ILAAP Report Template (CRD Art. 86, LCR, NSFR, Survival Horizon)

ILAAP Report: [Institution name] [Reference date, e.g. 2026-12-31]

Internal Liquidity Adequacy Assessment Process (ILAAP) report for a credit institution: the liquidity adequacy statement, liquidity risk appetite, funding profile and plan, liquidity risk drivers, the regulatory LCR and NSFR and internal metrics, liquidity stress testing and survival horizon, the liquidity buffer and counterbalancing capacity, funds transfer pricing, the link to the contingency funding plan, data and validation, and the board sign-off. Based on Directive 2013/36/EU (CRD) Article 86, Regulation (EU) No 575/2013 (CRR) Part Six (Articles 412 and 413, and Articles 428a onwards for the net stable funding ratio), Commission Delegated Regulation (EU) 2015/61 (LCR), the ECB Guide to the ILAAP (November 2018), EBA Guidelines on ICAAP and ILAAP information collected for SREP purposes (EBA/GL/2016/10) and the revised EBA SREP Guidelines (EBA/GL/2026/06, applying from 2027-01-01). Requirements are referenced by article and guideline number; obtain the regulation, directive or guideline for the normative text and check the consolidated text. Replace every [bracketed] value and every row marked Example. This is a document format, not financial, investment, legal, regulatory or accounting advice.

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Contents

1. Liquidity adequacy statement and summary
2. Liquidity risk appetite
3. Funding profile and funding plan
4. Liquidity risk drivers
5. Regulatory metrics: LCR and NSFR
6. Liquidity stress testing and survival horizon
7. Liquidity buffer and counterbalancing capacity
8. Funds transfer pricing
9. Link to the contingency funding plan and recovery plan
10. Governance, data and validation
11. Regulatory map and jurisdiction notes
12. Glossary and references
13. Standard and licence note

1. Liquidity adequacy statement and summary

1.1 Liquidity adequacy statement

Example: The management body of Fernhollow Bank concludes that the bank's liquidity and funding position at 2026-12-31 is adequate for its business model and risk profile. The liquidity coverage ratio is 149.0% and the net stable funding ratio is 120.0%, both above the internal minima of 120% and 110%. Under the internal combined stress scenario the counterbalancing capacity of EUR 8,500 million covers cumulative net outflows for about 80 days, above the risk appetite minimum of 60 days; under the idiosyncratic and market-wide scenarios no shortfall arises within their 120-day horizon. The funding plan for 2027 to 2029 relies on deposit growth and the refinancing of EUR 1,500 million of senior bonds maturing in 2028, which the bank has met in the market in each of the last five years.

The management body notes two vulnerabilities and decisions: rate-sensitive SME deposits concentrated in a small number of large clients, for which a concentration limit is introduced (section 4); and the reliance on central bank eligible loans for a quarter of counterbalancing capacity, for which operational readiness for pledging is tested twice a year (section 7).

Signed for the management body: [Chair], [Chief Executive Officer], date YYYY-MM-DD.

1.2 Key figures

2. Liquidity risk appetite

Derive the liquidity risk appetite from the bank-wide Risk Appetite Statement (finance/risk-appetite-statement) and express it in measurable limits with early warning levels. Cover short-term liquidity (LCR, survival horizon), structural funding (NSFR, loan-to-deposit, maturity gaps), concentration (counterparty, product, currency), intraday liquidity and encumbrance. Every limit needs an owner, a measurement frequency and an escalation path.

Example: at 2026-12-31 LIQ-005 stands at 3,000 / 47,400 = 6.3% (short-term wholesale funding in section 3.1 over total liabilities and equity), inside the 8% early warning. Measured against wholesale funding only (3,000 / 8,000 = 37.5%) the ratio would look alarming, which is why the denominator is stated in the limit definition: always define both numerator and denominator of a ratio limit.

3. Funding profile and funding plan

3.1 Current funding profile

Check the totals: 18,000 + 6,000 + 9,000 + 5,000 + 3,000 + 2,400 + 4,000 = 47,400. Shares are rounded to one decimal place and sum to 100.0%.

3.2 Funding plan 2027 to 2029

Loan growth follows the ICAAP baseline (mortgages plus 3%, SME plus 4%, CRE minus 5% a year on a book of 37,000), which gives about 792, 840 and 890, rounded here. The loan-to-deposit ratio moves from 112.1% (37,000 / 33,000) to 112.2% in each plan year (for example 37,800 / 33,700 in 2027).

Describe the issuance plan (instrument, size, tenor, timing, investor base), the dependency on market access, any MREL needs (see finance/recovery-plan), and the alternatives if a market window closes.

Example: The 2028 maturity of EUR 1,500 million is the largest single funding event in the horizon. Fernhollow Bank plans to pre-fund half of it in the second half of 2027 through a five-year senior preferred benchmark, so that a closed market in 2028 would leave only EUR 750 million to replace. If the market stays closed for more than one quarter, the bank would use a covered bond issued under its existing programme, which is eligible as central bank collateral when retained. The plan keeps the loan-to-deposit ratio below 115% in every year, inside the appetite of 125%, because deposits grow almost as fast as loans. The adverse macro scenario (SCN-002) slows deposit growth by half and raises deposit costs; under it the funding gap widens by about EUR 400 million a year, which the bank would close by slowing SME loan growth before it reached the early warning on the loan-to-deposit ratio.

4. Liquidity risk drivers

Assess the drivers that could reduce inflows or accelerate outflows, both on-balance and off-balance sheet. Include behavioural assumptions and the evidence behind them.

Explain the drivers that the LCR does not capture. Intraday liquidity matters because payments are settled in real time: measure the largest net cumulative position during the day, the available intraday liquidity (central bank reserves and intraday credit against collateral) and the timing of critical payments. Liquidity beyond 30 days matters because a slow deposit outflow can exhaust the buffer over several months; the maturity ladder and the survival horizon in section 6 cover it. Concentration matters because a few large depositors can leave at once; set limits on the share of the largest depositors and on any single sector. Where the bank operates in several currencies, run the analysis per significant currency (a currency is usually treated as significant when its liabilities exceed 5% of total liabilities) and do not assume that foreign exchange swap markets stay open in stress.

Example: Fernhollow Bank's intraday peak usage averaged 38% of available intraday liquidity in 2026, with a maximum of 52% on the quarterly tax payment date, which is above the 50% early warning of LIQ-006. The bank now pre-funds the tax payment account on the day before each quarterly date.

5. Regulatory metrics: LCR and NSFR

5.1 Liquidity coverage ratio

The liquidity coverage requirement (CRR Article 412, specified by Delegated Regulation (EU) 2015/61) requires a stock of unencumbered high-quality liquid assets at least equal to the net liquidity outflows over a 30 calendar day stress period.

$\text{LCR} = \frac{\text{Liquidity buffer (HQLA after haircuts)}}{\text{Net liquidity outflows over 30 calendar days}} \geq 100\%$

$\text{Net outflows} = \text{Outflows} - \min(\text{Inflows},\ 75\% \times \text{Outflows})$

Level 2 assets are 510 + 150 = 660, which is 10.5% of the buffer, below the 40% cap; Level 2B assets are 150, which is 2.4% of the buffer, below the 15% cap (check Delegated Regulation (EU) 2015/61 Article 17 for the cap mechanics).

$\text{LCR} = \frac{6{,}260}{4{,}200} = 149.0\%$

Recompute: 2,000 + 3,600 + 510 + 150 = 6,260; 1,500 + 2,300 + 900 + 600 + 100 = 5,400; 5,400 minus 1,200 = 4,200; 6,260 / 4,200 = 1.4905, so 149.0%.

5.2 Net stable funding ratio

The net stable funding requirement (CRR Article 413, with the calculation in Articles 428a onwards, introduced by Regulation (EU) 2019/876) requires available stable funding at least equal to required stable funding over a one-year horizon.

$\text{NSFR} = \frac{\text{Available stable funding (ASF)}}{\text{Required stable funding (RSF)}} \geq 100\%$

$\text{NSFR} = \frac{36{,}000}{30{,}000} = 120.0\%$

SME deposits that meet the retail-deposit definition (an SME whose aggregated deposits are below the threshold in Delegated Regulation (EU) 2015/61) take the retail ASF factors; in the example the 9,000 are deposits from corporates and from SMEs above that threshold, so 50% applies. In the EU the RSF factors for unencumbered HQLA follow the LCR categories, so Level 2B securitisations take a lower factor than the Basel figure for other Level 2B assets. Factors shown are illustrative of the CRR categories; check CRR Articles 428k onwards (ASF) and 428q onwards (RSF) in the consolidated text for the exact category definitions and conditions. Recompute: ASF 4,000 + 17,100 + 5,400 + 4,500 + 5,000 = 36,000; RSF 90 + 50 + 14,300 + 9,350 + 2,000 + 4,000 + 210 = 30,000. The balance sheet reconciles: assets 5,600 + 600 + 200 + 22,000 + 11,000 + 4,000 + 4,000 = 47,400.

Keep the figures in section 1 equal to the computed values here; when the buffer or flows change, update section 1, the key figures table and the projection together.

5.3 Projection

6. Liquidity stress testing and survival horizon

Design at least three liquidity scenarios: idiosyncratic (a bank-specific shock such as a rating downgrade or a cyber incident), market-wide (a funding market freeze and falling asset values) and combined. Use horizons from overnight to at least three months and up to one year for funding. Base behavioural assumptions on the bank's own data where available and justify any assumption less severe than the regulatory one.

6.1 Survival horizon

The survival horizon is the first day on which cumulative net outflows under stress exceed the counterbalancing capacity available on that day.

$\text{Survival horizon} = \min\{\, t : \text{CNO}(t) > \text{CBC}(t) \,\}$

By linear interpolation between day 60 and day 90, outflows grow by 1,900 over 30 days; the remaining capacity of 1,300 is used after 30 x 1,300 / 1,900 = 20.5 days, so the survival horizon is about day 80 (60 + 20.5 = 80.5). This is above the appetite of 60 days (LIQ-003) and above the early warning of 70 days. Counterbalancing capacity is held flat here for simplicity; in practice model its change over time (maturing assets, monetisation lags, falling collateral values).

6.2 Reverse liquidity stress

Identify the combination of outflows that would exhaust counterbalancing capacity within 30 days and judge its plausibility. Compare the result with the combined scenario: a reverse stress that needs smaller outflows than SCN-L03 is a sign that one of the two is mis-specified.

Example: within 30 days, a loss of 60% of SME and corporate deposits (5,400), 25% of less stable retail deposits (1,500) and 10% of stable retail deposits (1,800), no roll-over of the wholesale funding maturing in the period (600) and drawdown of 15% of undrawn committed facilities (630) gives gross outflows of 9,930. After stressed inflows of 1,200, net outflows are 8,730, above the counterbalancing capacity of 8,500, so capacity is exhausted shortly before day 30 (about day 29 on a linear profile: 30 x 8,500 / 8,730 = 29.2). This is about 1.8 times the 30-day net outflow of SCN-L03 (4,900). The bank judges it beyond severe but plausible, because it requires a deposit run several times larger than any observed in its markets, and uses the deposit-outflow speeds it implies to set early warning indicators in the Contingency Funding Plan (finance/contingency-funding-plan).

7. Liquidity buffer and counterbalancing capacity

Counterbalancing capacity is the liquidity the bank can generate within the stress horizon: the LCR buffer plus other liquid assets and pre-positioned collateral after stressed haircuts, net of encumbrance and of any constraint on transferring liquidity between entities.

Check the total: 6,260 + 2,240 = 8,500. Monetisation is tested at least once a year for each asset class through a repo, a sale or a central bank operation, and the results (timing, haircut, operational issues) are recorded.

8. Funds transfer pricing

Describe the FTP methodology: the base curve, the liquidity premium by tenor, the charge for holding the liquidity buffer, the treatment of non-maturity deposits and contingent liabilities, and governance (ALCO approval, review frequency). Show how FTP results enter product pricing and business-line performance.

Example: Fernhollow Bank charges each lending product the bank's marginal senior unsecured funding spread for its behavioural maturity and allocates the carry cost of the liquidity buffer to the business lines that cause the stressed outflows, in proportion to their contribution to net outflows in SCN-L03. Stable retail deposits receive a credit for their behavioural tenor capped at five years.

9. Link to the contingency funding plan and recovery plan

The Contingency Funding Plan (finance/contingency-funding-plan) is required by CRD Article 86(11) and sets out how the bank responds to a liquidity stress: early warning indicators, escalation, roles and the menu of funding actions. The Recovery Plan (finance/recovery-plan) covers more severe situations with liquidity recovery indicators. Align thresholds so that they form a ladder.

10. Governance, data and validation

Describe roles (treasury as first line, liquidity risk control as second line, internal audit as third line), ALCO and board oversight, the annual calendar and the use of ILAAP results in decisions (funding plan, pricing, limits). List the models used (deposit behaviour, drawdown, prepayment) with validation status and overlays, and describe data quality controls and the ability to produce metrics at the frequency needed in stress.

Internal audit reviews the ILAAP periodically; record the latest opinion, findings and due dates here and attach the report.

11. Regulatory map and jurisdiction notes

12. Glossary and references

References (cited by number and title; obtain the official text):

• Directive 2013/36/EU (CRD), Article 86. EUR-Lex.
• Regulation (EU) No 575/2013 (CRR), Articles 412, 413 and 428a onwards, as amended by Regulation (EU) 2019/876 and Regulation (EU) 2024/1623. EUR-Lex.
• Commission Delegated Regulation (EU) 2015/61 on the liquidity coverage requirement, as amended. EUR-Lex.
• ECB, Guide to the internal liquidity adequacy assessment process (ILAAP), November 2018. ECB Banking Supervision.
• EBA, Guidelines on ICAAP and ILAAP information collected for SREP purposes, EBA/GL/2016/10.
• EBA, Guidelines (revised) on SREP and supervisory stress testing, EBA/GL/2026/06, 26 June 2026, applying from 2027-01-01.
• Basel Committee on Banking Supervision, Basel Framework chapters LCR and NSF (names only).

13. Standard and licence note

Based on Directive 2013/36/EU (CRD) Article 86, Regulation (EU) No 575/2013 (CRR) Part Six, Commission Delegated Regulation (EU) 2015/61, the ECB Guide to the ILAAP (November 2018) and EBA Guidelines EBA/GL/2016/10 and EBA/GL/2026/06. EUR-Lex, ECB and EBA material is reused with acknowledgement; article and guideline numbers are cited and no normative text is reproduced. Basel Committee material is cited by name only. The structure, guidance and the Fernhollow Bank example are original; Fernhollow Bank and every figure are fictional. Check the current official versions and the consolidated texts before use. This is a document format, not financial, investment, legal, regulatory or accounting advice.

Template licence: MIT.