Case of NBR

VIII. ILAAP disclosure (1)
• Bank has implemented an ILAAP in accordance with regulatory requirements and guidelines as
set out by the BCBS, the European Commission and the European Banking Authority
• Internal Liquidity Adequacy Assessment Process, summarizing the liquidity and funding risk
management framework, methodologies and processes and provide links to more detailed
information on individual components of the ILAAP
• The governance framework ensures the distinction between liquidity management (first line
of defence) and liquidity risk management, a ‘second line of defence for liquidity risk.
• The organizational structure has to provide the segregation of duties between:
• Liquidity management function, responsibilities on:
– Strategic liquidity management including coordinating the activity of subsidiaries with respect
to management of liquidity, funding needs, FX positions and investments;
– Operational Liquidity Management;
– Crisis Liquidity Management;
– Pricing.
• Liquidity risk management function, responsibilities on:
– Development of methods and models;
– Measurement/ Monitoring/ Reporting;
– Liquidity risk limits proposal.
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