The Bank of England has published a consultation Paper (CP) which sets out the Prudential Regulation Authority’s (PRA’s) proposals on a cash flow mismatch risk (CFMR) framework and other PRA methodologies for assessing firms’ liquidity risk, under the Pillar 2 liquidity framework. This CP is relevant to UK banks, building societies and PRA-designated investment firms.
Of note to securities financing transactions and included in the summary of proposals, the PRA proposes to assess securities financing margin liquidity risks based on the firm’s historical margin posted, with a stress uplift applied. This consultation closes on Friday 13 October 2017.