08 June 2015
This policy statement (PS) sets out the PRA’s final rules and supervisory statement (SS24/15) and provides feedback on responses to the proposals in CP27/14 to accommodate the European Commission’s delegated act with regard to the liquidity coverage requirement (LCR) for credit institutions.
This PS is relevant to UK banks, building societies and PRA UK-designated investment firms; third-country firms that are banks or designated investment firms; and European
Economic Area (EEA) credit institutions that have a branch in the United Kingdom.
Summary of content
In light of feedback received to CP27/14, some of the proposals have been revised. 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 – instead the PRA will 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;
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; and
the period that the FSA returns will run in parallel to the COREP LCR returns has been reduced. FSA054 will not be required past 1 October 2015, and FSA050 to FSA053 will not be required after 1 October 2015 or when their equivalent AMM return is received (whichever is later). The PRA will review the period that FSA0547 and FSA048 will be maintained, taking into account in particular progress in implementing the AMM return C 66.00.
The rules and supervisory statement come into force from 1 October, except for Annex E to the PRA Handbook – Liquidity Standards Consequentials Instrument 2015, which deletes the requirement to submit certain liquidity returns. The rules in Annex E will come into force on a date specified by a subsequent PRA Board Instrument following adoption by the European Commission of the EBA final draft implementing technical standards on additional liquidity monitoring metrics under Article 415(3)(b) of Regulation (EU) No 575/2013 and subsequent PRA review.
CRD IV: Liquidity – PS11/15
The PRA’s approach to supervising liquidity and funding risks – SS24/15
CRD IV: Liquidity – CP27/14