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    PRA Publishes Policy Statement PS2/18 on Pillar 2 Liquidity

    February 23, 2018

    PRA published the policy statement PS2/18 that provides feedback to CP21/16 and CP13/17 on Pillar 2 liquidity. PS2/18 on Pillar 2 liquidity includes Statement of Policy (SoP) on Pillar 2 liquidity, an update to SS24/15 on the PRA approach to supervising liquidity and funding risks, a final PRA110 template and reporting instructions, a final amendment to the Reporting Part of the PRA Rulebook, and an update to SS34/15 on the guidelines for completing regulatory reports.

    In CP21/16 and CP13/17, PRA proposed to use the methodologies consulted on, in future PRA liquidity assessments; introduce a cash flow mismatch risk (CFMR) framework and associated reporting template (PRA110) from January 01, 2019; and set survival guidance on the granular Liquidity Coverage Requirement (LCR) stress within the CFMR framework. PS2/18 is relevant to UK banks, building societies, and PRA-designated investment firms. The SoP on Pillar 2 liquidity (Appendix 1), the updated SS24/15 on the PRA approach to supervising liquidity and funding risks (Appendix 2), and the updated SS34/15 on guidelines for completing regulatory reports (Appendix 5) will take effect from February 23, 2018. The PRA110 template and reporting instructions (Appendix 3) and the Reporting Part of the PRA Rulebook (Appendix 4) will take effect from July 01, 2019.

     

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    Effective Date: February 23, 2018 (SoP, SS24/15, SS34/15); July 01, 2019 (PRA110 Reporting)

    Keywords: Europe, UK, Banking, PS2/18, Pillar 2, Liquidity Risk, Reporting, PRA

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