On 10 December 2015, a Saab 2000 descended below the prescribed vertical profile in IMC during a LLZ-only approach to Billund. An EGPWS ‘PULL UP’ warning was followed by a go around instead of the prescribed response to such a warning. A minor level bust and configuration exceedance followed after which the aircraft returned to its departure airport. Prior to the LLZ-only approach, an attempt to continue with an ILS approach to the same runway with only a LLZ signal available had also ended in a go around. In both cases, there was a complete failure to maintain vertical situational awareness.