The PRA has published Supervisory Statement 24/15: The PRA’s approach to supervising liquidity and funding risks (SS24/15). SS24/15 sets out the PRA’s approach to supervising liquidity and funding risks, and covers its expectations in relation to:
- the Internal Liquidity Adequacy Assessment Process;
- the Liquidity Supervisory Review and Evaluation Process;
- drawing down Liquid Asset Buffers;
- collateral placed at the Bank of England; and
- daily reporting under stress.
SS24/15 should be read alongside:
- the Internal Liquidity Adequacy Assessment part of the PRA Rulebook;
- the Liquidity Coverage Requirement – UK Designated Investment Firms part of the PRA Rulebook;
- the PRA’s approach to banking supervision;
- Part 6 (Liquidity) of the Capital Requirements Regulation; and
- the European Commission delegated act with regards to the liquidity coverage requirement for credit institutions.
The PRA’s approach is informed by the European Banking Authority’s (EBA) guidelines for common procedures and methodologies for the supervisory review and evaluation process. The PRA expects firms to have regard to the detail contained in Titles 8 and 9 of the EBA SREP Guidelines to understand the PRA’s expectations of them in respect of liquidity and funding risk management and control.
View The PRA’s approach to supervising liquidity and funding risks – SS24/15, 8 June 2015
