October 12, 2018

PRA is proposing (CP22/18) to delay termination of the existing "daily flows" and "enhanced mismatch" liquidity reports (FSA047 and FSA048) by six months. The purpose of the proposed change is to mitigate risks to the supervision of liquidity in the initial period, following the introduction of the new PRA110 report on July 01, 2019. This consultation closes on November 12, 2018 and is relevant to banks, building societies, and PRA-designated investment firms.

PRA does not propose changing the implementation date of the PRA110. These proposals would be delivered by amendments to the Reporting Part of the PRA Rulebook (Appendices 1 and 2) and an update to Supervisory Statement SS34/15 titled "Guidelines for completing regulatory reports" (Appendix 3). The following changes have been proposed to the PRA reporting requirements to:

  • Delay terminating the FSA047 and FSA048 for six months (that is, to January 01, 2020)
  • Reduce the reporting frequency of the FSA047 and FSA048 reports to align with the PRA110 report, in cases where it would otherwise differ from July 01, 2019

Furthermore, PRA confirms that it is using its new individual risk methodologies as set out in Statement of Policy titled "Pillar 2 liquidity" in liquidity reviews. They are being applied at the current glide path factor. PRA has previously stated its intention to set out proposals on the overall calibration of the liquidity framework in 2018. However, PRA has taken the decision to postpone finalization of its proposals to conduct further analysis on the appropriate level of liquidity guidance. This includes the potential for some recognition in the Pillar 2 liquidity framework of the ability to draw on BoE liquidity facilities, where firms have access arrangements and appropriate collateral in place.

 

Related Links

Comment Due Date: November 12, 2018

 

Keywords: Europe, UK, Banking, Reporting, Pillar 2 Liquidity, CP22/18, FSA047, FSA048, PRA 

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