The European Banking Authority (EBA) has published final guidelines on the collection of information related to the internal capital adequacy assessment process (ICAAP) and the internal liquidity adequacy assessment process (ILAAP). These guidelines aim at facilitating a consistent approach to the supervisory assessment of ICAAP and ILAAP framework across the EU as part of the supervisory review and evaluation process (SREP). In particular, these guidelines specify what information regarding ICAAP and ILAAP Member State competent authorities (NCAs) should collect from institutions in order to perform their assessments following the criteria specified in the SREP guidelines.
In particular, NCAs should collect:
- ICAAP and ILAAP general information focusing on background information on internal governance, risk management, stress testing frameworks, business model and strategy;
- ICAAP-specific information covering design and main features of ICAAP methodologies and models, and their outcomes in terms of internal capital estimates, on internal capital and its allocation, capital planning and role of stress testing in ICAAP;
- ILAAP-specific information covering liquidity and funding risk management framework, funding strategy, strategy regarding liquidity buffers and collateral management, cost-benefit allocation mechanism, intraday liquidity risk management, liquidity stress testing and liquidity contingency plan; and
- ICAAP and ILAAP conclusions as well as information on quality assurance.
The guidelines do not introduce any new ICAAP or ILAAP assessment criteria, nor any specific ICAAP/ILAAP report, but identify information items and their core content recognising that such information can be provided either through a single report specifically prepared by an institution for the purposes of ICAAP/ILAAP submissions, or through separate documents that are already available at the bank.
View Final EBA guideline on ICAAP and ILAAP information collected for SERP, 3 November 2016