Liquidity: the increasing reporting burden
UK banks’ travels on the liquidity reporting journey continue with the imminent official start, after a few false starts, of the maturity ladder Additional Liquidity Monitoring Metric (C66) and the PRA 110 looming over the horizon …..
It was in January 2013 the BCBS issued a paper entitled ‘ Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools‘. That was an early regulatory step on the journey towards today’s C66. It provided some detail on the various Additional Liquidity Monitoring Metrics including the contractual maturity mismatch; and looking back now that initial guidance looks reasonably concise
and manageable. The finalised C66, required monthly or (depending on the relevant bank satisfying certain tests) quarterly from 31 March, is a long way from that original BCBS paper: much more granularity is required. And of course the PRA 110, the introduction of which is now delayed till 1 July 2019, will continue the trend by expanding the data requirements yet again…..

C66: significant in two ways
The C66 is significant in itself as a complex new return. For example some new/key points include the following: –
– unlike the FSA 047/48 the C66 requires the inclusion of contractual interest cash flows
– behavioural cash flows are included (as a Memorandum Item)
– a requirement to calculate the maturity profile of lending which is eligible collateral (in order to include the appropriate amount of collateral in the Counterbalancing Capacity section)

The C66 is also significant as the basic building block on which the proposed PRA 110 is built. That PRA return takes nothing away from the C66 but adds to it. So for example the PRA 110 includes more time periods, more rows (requirements for example for more granularity on retail deposits), some more sections etc.

Webinar feedback
At ALMIS® International we are familiar with this sort of complex and onerous regulation, and are committed to developing and delivering appropriate solutions. One of our current priorities is therefore working with clients to help achieve autopopulation of the C66. Against that backdrop we recently held a webinar in which we discussed how to populate the return, discussed some opinions over interpretation of the relevant standards , and asked if the report will assist firms with their day to day liquidity management. The industry focus on the topic was well illustrated by the very high participation from banks and building societies (140 registered delegates). A poll conducted amongst participants during the webinar revealed that just over 80% of participants felt the C66 maturity ladder is at least to some extent a useful report to help a Bank/Building Society monitor and manage liquidity requirements (23% indicated very useful).

Conclusion
Founder and CEO of ALMIS® International Joe Di Rollo commented: “… the C66 is the most complex liquidity report so far, and the delay on the PRA 110 is helpful. But whilst the data requirements are quite painful our webinar poll tends to confirm the view that if that data is properly interpreted it should help with the practicalities of managing and optimising bank liquidity positions both short and longer term…”
Several other new reporting requirements also now start to apply: many banks are required to report FINREP for the first time, new requirements as regards the reporting of information on sovereign exposures are introduced and the requirements as regards reporting on operational risk are changing. Whatever your organisation’s view of the C66 and the other new returns may be, the journey continues ….