The PRA has published Policy Statement 2/18: Pillar 2 liquidity (PS2/18).

PS2/18 provides feedback to Consultation Paper 21/16: Pillar 2 liquidity (CP21/16) and Consultation Paper 13/17: Pillar 2 liquidity (CP13/17). In these Consultation Papers the PRA made proposals to:

  • use the methodologies consulted on, in future PRA liquidity assessments;
  • introduce a cashflow mismatch risk (CFMR) framework and associated reporting template (PRA110) from 1 January 2019; and
  • set survival guidance on the granular Liquidity Coverage Requirement (LCR) stress within the CFMR framework.

PS2/18 is structured broadly along the same lines as the chapters in CP21/16 and CP13/17. The responses have been grouped as follows:

  • level of application;
  • cashflow mismatch risk scenarios and monetisation;
  • PRA110 template and reporting instructions;
  • franchise viability risks;
  • intraday liquidity; and
  • other liquidity risks.

PS2/18 also contains:

  • final Statement of Policy: Pillar 2 liquidity (SoP) (Appendix 1);
  • updated Supervisory Statement 24/15: The PRA’s approach to supervising liquidity and funding risks (SS24/15) (Appendix 2);
  • final PRA110 template and reporting instruments (Appendix 3);
  • final amendment to the Reporting Part of the PRA Rulebook (Appendix 4); and
  • updated Supervisory Statement 34/15: Guidelines for completing regulatory reports (SS34/15) (Appendix 5).

The SoP, the updated SS24/15 and the updated SS34/15 took effect on 23 February 2018. The PRA110 template and reporting instructions and the Reporting Part of the PRA Rulebook take effect from 1 July 2019.

View Pillar 2 liquidity, 23 February 2018