Case of NBR

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VII. ILAAP - NBR approach (3)ILAAP report content (e.g.)• General principles regarding liquidity risk tolerance and strategy (risk tolerance is set as 30days survival period)• Governance• Assets and liabilities structure• Funding Plan• Funds Transfer Pricing• Identification, calculation, measuring, monitoring, control, reporting and management ofthe liquidity risk• Risk appetite framework (LCR, NSFR, etc.) and liquidity risk limits• Instruments and liquidity risk reports• Stress test• Intraday liquidity management• Liquidity buffer and other liquid assets• Alternative plans• Liquidity position analysis for x year• Liquidity gap• ILAAP assessment42
VII. ILAAP - NBR approach (4)ILAAP assessment exampleRisks, deficiencies and concerns relating to the liquidity and funding risk management and theILAAP:Referring to the monitoring of the LCR and NSFR, certain inconsistencies wereidentified as regard the limits applicable to these two indicators, included in differentinternal regulations;Bank has to redefine the thresholds established for the key-indicators used in the riskappetite framework, in order to reflect in a proper manner the medium risk profileundertaken for the liquidity risk;The Bank did not perform an adequate estimation in relation with the stressed LCR,therefore it has to correct the calculation and to revise the assumptions applied inperforming the stress test exercise;Due to the importance of the early warning indicators in managing the liquidity riskand in anticipating the crisis, the bank has to revise their calculation and to review theinternal applicable framework;According to the ‘EBA/GL/2016/10 Guidelines on ICAAP and ILAAP informationcollected for SREP purpose’, the bank should make available the ‘reader’s manual’.43
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Case of NBR

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