Case of NBR

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VIII. ILAAP disclosure (1)• Bank has implemented an ILAAP in accordance with regulatory requirements and guidelines asset out by the BCBS, the European Commission and the European Banking Authority• Internal Liquidity Adequacy Assessment Process, summarizing the liquidity and funding riskmanagement framework, methodologies and processes and provide links to more detailedinformation on individual components of the ILAAP• The governance framework ensures the distinction between liquidity management (first lineof 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 respectto 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.44
VIII. ILAAP disclosure (2)Bank has an appropriate reporting framework for liquidity and funding riskmanagement which includes the scope, manner and frequency of liquidity andfunding risk reporting, and which also designates the entity responsible forpreparing the reportsMonthly liquidity indicator reported to the NBR: Immediate liquidity indicator Liquidity Coverage Ratio Net Stable Funding Ratio Additional Liquidity Monitoring MetricsInternal liquidity indicator: Survival Period Analysis Structural Liquidity Ratio.45
Page 1 and 2: ICAAP and ILAAPNBR approachLucretia
Page 3 and 4: I. General considerations (1)• Th
Page 5 and 6: I. General considerations (3)• Pi
Page 7 and 8: II. ICAAP and ILAAP under SREP (2)7
Page 15 and 16: II. ICAAP and ILAAP under SREP (10)
Page 17 and 18: III. Legal basis for ICAAP, ILAAP a
Page 25 and 26: IV. ICAAP- NBR approach (1)‣ ICAA
Page 27 and 28: IV. ICAAP- NBR approach (3)‣ NBR
Page 29 and 30: IV. ICAAP- NBR approach (5)Risk typ
Page 31 and 32: IV. ICAAP - NBR approach (7)Memoran
Page 33 and 34: V. ICAAP- questionnaire (2)Informat
Page 35 and 36: V. ICAAP - questionnaire (4)Informa
Page 37 and 38: VI. ICAAP disclosure (2)• The eco
Page 39 and 40: VI. ICAAP disclosure (4)• Economi
Page 41 and 42: VII. ILAAP - NBR approach (2)• Du
Page 43: VII. ILAAP - NBR approach (4)ILAAP
Page 47: VIII. ILAAP disclosure (4)• The c

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