The PRA has today (8th June 2015) issued a brief policy and supervisory statement.
Some concessions to proportionality, particularly in reporting, have been made. The documents do however, set out more clearly how firms are expected to manage liquidity under CRD IV.
Key to this, is a requirement for daily reporting for firms with assets greater than £5bn for:
- COREP LCR (C 72.00 – C 76.00)
- Contractual maturity ladder (AMM C 66.00)
- Rollover (AMM C 70.00)
Additionally, firms are expected to continue to strengthen stress testing and incorporate liquidity costs into fund transfer pricing more fully.
ALMIS® International are experts in helping firms implement and integrate solutions in all three of these areas (liquidity reporting, stress testing and funds transfer pricing from one system).
Policy statement CRD IV: Liquidity – PS11/15
The PRA’s Approach to Supervising Liquidity and Funding Risks – SS24/15
For more information on the ALMIS® solution, contact Jenna Haston on 0131 452 8898 or email [email protected]
