The PRA has published Policy Statement 11/15: CRD IV: Liquidity (PS11/15).
In PS11/15 the PRA sets out its final rules, a supervisory statement and provides feedback on the responses to its earlier consultation to accommodate the European Commission’s delegated act with regard to the liquidity coverage requirement (LCR) for credit institutions.
PS11/15 is broadly structured along the same lines as the earlier consultation although some areas have been re-arranged to better address related issues. The responses have been grouped as follows:
- switching off BIPRU 12;
- phasing-in the LCR, and additional liquidity requirements;
- liquidity reporting and disclosure;
- liquidity risk management and supervisory review;
- elements of the new regime not covered by EU legislation; and
- cost benefit analysis.
Some of the PRA’s proposals have been revised in PS11/15. For example the PRA will no longer stipulate a rule requiring firms to be able to comply with daily reporting against the whole range of COREP liquidity returns. The PRA will instead apply this requirement through a supervisory expectation and will only expect firms to be able to provide daily reporting for a sub-set of the returns. Also, third country branches will not be required to provide whole-firm liquidity information through COREP returns – the PRA will determine the specific format of the required returns in due course.
The final PRA rules and supervisory statement will come into force on 1 October 2015, except where otherwise specified.
View CRD IV: Liquidity – PS11/15, 8 June 2015