PRA published an update (Versions 01.04 and 02.02) to the PRA110 liquidity metric monitor tool (PRA110 LMM tool), following the feedback received on Versions 01.03 and 02.01. The key revisions in Version 01.04 include revised formula for collateral swap term weights and revised formula for worst net liquidity position within 15 days for Granular Liquidity Coverage Ratio (LCR) stress. Version 01.04 of the PRA110 LMM tool is based on the current PRA110 template, while V02.02 uses the PRA110 template that will come into effect from January 01, 2020.
PRA110 LMM tool is intended to assist firms in the same way as the LMM for FSA047 and FSA048. PRA110 LMM tool is for information only and must not be used to submit regulatory returns. This tool is designed to demonstrate certain metrics that are calculated using information from PRA110.
Keywords: Europe, UK, Banking, Reporting, PRA110, LMM, PRA110 LMM Tool, FSA 047, FSA 048, Liquidity Risk, LCR, PRA
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IAIS published technical specifications, questionnaires, and templates for 2020 Insurance Capital Standard (ICS) and Aggregation Method data collections.
BIS announced that it will establish new Innovation Hub centers across Europe and in North America in cooperation with member central banks.
FED updated the reporting form for FR 2052a, which is used to monitor the overall liquidity profile of certain supervised institutions.
PRA published a statement that sets out its views on certain amendments made to Capital Requirements Regulations (CRR and CRR2) via EU Regulation 2020/873 (CRR "Quick Fix"), including some guidance for firms.
The Climate Financial Risk Forum (CFRF), which is a joint climate risk forum of FCA and PRA, published a guide written by the industry for the industry to help firms approach and address climate-related financial risks.
IAIS published an application paper on liquidity risk management for insurers.
EBA published its response to the EC consultation on a new Digital Finance Strategy for Europe.
EIOPA responded to the EC consultation on a new digital finance strategy for Europe.
ESMA published its response to the EC consultation on the new digital finance strategy for EU.
FSB published, for consultation, a report on evaluation of the too-big-to-fail (TBTF) reforms for systemically important banks.