Case of NBR

VII. ILAAP - NBR approach (4)
ILAAP assessment example
Risks, deficiencies and concerns relating to the liquidity and funding risk management and the
ILAAP:
Referring to the monitoring of the LCR and NSFR, certain inconsistencies were
identified as regard the limits applicable to these two indicators, included in different
internal regulations;
Bank has to redefine the thresholds established for the key-indicators used in the risk
appetite framework, in order to reflect in a proper manner the medium risk profile
undertaken 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 in
performing the stress test exercise;
Due to the importance of the early warning indicators in managing the liquidity risk
and in anticipating the crisis, the bank has to revise their calculation and to review the
internal applicable framework;
According to the ‘EBA/GL/2016/10 Guidelines on ICAAP and ILAAP information
collected for SREP purpose’, the bank should make available the ‘reader’s manual’.
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