Case of NBR

VI. ICAAP disclosure (3)
• The RAF is closely linked with the ICAAP and the ILAAP and sets the
concentration risk limits for the risk types identified as significant in the risk
assessment. There is also a connection to the recovery plan as the risk capacity
and risk tolerance limits in the RAF are aligned with the corresponding trigger
monitoring limits
• Economic capital - Risk that unexpected losses from the economic point of
view exceed the internal capital. The unexpected loss for the risk horizon of
one year (economic capital) may not exceed the current value of the tier 1
capital confidence level 99.90 per cent
• Economic capital is calculated as the sum of unexpected losses stemming
from different Group units and different risk categories .In addition, a general buffer
is held to cover other risk types not explicitly quantified.
• The Group uses a confidence level of 99.90 per cent (2018: 99.92 per cent) to
calculate economic capital as at year-end 2019. In compliance with the ICAAP
Directive published by the European Central Bank, the tier 2 capital will no longer
be used to calculate the internal capital as at year-end 2019.
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