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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