Coming soon
ICAAP Model Excel Template
ICAAP capital adequacy model for UK and EU banks. Pillar 2 capital, stress testing, MDA buffer, SREP-aligned output. Built by practitioners.
Who it's for
Bank Capital Planning teams, CFOs and Finance Directors at UK and EU banks subject to PRA SREP or ECB SSM. Consultancies supporting bank ICAAP submissions.
What's in the model
COVER
Model documentation, scenario active, version control.
INPUTS
Capital base, credit RWA assumptions, market RWA, op risk RWA, stress test parameters, P2A loadings.
CAPITAL_BASE
CET1, AT1, T2 build with deductions: goodwill, intangibles, DTA, significant investments.
CREDIT_RWA
Credit RWA by exposure class. Standardised approach with optional IRB add-on.
MARKET_RWA
Market risk capital charge: VaR-based or sensitivities-based.
OP_RWA
Op risk RWA under SMA (Standardised Measurement Approach), Basel IV-aligned.
STRESS
Three-year capital plan under base, adverse, severely adverse scenarios with PRA buffer logic.
PILLAR2
P2A from SREP letter. P2B (PRA buffer) under stress. Combined buffer requirement.
CAPITAL_RATIOS
CET1, T1, Total ratios projected. MDA distribution restriction trigger.
OUTPUTS
Executive summary, capital adequacy table, board-pack format. PRA SREP submission-ready.
CHECKS
Capital reconciliation, RWA tie-out, scenario hand-off correct.
What makes this different
PRA SREP submission alignment
Output tab maps to PRA SREP table format. Saves weeks at submission time vs reformatting.
Combined buffer logic
P1 + P2A + P2B (PRA) + Conservation + Countercyclical + Systemic combined into one MDA threshold.
Three-year capital plan
Projects capital ratios across the planning horizon under base + stress.
Stress test integrated
Same engine handles capital adequacy and stress testing — not two separate models.
UK + EU coverage
Works for both PRA-supervised UK banks and ECB SSM-supervised EU banks. Buffer logic is jurisdiction-aware.
Get notified when this launches
Excel (.xlsx) · ~14 tabs · PRA + ECB SSM aligned · expected pricing £1,295 · Q3 2026 launch target
No spam. One email when it ships. Or contact us at sfsmodels362@gmail.com for a custom early build.
Frequently asked questions
When will this be available?
We're targeting Q3 2026 release. Sign up for notification and we'll email you the moment it ships.
Will it cover ILAAP too?
ILAAP (Internal Liquidity Adequacy Assessment Process) is a separate model on a parallel track. Sign up here to get notified for both when ready.
Is there a US equivalent?
Yes — our Bank Stress Test Model covers CCAR / DFAST for US BHCs (live now).
Can I commission an early build?
Yes — we do custom builds for institutions that need it sooner. Pricing varies by scope. Use the form below or contact us directly.
Related models (live now)
About SFS Models
SFS Models builds institutional-grade Excel financial models for banking and finance professionals. Used by FP&A, Treasury, ALM and Capital teams at US and UK regional banks, by PE firms, and by corporate finance consultancies. Open formulas, no VBA, fully auditable.