Case of NBR

IV. ICAAP – NBR approach (7)
Memoranda items
SREP elements
Pillar 1 capital requirements,
where applicable
(in mln EUR)
ICAAP estimate
(in mln EUR)
Overall SREP capital requirement/estimate
(including supervisory proxy, where applicable)
(in mln EUR)
A. Business Model (viability and sustainability) NA NA
B. Internal governance arrangements NA
C. Risks to solvency (risks and controls)
C.1 Credit and counterparty risk 50.0 45.0 50.0
C.2 Settlement / Delivery risk NA NA NA
C.3 Inter-concentration risk NA NA
C.4 Market risk 0.0 1.0 1.0
C.5 IRRBB 2.0 2.0
C.6 Operational risk 9.0 7.0 9.0
C.7 Risk of excessive leverage 0.0 0.0
C.8 Other risks material to the institution, as applicable (FX lending risk) 1.2 4.0
C.9 Other risks material to the institution, as applicable (legal risk) 1.3 1.3
C.10 Other risks material to the institution, as applicable (strategic risc) 0.0 3.6
C.11 Other risks material to the institution, as applicable (credit concentration risk) 1.0 1.4
D.
Risks to liquidity
-Funding risk (cost of funding perspective)
0.0 0.0
E. Systemic risk (risk that institution poses to financial system) NA NA
F. Inter-risk diversification effects NA NA
G. Capital planning / stress test buffer (where applicable) 14.0 14.0
SREP capital outcome
Overall capital requirement/estimate 59.0 72.5 86.3
H.
Capital adequacy assessment (capital is assessed as adequate/inadequate)
Adequate
Additional own funds requirement 11.70%
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