ILAAP

The European entity of a Global Bank, requested the preparation of the SREP with the initial ILAAP as well as the ILAAP for the newly integrated Securities business.

What did we do?

• Convert SREP 2024 findings into areas for improvement
• Extensive review of the current Liquidity Stress Testing (‘LST’) Methodology and the DNB feedback on this;
• Documentation of the proposed changes including implementation in LST tooling.
• Drafting of the ILAAP portion of the SREP delivery pack.

Results achieved

• Updated LST methodology and tooling
• Completion of the ILAAP related part of the SREP
• No findings addressed by DNB