The PRA has published Consultation Paper 13/17: Pillar 2 liquidity (CP13/17). CP13/17 is relevant to UK banks, building societies and PRA-designated investment firms.
In CP13/17 the PRA sets out proposals on a cash-flow mismatch risk (CFMR) framework and other PRA methodologies for assessing firms’ liquidity risk, under the Pillar 2 liquidity framework. The PRA also proposes to update Supervisory Statement 24/15: The PRA’s approach to supervising liquidity and funding risks and Supervisory Statement 34/15: Guidelines for completing regulatory reports, draft reporting rule changes and a draft reporting template and instructions relating to CFMR. The PRA also seeks early views on aspects of the calibration of overall liquidity requirements which will be consulted on in a third consultation paper.
The deadline for comments on CP13/17 is 13 October 2017.
Once the PRA has created its proposals on overall calibration, it will determine if there is a need for a transition path. The exact shape and timing of any transition path will also be consulted on in a third consultation paper.
View Pillar 2 liquidity – CP13/17, 13 July 2017