervision, leveraging the information exchanged with national AML/CFT authorities under the different legal frameworks.^[15]

EBA report on the functioning of AML/CFT colleges (EBA/REP/2020/35). Multilateral agreement between the ECB and numerous AML/CFT national authorities within the EEA on the practical modalities for exchange of information pursuant to Article 57a(2) of Directive EU 2015/849; Guidelines on cooperation and information exchange between prudential supervisors, AML/CFT supervisors and financial intelligence units under Directive 2013/36/EU.

Based on the insights gained in such exchanges, the ECB incorporates prudential concerns in relation to AML/CFT when assessing an institution’s business model (Element 1), internal governance and risk management (Element 2), operational risk (Element 3, Block 1), credit risk (Element 3, Block 1) and risks to liquidity (Element 4).
尽管监督信贷和金融机构有关反洗钱和反恐融资（AML/CFT）的能力属于国家当局，而欧洲央行的监督任务明确排除了 AML/CFT 监督，但根据适用的法律框架，欧洲央行应始终将反洗钱和反恐融资（ML/FT）风险纳入其相关监督活动中，考虑 AML/CFT 监管机构的意见。在这种背景下，欧洲央行制定了一种旨在识别和反映与 AML/CFT 相关的担忧以及其监管警示信号的方法，利用与不同法律框架下国家 AML/CFT 当局交换的信息。根据这些交流获得的见解，欧洲央行在评估机构的业务模式（要素 1）、内部治理和风险管理（要素 2）、操作风险（要素 3，区块 1）、信贷风险（要素 3，区块 1）和流动性风险（要素 4）时，将与 AML/CFT 相关的审慎关切纳入考虑。

Common scores for the assessment of risk control
风险控制评估的常见分数

1 = “Strong control”: There is no discernible risk of significant impact on the prudential elements of the group or its entities, given the quality of management, organisation and controls. The level of risk management and control is high. The risk management and control framework is clearly defined and fully compatible with the nature and complexity of the institution’s activities.
1 = “强有力的控制”：鉴于管理、组织和控制的质量，集团或其实体的审慎要素不会受到明显影响的风险。风险管理和控制水平较高。风险管理和控制框架明确定义，并与机构活动的性质和复杂性完全兼容。

2 = “Adequate control”: There is a low risk of significant impact on the prudential elements of the group or its entities, given the quality of management, organisation and controls. The level of risk management and control is acceptable. The risk management and control framework is adequately defined and sufficiently compatible with the nature and complexity of the institution’s activities.
2 = “充分控制”：鉴于管理质量、组织和控制的水平，对集团或其实体的审慎要素产生重大影响的风险较低。风险管理和控制水平可接受。风险管理和控制框架定义充分，并与机构活动的性质和复杂性足够兼容。

3 = “Weak control”: There is a medium risk of significant impact on the prudential elements of the group or its entities, given the quality of management, organisation and controls. The level of risk management and control is weak and needs improvement. The risks are insufficiently mitigated and controlled, leaving an excessive residual risk. The risk management and control framework is poorly defined or insufficiently compatible with the nature and complexity of the institution’s activities.
3 = “弱控制”：鉴于管理、组织和控制的质量，集团或其实体的审慎要素存在较高风险受到重大影响的中等风险。风险管理和控制水平较弱，需要改进。风险未得到充分减轻和控制，留下了过多的残余风险。风险管理和控制框架定义不清晰或与机构活动的性质和复杂性不兼容。

4 = “Inadequate control”: There is a high risk of significant impact on the prudential elements of the group or its entities, given the quality of management, organisation and controls. The level of risk management and control is very low and needs drastic and/or immediate improvement. The risks are not – or only inadequately – mitigated and are poorly controlled. The risk management and control framework is not defined or is not compatible with the nature and complexity of the institution’s activities.
4 = “控制不足”：鉴于管理、组织和控制的质量，集团或其实体的审慎要素存在重大影响的高风险。风险管理和控制水平非常低，需要急需改进。风险未得到充分或仅得到不充分的缓解，并且受到较差的控制。风险管理和控制框架未被定义，或者与机构活动的性质和复杂性不相容。

A more granular set of risk control scores was introduced for the first time in SREP 2021 for the assessment of internal governance and risk management (Element 2).
在 2021 年 SREP 中，首次引入了更细粒度的风险控制评分，用于评估内部治理和风险管理（要素 2）。

3.2.3 Combining risk level and risk control assessments
3.2.3 结合风险水平和风险控制评估

The assessments of a category’s risk level and risk control are combined to provide a “combined assessment”.
对类别风险水平和风险控制的评估结合在一起，提供“综合评估”。

For each risk category relating to capital and liquidity, risk level and risk control scores are aggregated. Starting from the basis that a risk control score of 2 (“adequate control”) is “neutral”, in which case the combined score is identical to the risk level score, some combinations require the application of supervisory judgement.
对于与资本和流动性相关的每个风险类别，风险水平和风险控制得分被汇总。从风险控制得分为 2（“适当控制”）是“中性”的基础出发，此时综合得分与风险水平得分相同，某些组合需要监管判断的应用。

• If risk control is “strong” (i.e. 1), the JST may choose to assign a combined score that is identical to or better than the risk level score.
  如果风险控制“强”（即 1），JST 可能选择分配一个与风险水平得分相同或更好的综合得分。
• If risk control is “weak” (i.e. 3), the JST may choose to assign a combined score that is identical to or worse than the risk level score.
  如果风险控制“弱”（即 3），JST 可能会选择分配一个与风险水平得分相同或更差的综合得分。
• If risk control is “inadequate” (i.e. 4), the JST may choose to assign a combined score that is worse than the risk level score.
  如果风险控制“不足”（即 4），JST 可能会选择分配一个比风险水平评分更差的综合评分。
• For Element 3 (risks to capital), the assessments of individual risk categories are subsequently combined using a weighted average to produce an overall assessment of capital-related risks.
  对于第 3 要素（资本风险），通过使用加权平均值将各个风险类别的评估结合起来，以产生有关资本风险的整体评估。

3.2.4 The overall assessment
3.2.4 总体评估

Once the four elements have been assessed, supervisors assign an overall SREP score ranging from 1 to 4. In line with the EBA Guidelines on SREP, this overall SREP score represents a supervisory view on the overall viability of the institution based on an aggregate view of the threats to viability.
一旦评估了四个要素，监管机构将分配一个从 1 到 4 的整体 SREP 评分。根据欧洲银行管理局关于 SREP 的指导方针，这个整体 SREP 评分代表了监管机构对机构整体可行性的看法，基于对机构可行性威胁的综合视图。

The overall SREP score should take account of the outcome of the assessments of individual risks: higher scores reflect an increased risk to the viability of the institution stemming from one or more features of its risk profile, including its business model, its internal governance framework, and individual risks to its solvency or liquidity positions.
总体 SREP 评分应考虑对个别风险评估结果的影响：较高的评分反映了机构的可持续性面临的风险增加，这些风险源自其风险配置的一个或多个特征，包括其商业模式、内部治理框架以及对其偿付能力或流动性状况的个别风险。

The JST can then adjust this anchoring overall SREP score by applying constrained judgement based on: (i) the JST’s knowledge of the institution, (ii) peer comparisons, (iii) the macro environment in which the institution operates, (iv) the institution’s capital/liquidity planning to ensure a sound trajectory towards full implementation of the CRR/CRD IV, and (v) the SSM’s risk tolerance. It may want to reflect in the overall SREP score weaknesses identified during the SREP that it considers particularly important for the institution.
JST 可以通过应用受限判断来调整这个锚定的整体 SREP 得分，基于：（i）JST 对机构的了解，（ii）同行比较，（iii）机构所处的宏观环境，（iv）机构的资本/流动性规划以确保朝着完全实施 CRR/CRD IV 的良好轨迹发展，以及（v）SSM 的风险容忍度。它可能希望在整体 SREP 得分中反映在 SREP 期间发现的对机构特别重要的弱点。

The aim is to provide a holistic assessment of an institution’s risk profile and, if need be, determine the most appropriate supervisory measures: own funds requirements, liquidity requirements, or other qualitative supervisory measures. As regards additional own funds requirements, the holistic approach is expanded on by taking a closer look at institutions’ individual risk drivers.
旨在全面评估机构的风险概况，并在必要时确定最适当的监管措施：自有资金要求、流动性要求或其他定性监管措施。就额外的自有资金要求而言，通过更详细地审视机构的个别风险驱动因素来扩展全面方法。

3.3 Decision: SREP decisions and their communication
3.3 决策：SREP 决策及其沟通

3.3.1 SREP decision 3.3.1 SREP 决定

The SREP decision is taken under Article 16 of the SSM Regulation and is issued following a hearing (see Article 22(1) and Article 31 of the SSM Framework Regulation). It must be duly reasoned (see Article 22(2) of the SSM Regulation and Article 33 of the SSM Framework Regulation).
SREP 决定是根据 SSM 条例第 16 条作出的，并在听证会后发布（请参阅 SSM 框架条例第 22(1)条和第 31 条）。必须有充分理由（请参阅 SSM 条例第 22(2)条和 SSM 框架条例第 33 条）。

SREP decisions are adopted by the Governing Council via the non-objection procedure on the basis of complete draft decisions proposed by the Supervisory Board and may include the following:
SREP 决定是由理事会通过非反对程序采纳的，基于监事会提出的完整草案决定，可能包括以下内容：

Own funds requirements 自有资金要求

• Total SREP capital requirement composed of Pillar 1 minimum own funds requirements (8%) and additional own funds requirements (Pillar 2 requirements – P2R)
  SREP 总资本要求由支柱 1 最低资本要求（8%）和额外资本要求（支柱 2 要求 - P2R）组成
• Combined buffer requirements
  综合缓冲要求

Institution-specific quantitative liquidity requirements
机构特定的定量流动性要求

• LCR higher than the regulatory minimum
  LCR 高于监管最低要求
• Higher survival periods 更长的存活期
• National measures 国家措施

Other qualitative supervisory measures
其他定性监管措施

• Additional supervisory measures stemming from Article 16(2) of the SSM Regulation (such as the restriction or limitation of business, a requirement to reduce risks, restrictions on or prior approval for the distribution of dividends, and the imposition of additional or more frequent reporting obligations)
  根据 SSM 条例第 16(2)条的额外监管措施（例如限制或限制业务、要求减少风险、对股息分配进行限制或事先批准，以及加强额外或更频繁的报告义务）
• Pillar 2 guidance expressed as a CET1 ratio add-on
  支柱 2 指导表达为 CET1 比率附加项

3.3.2 Capital requirements
3.3.2 资本要求

If a SREP assessment shows that the arrangements, strategies, processes and mechanisms implemented by the credit institution and the own funds held by it do not ensure sound management and coverage of risks, the ECB may impose a Pillar 2 requirement (P2R) and Pillar 2 guidance (P2G). The ECB sets P2G above the level of binding capital requirements (minimum and additional) and on top of the combined buffers. If a bank does not comply with its P2G, this will not result in automatic action by the supervisor and will not trigger any limitations on the distributable amount. However, the ECB will closely monitor institutions that do not comply with P2G and will consider whether – and, if so, which – measures are to be taken to address the specific circumstances at the bank. 

Banks also need to consider the systemic buffers (G-SII, O-SII and systemic risk buffers) and the countercyclical buffer in the capital stack. 

In order to assess the final measures to be taken, the Supervisory Board will assess every instance of a bank not complying with its P2G and may take appropriate bank‑specific action as deemed necessary.
为了评估最终采取的措施，监事会将评估每一家银行未遵守其 P2G 的情况，并可能采取视为必要的适当银行特定行动。

As part of the Pillar 2 framework, qualitative outcomes of the stress test are taken into account in the determination of the P2R, especially for the risk governance element.
作为支柱 2 框架的一部分，压力测试的定性结果在确定 P2R 时被考虑，特别是风险治理要素。

ECB Banking Supervision has refined its approach to setting the P2R to reflect the new elements covered in CRD V^[16]

and the EBA Guidelines on SREP. As a result, the holistic approach used to determine the P2R has been expanded by looking more closely at institutions’ individual risk drivers, which should be addressed through additional capital requirements. In this regard, the ICAAP assessment and supervisory benchmarking constitute key steps for determining the P2R.
欧洲央行银行监管已经调整了设置 P2R 的方法，以反映 CRD V ^[16] 中涵盖的新要素以及关于 SREP 的 EBA 指导方针。因此，确定 P2R 所采用的整体方法已经扩展，更加关注机构的个体风险驱动因素，这些因素应通过额外的资本要求加以解决。在这方面，ICAAP 评估和监管基准构成确定 P2R 的关键步骤。

Details on How the Pillar 2 requirement is set
有关第二支柱要求设定的详细信息

As regards the determination of P2G, ECB Banking Supervision has, in line with recent guidance from the EBA, introduced a new methodology which allows a better understanding of the use of stress test results within the SREP and removes previously applied P2G floors. This methodology applies a bucketing framework consisting of a two-step approach. The first step allocates banks to P2G buckets on the basis of their maximum CET1 capital depletion in the stress test. The second step then allows supervisors to incorporate bank-specific criteria/information. The inclusion of bank-specific information results in the final P2G, in most cases within the ranges of the bucket and exceptionally outside them.
就确定 P2G 而言，欧洲央行银行监管部门已根据欧洲银行管理局最新指导引入了一种新方法，该方法允许更好地理解压力测试结果在 SREP 中的使用，并取消了先前应用的 P2G 底线。该方法采用了一个由两个步骤组成的分桶框架。第一步根据银行在压力测试中的最大核心一级资本耗尽来将银行分配到 P2G 桶中。然后第二步允许监管机构纳入银行特定的标准/信息。纳入银行特定信息会导致最终的 P2G，在大多数情况下在桶的范围内，极少数情况下在桶范围之外。

Supervisors may, for example, consider the following sources of information when setting P2G as part of a holistic approach:
监管机构在制定 P2G 作为整体方法的一部分时，例如可以考虑以下信息来源：

• The starting point when setting P2G is, in general, the depletion of capital in the hypothetical adverse scenario (quantitative outcome).
  设定 P2G 的起点通常是在假设的不利情景（定量结果）中资本耗尽。
• JSTs take into account the specific risk profile of the individual institution and its sensitivity to the stress scenarios.
  JSTs 考虑了个体机构的特定风险配置以及其对压力情景的敏感性。
• Interim changes in the bank’s risk profile since the cut-off date for the stress test and measures implemented by the bank to mitigate risk sensitivities (such as relevant asset sales) are also considered.
  银行自压力测试截止日期以来风险配置的临时变化以及银行为减轻风险敏感性而实施的措施（如相关资产出售）也会被考虑。

Details on Leverage ratio Pillar 2 guidance
关于杠杆比率第二支柱指导的详细信息

3.3.3 Supervisory dialogue
3.3.3 监管对话

The core objective of the SREP supervisory dialogue is for the JST to communicate the draft outcomes of the SREP assessment to the institution, explaining the quantitative and qualitative outcomes and expectations that will be included in the SREP decision.
SREP 监管对话的核心目标是让 JST 向机构传达 SREP 评估的初步结果，解释将包括在 SREP 决定中的定量和定性结果以及预期。

As a key element of the supervisory dialogue, it is recommended that JSTs organise a number of meetings – either physical meetings or conference calls – with the management body of the institution to present the conclusions of the SREP and the measures set out in the draft SREP decision. This allows the institution to understand how it has been assessed and the areas where it needs to improve. The intended effect of this dialogue is to foster robust communication and to give the institution the opportunity to ask questions and address any uncertainties.
作为监管对话的关键要素，建议 JST 组织一系列会议 - 无论是面对面会议还是电话会议 - 与机构的管理机构会面，介绍 SREP 的结论和草案 SREP 决定中规定的措施。这使得机构能够了解其评估情况以及需要改进的领域。这种对话的预期效果是促进强有力的沟通，并为机构提供提问和解决任何不确定性的机会。

The adoption of a SREP decision follows the standard ECB decision-making process as laid down in Article 26(8) of the SSM Regulation, i.e. a draft decision by the Supervisory Board is adopted by the Governing Council via the non-objection procedure.
根据《SSM 条例》第 26(8)条规定，SREP 决定的采纳遵循标准的欧洲央行决策程序，即监事会的草案决定通过不反对程序由理事会通过。

SREP decisions must state the reasons on which they are based.^[17]

This enables institutions to identify areas where improvements are needed more urgently and plan effective remedial actions in a timely manner. Moreover, institutions must have an opportunity to be heard before SREP decisions are adopted^[18]

Article 22(1) of the SSM Regulation and Article 31 of the SSM Framework Regulation.

(see the SSM Supervisory Manual).
SREP 决定必须说明其基础理由。 ^[17] 这使得机构能够确定需要更紧急改进的领域，并及时制定有效的补救措施计划。此外，机构在 SREP 决定被采纳之前必须有机会发表意见 ^[18] （请参阅 SSM 监管手册）。

Finally, an operational letter to banks (the “Executive Letter”), which accompanies the SREP decision, has been introduced since SREP 2021. The aim of this letter is to increase focus and transparency regarding the key supervisory concerns and the main risk drivers to be addressed by the P2R.
最后，自 SREP 2021 以来，一封致银行的运营信函（“执行信函”）已经被引入。该信函的目的是增加对主要监管关注点和主要风险驱动因素的关注和透明度，这些问题需要 P2R 解决。

4 Element 1: Business model
第 4 要素：商业模式

The assessment of an institution’s business model is split into two parts: (i) business model viability, and (ii) business model sustainability.
机构业务模式的评估分为两个部分：(i) 业务模式的可行性，和 (ii) 业务模式的可持续性。

An institution’s business can be impaired – and, accordingly, its ability to generate profits and growth can be adversely affected – not because of a particular risk but owing to the sheer nature of the institution’s business model. The risk of such scenarios occurring is called “business model risk”. This outcome may stem from factors within the institution (e.g. inefficient design or pricing of key products, inadequate targets, reliance on an unrealistic strategy, excessive concentration of risk, poor funding and capital structures, or insufficient execution capabilities), but it may well also result from external factors (e.g. a challenging economic environment or a changed competitive landscape).
机构的业务可能会受损，因此其盈利能力和增长能力可能会受到不利影响，不是因为特定风险，而是由于机构业务模式的本质。发生这种情况的风险被称为“业务模式风险”。这种结果可能源自机构内部因素（例如关键产品设计或定价不合理、目标不足、依赖不切实际的战略、风险过度集中、资金和资本结构不佳或执行能力不足），但也可能源自外部因素（例如具有挑战性的经济环境或竞争格局的变化）。

Business model viability is the ability to generate acceptable returns from a supervisory perspective over the next 12 months. Business model sustainability is a more forward-looking concept that refers to an institution’s ability to generate acceptable returns over an entire cycle.
商业模式的可行性是从监管角度在接下来的 12 个月内产生可接受回报的能力。商业模式的可持续性是一个更具前瞻性的概念，指的是一个机构在整个周期内产生可接受回报的能力。

The business model assessment (BMA) is aimed at creating a sound understanding of the functioning of the institution. It provides insights into the key vulnerabilities of an institution on a forward-looking basis. The identification of key vulnerabilities is likely to help identify specific risks to solvency and liquidity that are material to the institution and should, therefore, support the assessment of other SREP elements.
业务模式评估（BMA）旨在对机构的运作方式进行深入了解。它提供了对机构前瞻性关键脆弱性的洞察。确定关键脆弱性有助于识别对机构资本充足性和流动性构成实质性风险的特定风险，因此应支持其他 SREP 要素的评估。

In conducting a BMA, the JST needs to:
在进行 BMA 时，JST 需要：

• identify the materiality of business areas (geographical locations, subsidiaries/branches and business lines/products – or divisions if business line profitability and forecasts are not readily available);
  确定业务领域的重要性（地理位置、子公司/分支机构和业务线/产品 - 或者如果业务线的盈利能力和预测不容易获得，则为部门）
• assess the viability of the institution’s business lines, also compared with its competitors;
  评估机构业务线的可行性，同时与竞争对手进行比较；
• assess the sustainability of those business lines over an entire economic cycle.
  评估这些业务线在整个经济周期内的可持续性。

The business model assessment is performed in three phases:
业务模型评估分为三个阶段进行：

Business model risk is only assessed from a quantitative (risk level) perspective. Phase 1 serves to identify the institution’s business model and the materiality of its business areas (geographical locations, subsidiaries/branches, business lines/products or divisions, depending on the information available). Information is gathered to provide an up-to-date picture of the institution’s major business areas. Furthermore, institutions are assigned to peer groups.
业务模型风险仅从定量（风险水平）的角度进行评估。第一阶段旨在确定机构的业务模型以及其业务领域的重要性（地理位置、子公司/分支机构、业务线/产品或部门，取决于可用信息）。收集信息以提供机构主要业务领域的最新画面。此外，机构被分配到同行群组。

Phase 2 assigns the institution an automated score based on profitability indicators. The objective is to assess whether the institution can achieve adequate returns.
第二阶段根据盈利指标为机构分配自动化评分。目标是评估机构是否能够实现足够的回报。

Phase 3 analyses the viability and sustainability of the institution’s business model over the medium term and over the cycle. Instead of focusing purely on past profitability, other indicators are used to better reveal the vulnerabilities of different business models. The objective is to assess, for instance, what could happen to the profitability of the business area in an economic downturn, what the counterbalancing measures could be and whether there is an appropriate balance between the business strategy and the risk appetite. This phase results in an overall assessment of the institution’s business model risk that can lead to the Phase 2 score being adjusted in line with the constrained judgement rules.
第三阶段分析机构的商业模式在中期和周期内的可行性和可持续性。与其仅关注过去的盈利能力，我们使用其他指标来更好地揭示不同商业模式的脆弱性。目标是评估例如，在经济衰退中业务领域的盈利能力可能会发生什么变化，可以采取哪些抵消措施，以及业务战略与风险偏好之间是否存在适当的平衡。这一阶段将导致对机构商业模式风险的整体评估，从而可能根据受限判断规则调整第二阶段的评分。

As the economic and regulatory environment keeps evolving, the SREP business model assessment methodology is updated regularly, for example to reflect challenges posed by climate risks and digitalisation to the sustainability of institutions’ business model.
随着经济和监管环境不断发展演变，SREP 业务模式评估方法定期更新，例如反映气候风险和数字化对机构业务模式可持续性所带来的挑战。

Details on the Business model Assessment SREP Methodology
业务模型评估 SREP 方法论的详细信息

5 Element 2: Internal governance and risk management
5 要素 2：内部治理和风险管理

This section analyses risk management and internal governance at a group-wide level. It serves as an overall review of the institution’s operational and organisational structure, the overall risk control and risk management framework and the technical architecture supporting the risk management framework and practices. The assessment covers three main aspects:
本节分析了集团范围内的风险管理和内部治理。它作为机构运营和组织结构、整体风险控制和风险管理框架以及支持风险管理框架和实践的技术架构的总体审查。评估涵盖了三个主要方面：

• the institution’s internal governance framework (including its organisational structure, management body, risk management and compliance functions, and internal audit function);
  机构的内部治理框架（包括其组织结构、管理机构、风险管理和合规职能以及内部审计职能）;
• its risk appetite framework and risk culture, including remuneration policies;
  其风险偏好框架和风险文化，包括薪酬政策；
• its risk infrastructure, data aggregation and reporting.
  其风险基础设施、数据汇总和报告。

This element adopts a broad perspective with a view to assessing an institution’s overall organisational competence and capacity. This does not include a detailed assessment of the controls for specific risks to capital, liquidity and funding for each specific risk category. The risk control framework at the risk category level is expected to be consistent with the firm-wide governance and risk management control framework.
该要素采用广泛的视角，旨在评估机构的整体组织能力和能力。这不包括对特定风险的资本、流动性和资金控制的详细评估，也不包括对每个特定风险类别的控制。风险类别级别的风险控制框架应与公司范围的治理和风险管理控制框架保持一致。

Details on the Internal Governance and Risk Management SREP Methodology
内部治理和风险管理 SREP 方法论的详细信息

6 Element 3: Risks to capital
第 6 要素：资本风险

The JST’s determination of the capital needed by the institution to cover its capital‑related risks relies on three “building blocks”. This makes it possible to analyse the institution’s capital position from three different and complementary angles. The assessment of each block is broken down into precise steps, which allows the JST to exercise judgement based on its knowledge of the institution.
JST 对机构所需资本以覆盖与资本相关风险有关的决定依赖于三个“基石”。这使得可以从三个不同且互补的角度分析机构的资本状况。对每个基石的评估被细分为精确的步骤，这使得 JST 能够基于对机构的了解行使判断。

6.1 Block 1: Assessment of risks to capital
6.1 区块 1：资本风险评估

In Block 1, an assessment of the risk levels and risk controls is carried out by the JST for the four capital-related risks: credit risk, market risk, operational risk, and interest rate risk in the banking book. For each of these risks, risk levels and risk controls are assessed in three complementary phases: (i) a data/information gathering phase (Phase 1); (ii) a scoring phase (Phase 2) based on pre-defined indicators (risk level) or compliance checks (risk controls); and (iii) a supervisory assessment phase (Phase 3). Scores calculated in Phase 2 can be adjusted by the JST in Phase 3 to a certain extent in line with the principle of constrained judgement. Phase 3 assessments must be justified and documented and are subject to horizontal consistency checks. 

For each risk category, the risk level and risk control assessments performed in Phase 3 are combined to achieve a combined rationale and a combined score. Then the assessments of individual risk categories are combined to form an overall assessment of the capital‑related risks.
对于每个风险类别，阶段 3 中进行的风险水平和风险控制评估被结合起来，以实现综合的理性和综合得分。然后将各个风险类别的评估结合起来，形成与资本相关风险的整体评估。

6.1.1 Block 1: Credit risk
6.1.1 区块 1：信用风险

Credit risk is defined as the possibility that an institution could suffer losses stemming from an obligor’s failure to repay a loan or otherwise meet a contractual obligation in accordance with agreed terms.
信用风险被定义为机构可能因债务人未能按约定条款偿还贷款或未能履行合同义务而遭受损失的可能性。

For most institutions, loans are the largest and most obvious source of credit risk. However, credit risk may also arise from other activities, whether booked in the banking book or the trading book, on or off-balance-sheet. For instance, institutions face credit risk or counterparty risk through various financial instruments, including acceptances, interbank transactions, trade financing, foreign exchange transactions, forward contracts, swaps, bonds, equities, options, the extension of commitments and guarantees, and the settlement of transactions.
对于大多数机构而言，贷款是信用风险最大、最明显的来源。然而，信用风险也可能来自其他活动，无论是在银行账簿还是交易账簿上，或者是在资产负债表内外。例如，机构可能通过各种金融工具面临信用风险或交易对手风险，包括承兑、同业交易、贸易融资、外汇交易、远期合约、利率互换、债券、股票、期权、承诺和担保的扩展，以及交易结算。

The aspects that typically need to be considered when reviewing an institution’s credit risk are as follows:
通常在审查机构信用风险时需要考虑的方面如下：

• the size of credit exposures/activities;
  信贷敞口/活动规模;
• the nature and composition of the credit portfolio, including its concentration;
  信贷组合的性质和构成，包括其集中度；
• the evolution of the credit portfolio;
  信贷组合的演变；
• the quality of the credit portfolio;
  信贷组合的质量;
• the credit risk parameters, including internal ratings-based ones (e.g. probability of default, loss given default and credit conversion factors) and other internally estimated parameters;
  信用风险参数，包括基于内部评级的参数（例如违约概率、违约损失和信用转换因子）以及其他内部估计的参数；
• credit risk mitigants and coverage.
  信用风险缓解措施和覆盖范围。

Details on the Credit risk SREP methodology
信用风险 SREP 方法论的详细信息

6.1.2 Block 1: Market risk
6.1.2 区块 1：市场风险

Market risk is defined as the risk of losses in on and off-balance-sheet positions arising from movements in market prices or from inaccurate determination of their fair value on the balance sheet with an impact on profits and losses or on the capital position of the institution. It covers the risk arising from:
市场风险被定义为由于市场价格波动或资产负债表上其公允价值不准确确定而导致的损失风险，对机构的利润和损失或资本状况产生影响。它涵盖了以下风险：

• risk factors underlying the instruments held: interest rate risk (excluding positions in the banking book), equity risk, credit spread risk, foreign exchange risk (including the gold position) and commodity risk (including precious metal positions); 
• features of the positions taken: valuation risk related to complex and illiquid positions, non-linear risk and gap risk; 
• the relationship with the counterparty to the transactions: credit valuation adjustment (CVA) risk and other valuation adjustments (xVA) risk; 
• risk management practices of the institution: hedging strategies, basis risk and concentration risk. 

Details on the Market risk SREP methodology 

6.1.3 Block 1: Interest rate risk in the banking book 

Interest rate risk is an institution’s exposure to unfavourable movements in interest rates. IRRBB includes the interest rate risk that arises from potential changes in interest rates that adversely affect an institution’s non-trading activities. 

The IRRBB assessment comprises two complementary analyses: 

• analysis from an economic value perspective, which focuses on how changes in interest rates affect the present value of the expected net cash flows;
  从经济价值的角度进行分析，重点关注利率变化如何影响预期净现金流的现值；
• analysis from an earnings perspective, which focuses on the impact that changes in interest rates have on near-term earnings.
  从收益角度进行分析，重点关注利率变化对近期收益的影响。

Institutions should demonstrate their capacity to identify and assess the different components of IRRBB (i.e. gap risk, basis risk and option risk), which can be defined as follows:
机构应展示他们识别和评估 IRRBB 不同组成部分的能力（即间隙风险、基差风险和期权风险），可以定义如下：

• Gap risk is the risk arising from timing mismatches in the maturity (for fixed rates) and repricing (for floating rates) of assets, liabilities and off-balance-sheet short and long-term positions, or from changes in the slope and the shape of the yield curve.
  间隙风险是由于资产、负债和资产负债表以及长期和短期头寸的到期日（对于固定利率）和再定价（对于浮动利率）之间的时间不匹配，或由于收益率曲线的斜率和形状发生变化而产生的风险。
• Basis risk is the risk that arises when exposures to one interest rate are hedged using exposures to another rate that reprices under slightly different conditions.
  基础风险是指当对一个利率的敞口使用对另一个在稍有不同条件下重新定价的利率的敞口进行对冲时产生的风险。
• Option risk (or optionality) is the risk that arises from options where the institution or its customer can alter the level and timing of cash flows, including embedded options (e.g. consumers redeeming fixed-rate products when market rates change). This optionality can be either automatic (i.e. the holder will almost certainly exercise the option if it is in the holder’s financial interest to do so) or behavioural (i.e. the decision to exercise depends not only on interest rates but also on client behaviour, which is often expected to change as interest rates change).
  期权风险（或期权性）是由期权产生的风险，机构或其客户可以改变现金流的水平和时间，包括嵌入式期权（例如，当市场利率变化时，消费者赎回固定利率产品）。这种期权性可以是自动的（即，如果对持有人有利，持有人几乎肯定会行使期权）或行为的（即，行使决定不仅取决于利率，还取决于客户行为，通常预计随着利率变化而变化）。

6.1.4 Block 1: Operational risk
6.1.4 区块 1：运营风险

Operational risk is defined as the risk of losses resulting from inadequate or failed internal processes, people and systems or from external events.
操作风险被定义为由于内部流程、人员和系统不足或失败，或外部事件导致的损失风险。

This definition includes legal risk, compliance risk, conduct risk, model risk (for models not relating to other SREP risk categories) and information technology (IT or ICT) risk, but excludes strategic and reputational risk. Nevertheless, reputational risk should be assessed together with operational risk given the strong links between the two. Operational risk is broken down into seven event types: 

• internal fraud; 内部欺诈;
• external fraud; 外部欺诈;
• employment practices and workplace safety;
  就业惯例和工作场所安全；
• clients, products and business practices;
  客户、产品和业务实践；
• damage to physical assets;
  对实物资产的损害;
• business disruption and system failures;
  业务中断和系统故障;
• execution, delivery and process management.
  执行、交付和流程管理。

As the economic and regulatory environment keeps evolving, the SREP internal operational risk methodology is updated regularly, for example to reflect the primary drivers of this risk, including, among others, cyber and ICT risks, as well as other risks related to disruptive events hindering the operational resilience of the bank.
随着经济和监管环境不断发展，SREP 内部操作风险方法定期更新，例如反映该风险的主要驱动因素，包括但不限于网络和信息通信技术风险，以及与干扰银行运营弹性相关的其他风险。

6.2 Block 2: Challenging an institution’s internal assessment of its capital needs
6.2 区块 2：挑战机构对其资本需求的内部评估

In Block 2, the JST assesses the institution’s internal processes for managing its capital adequacy (ICAAP). This assessment is performed from both a qualitative and a quantitative perspective. The objective is to assess whether the institution’s ICAAP is sound and proportionate to the nature, scale and complexity of the institution’s activities, checking, for instance: (i) how the institution identifies, measures and aggregates its risks; (ii) how the ICAAP is embedded into its daily management processes, including the role of the management body, as well as the roles of internal control, validation and audit as part of the governance framework for the ICAAP; and (iii) how the forward-looking perspective is considered, e.g. in capital planning. The ICAAP assessment should also inform the internal governance and risk management assessment. In addition, the review of both qualitative and quantitative aspects of the ICAAP plays a significant role in the supervisors’ determination of additional capital requirements.
在第 2 块中，JST 评估机构管理其资本充足性（ICAAP）的内部流程。这种评估是从定性和定量两个角度进行的。其目的是评估机构的 ICAAP 是否健全且与机构活动的性质、规模和复杂性相称，例如检查：（i）机构如何识别、衡量和聚合其风险；（ii）ICAAP 如何融入其日常管理流程中，包括管理机构的角色，以及内部控制、验证和审计作为 ICAAP 治理框架的一部分的角色；以及（iii）如何考虑前瞻性视角，例如在资本规划中。ICAAP 评估还应该为内部治理和风险管理评估提供信息。此外，对 ICAAP 定性和定量方面的审查在监管机构确定额外资本要求方面起着重要作用。

For further details on the ECB’s ICAAP expectations, please refer to the ECB Guide to the internal capital adequacy assessment process (ICAAP), published in November 2018.
有关欧洲央行 ICAAP 期望的更多详细信息，请参阅欧洲央行内部资本充足性评估流程（ICAAP）指南，该指南于 2018 年 11 月发布。

6.3 Block 3: Challenging an institution’s internal estimates of capital under stressed conditions
6.3 区块 3：在压力条件下挑战机构的资本内部估计

In Block 3, the JST assesses the institution’s capacity to cover its capital needs from a forward-looking perspective, assuming stressed economic and financial developments. This is done using a wide range of information sources, including the institution’s internal stressed projections, the SSM’s stressed supervisory calculations, and the outcome of supervisory (bottom-up and/or top-down) stress tests when available.
在第 3 块，JST 从前瞻性的角度评估机构覆盖其资本需求的能力，假设经济和金融发展受到压力。这是通过使用各种信息来源来完成的，包括机构内部的压力预测、SSM 的压力监管计算，以及监管（自下而上和/或自上而下）压力测试的结果（如有）。

Institutions usually rely on a wide range of internal stress tests and sensitivity analyses to determine their capital trajectory and their ability to raise own funds at a certain horizon. This helps them to identify backstop actions that may be warranted at an early stage should adverse scenarios materialise. An institution’s ICAAP risk taxonomy is expected to be the same overall under both normal and stressed conditions, even if additional risks may be identified under stressed conditions that are not relevant under normal conditions.
机构通常依赖广泛的内部压力测试和敏感性分析来确定其资本轨迹以及在某个时段内筹集自有资金的能力。这有助于他们在不利情景出现时及早识别可能需要采取的后备行动。机构的 ICAAP 风险分类预计在正常和压力情况下总体上是相同的，即使在压力情况下可能会识别出在正常情况下不相关的额外风险。

When reviewing these stress tests, the ECB follows the principles and recommendations established by international supervisory bodies in line with the ECB Guide to the internal capital adequacy assessment process (ICAAP).
在审查这些压力测试时，欧洲央行遵循国际监管机构制定的原则和建议，符合欧洲央行内部资本充足性评估流程指南（ICAAP）的要求。

6.4 Risk of excessive leverage
6.4 过度杠杆风险

Basel III introduced the leverage ratio as a non-risk-based backstop to address the risk of excessive leverage (REL). As of June 2021, the fifth Capital Requirements Directive (CRD V) and the second Capital Requirements Regulation (CRR II) impose additional own funds requirements in the form of a Pillar 2 requirement (P2R-LR) to address the REL which is not covered or not sufficiently covered by Pillar 1 requirements.
巴塞尔 III 引入了杠杆比率作为一种非风险基础的后备措施，以应对过度杠杆风险（REL）。截至 2021 年 6 月，第五资本要求指令（CRD V）和第二资本要求条例（CRR II）通过柱 2 要求（P2R-LR）的形式对额外的自有资金要求进行了规定，以应对未被柱 1 要求覆盖或未得到充分覆盖的 REL。

The assessment of REL covers the areas of contingent leverage – the risk of an unexpected increase in leverage ratio exposure, regulatory arbitrage and items excluded from P1R-LR – and is focused on five risk drivers:
REL 的评估涵盖了以下几个领域：潜在杠杆风险 - 杠杆比率敞口意外增加的风险、监管套利和排除于 P1R-LR 之外的项目，并侧重于五个风险驱动因素：

• contingent leverage originating from derivatives and securities financing transactions (SFTs);
  源文本：源自衍生品和证券融资交易（SFTs）的有条件杠杆；
• contingent leverage originating from off-balance-sheet items;
  源自资产负债表外项目的有条件杠杆;
• contingent leverage originating from step-in risk;
  源自干预风险的有条件杠杆;
• window dressing; 摆设窗口;
• institution-specific risks in exposures excluded from P1R-LR.
  从 P1R-LR 中排除的敞口中的特定机构风险。

Each risk driver is assessed only if it is identified as material on the basis of pre-defined indicators.
每个风险驱动因素只有在根据预先定义的指标确定为重要时才会进行评估。

6.5 Capital adequacy assessment
6.5 资本充足性评估

The assessment of an institution’s capital adequacy is a quantitative assessment of its capacity to comply with all of its regulatory capital requirements, guidance and other capital needs. JSTs assess to what extent the capital situation of a bank raises doubts concerning its ability to sustainably follow its business model, considering the normative and the economic perspectives, both in the current situation and over the medium term, under normal and stressed conditions.
机构资本充足性的评估是对其遵守所有监管资本要求、指导和其他资本需求能力的定量评估。JSTs 评估银行的资本状况在规范和经济角度上对其能否持续遵循其商业模式提出疑问的程度，考虑当前情况和中期内在正常和紧张条件下的情况。

The assessment leverages on other SREP assessments, including Block 1 assessments of risks to capital, the Block 2 assessment of the ICAAP and the Block 3 assessment under stressed conditions. For the forward-looking part of the assessment, banks’ capital plans are challenged and adjusted, where needed.
评估利用其他 SREP 评估，包括对资本风险的第一阶段评估、ICAAP 的第二阶段评估以及压力条件下的第三阶段评估。在评估的前瞻部分，必要时对银行的资本计划进行挑战和调整。

7 Element 4: Risks to liquidity
第 7 要素 4：流动性风险

As with capital-related risks, the JST’s assessment of the institution’s ability to cover its liquidity and funding-related risks relies on three “building blocks”. This makes it possible to analyse the institution’s liquidity and funding position from three different and complementary angles. The assessment of each block is broken down into precise steps, which allows the JST to exercise judgement based on its knowledge of the institution.
与资本相关风险一样，JST 对机构覆盖流动性和资金相关风险的能力的评估依赖于三个“基石”。这使得可以从三个不同且互补的角度分析机构的流动性和资金状况。对每个基石的评估被细分为精确的步骤，这使得 JST 可以根据对机构的了解做出判断。

7.1 Block 1: Assessment of risks to liquidity
7.1 区块 1：流动性风险评估

In Block 1, the JST assesses the risk levels and risk controls for short-term liquidity risk and funding sustainability risk in three complementary phases.
在第 1 区块中，JST 在三个互补阶段评估短期流动性风险和资金可持续性风险的风险水平和风险控制。

Liquidity is the ability of an institution to fund increases in assets and meet obligations as they become due, without incurring unacceptable losses. The fundamental role of credit institutions in the maturity transformation of short-term deposits into long-term loans makes them inherently vulnerable to liquidity risk, which (i) is institution-specific in nature and (ii) affects markets as a whole. Effective liquidity risk management helps to ensure that institutions are able to meet cash-flow obligations, which are uncertain as they are affected by external events and the behaviour of other agents.
流动性是机构资金增加和履行到期债务的能力，而不会遭受无法接受的损失。信贷机构在将短期存款转化为长期贷款的到期转换中发挥着基本作用，使其天生容易受到流动性风险的影响，这种风险(i)具有机构特定性质，(ii)影响整个市场。有效的流动性风险管理有助于确保机构能够履行现金流义务，这些义务受外部事件和其他参与者行为的影响而不确定。

Risk level scores for short-term liquidity risk and funding sustainability risk are combined at the end of the process to produce a single score for liquidity risk.
短期流动性风险和资金可持续性风险的风险水平得分在流程结束时合并，以生成流动性风险的单一得分。

A single risk control assessment is performed for short-term liquidity risk and funding sustainability risk and one combined risk control score is assigned.
对短期流动性风险和资金可持续性风险进行单一风险控制评估，并分配一个综合风险控制评分。

The final outcome is summarised in an overall Block 1 liquidity risk rationale and score. This reflects the dynamic nature of short-term liquidity and funding risks, which can materialise very rapidly and therefore need to be assessed at a relatively granular level depending on the overall risk appetite.
最终结果总结在整体区块 1 流动性风险基本原理和评分中。这反映了短期流动性和资金风险的动态性质，这些风险可能非常迅速地显现，因此需要根据整体风险偏好在相对细粒度的水平上进行评估。

7.1.1 Block 1: Short-term liquidity risk
7.1.1 区块 1：短期流动性风险

Short-term liquidity risk is the risk that an institution will be unable to meet its short-term financial obligations when they fall due. Obligations can be payment obligations (i.e. obligations to deliver cash) or obligations to deliver collateral (assets). The risk generally arises when an institution faces outflows that exceed its inflows and is not able to generate enough liquidity with its counterbalancing capacity over a horizon of up to one year. Therefore, potential maturity mismatches in cash and collateral flows across regions, currencies and netting arrangements need to be assessed.
短期流动性风险是指机构在短期财务义务到期时无法满足的风险。义务可以是支付义务（即提供现金的义务）或提供抵押品（资产）的义务。当机构面临超过其流入的流出，并且无法通过其最多一年的对冲能力产生足够的流动性时，通常会出现这种风险。因此，需要评估现金和抵押品流动在地区、货币和净额安排之间的潜在到期日不匹配。

An institution’s short-term liquidity risk is assessed from two different perspectives:
机构的短期流动性风险从两个不同的角度进行评估：

• its cash and collateral needs arising from contractual and behavioural cash payment and collateral delivery obligations;
  由合同和行为现金支付和抵押交付义务产生的现金和抵押品需求；
• its available counterbalancing capacity.
  可用的平衡能力。

Both need to be assessed at the relevant point in time, at a certain horizon, and over the cycle. The forward-looking assessment needs to factor in both normal and stressed economic conditions.
两者都需要在相关时间点、特定视野和整个周期内进行评估。前瞻性评估需要考虑正常和紧张的经济状况。

7.1.2 Block 1: Funding sustainability risk
7.1.2 区块 1：资金可持续性风险

Funding sustainability risk is the risk that an institution is unable to fund its balance sheet in a sustainable way in the medium to long term. This includes the capacity to roll over maturing funding and increase liabilities at any time to cover refinancing needs. Factors such as a poor capital position, an unclear business strategy, a negative rating outlook or a negative perception on the part of investors can restrict access to funding markets and thereby increase the risk.
资金可持续性风险是指机构在中长期内无法以可持续的方式为其资产负债表提供资金的风险。这包括能够滚动到期融资和随时增加负债以满足再融资需求的能力。诸如资本状况不佳、业务战略不明确、评级前景负面或投资者对其持有负面看法等因素可能限制融资市场的准入，从而增加风险。

A balanced funding profile will, to a certain extent, shield an institution from market disruptions. Institutions must therefore strive to maintain the right balance between short-term and long-term, secured and unsecured funding and their different funding sources (in terms of counterparties, instruments, costs, currencies and markets). A weakness in one area (e.g. a high concentration in certain funding segments, excessive maturity mismatches or high levels of asset encumbrance) can exacerbate an already stressed situation in terms of cumulative liquidity and refinancing requirements.
一个平衡的资金配置结构将在一定程度上保护机构免受市场干扰。因此，机构必须努力维持短期和长期、有担保和无担保融资以及不同融资来源（包括交易对手、工具、成本、货币和市场）之间的正确平衡。某一领域的弱点（例如在某些融资领域的高度集中、到期不匹配过多或资产负担水平过高）可能会加剧已经紧张的累积流动性和再融资需求情况。

An institution’s funding sustainability risk is assessed from two different perspectives:
机构的资金可持续性风险从两个不同的角度进行评估：

• its medium to long-term funding needs;
  其中长期融资需求；
• its capacity to raise the necessary funding over time.
  其随时间筹集必要资金的能力。

Both need to be assessed at the relevant point in time, at a certain horizon, and over the cycle. The forward-looking assessment needs to factor in both normal and stressed economic and financial market conditions. 

7.2 Block 2: Challenging an institution’s internal assessment of its liquidity needs 

In Block 2, the JST assesses the institution’s internal processes for identifying and estimating the liquidity needed to cover its own risks (ILAAP). This assessment is performed from both a qualitative and a quantitative perspective. The objective is to assess whether the institution’s ILAAP framework is reliable, checking, for instance: (i) how it identifies its risks; (ii) how the ILAAP is embedded into its daily management processes (e.g. looking at the roles of internal control, validation and audit as part of the governance framework for the ILAAP); and (iii) how the quantification models are constructed, controlled, acted upon, etc. It also has a forward-looking perspective. The ILAAP assessment should inform the assessment of internal governance and risk management. The outcome of the Block 2 assessment should be taken into account when assigning the overall liquidity adequacy score and when considering the imposition of liquidity measures. 

For further details, please refer to the ECB Guide to the internal liquidity adequacy assessment process (ILAAP), published in November 2018.
有关更多详细信息，请参阅 2018 年 11 月发布的欧洲央行内部流动性充足性评估流程(ILAAP)指南。

7.3 Block 3: Challenging an institution’s internal estimates of liquidity under stressed conditions
7.3 区块 3：在压力条件下挑战机构的内部流动性估计

In Block 3, the JST assesses the institution’s capacity to cover its liquidity needs from a forward-looking perspective, assuming stressed economic and financial developments. After finalising the assessment, the JST should consider whether there is a need to impose liquidity measures on the credit institution. SREP measures should reflect weaknesses and vulnerabilities identified in the liquidity risk assessment, which can be either qualitative or quantitative in nature (or both).
在第 3 块，JST 从前瞻性角度评估机构覆盖流动性需求的能力，假设经济和金融发展受到压力。在完成评估后，JST 应考虑是否需要对信贷机构实施流动性措施。SREP 措施应反映在流动性风险评估中确定的弱点和脆弱性，这些弱点和脆弱性可能是定性的、定量的，或两者兼有。

Liquidity stress tests play a key role in the quantitative assessment of institutions’ liquidity needs and their ability to continue their operations through periods of stress. For one thing, liquidity stress tests serve to challenge the internal stress tests that are developed by the institutions themselves. Moreover, when combined with such internal stress tests, they help to identify inherent liquidity and funding risks faced by an institution in a forward-looking manner. The liquidity stress test framework adopts a top-down approach, leveraging the reporting of supervisory data. 

7.4 Liquidity adequacy assessment
7.4 流动性充足性评估

The liquidity adequacy assessment combines the conclusions of Blocks 1, 2 and 3 in a single score. Thus, the JST’s assessment is formalised in a single rationale and score. There is no mechanical rule to follow when assigning the score. Rather, the different characteristics presented in score definitions are to be regarded as typical for the scores they are associated with. JSTs should judge all elements assessed under this category from a holistic perspective and assign the score that, overall, best reflects the liquidity adequacy situation.
流动性充足性评估将区块 1、2 和 3 的结论合并为单一分数。因此，JST 的评估以单一的理由和分数形式呈现。在分配分数时没有机械规则可循。相反，应将分数定义中呈现的不同特征视为与其相关的分数的典型特征。JST 应该从整体角度评估本类别下评估的所有要素，并分配能够全面反映流动性充足情况的分数。

In particular, quantitative measures should be considered when there are material risks that are not covered by the LCR and the institution is not adequately mitigating these risks via its ILAAP.
特别是，当存在未被 LCR 覆盖且机构未通过其 ILAAP 充分减轻这些风险的重大风险时，应考虑定量措施。