The PRA’s approach to supervising liquidity and funding risks

Supervisory Statement 24/15

Update 2 March 2020

This Supervisory Statement was updated following PS4/20 ‘Liquidity: The PRA’s approach to supervising liquidity and funding risks’.  This version takes effect from Monday 2 March 2020.

Published on 8 June 2015

This supervisory statement 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. It sets out the Prudential Regulation Authority’s (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.

Current version

Published: 2 March 2020

This SS was updated following PS4/20 ‘Liquidity: The PRA’s approach to supervising liquidity and funding risks’

Effective from: 2 March 2020

Future version

Published: 17 December 2019

This SS was updated following publication of PS26/19 ‘Pillar 2 liquidity: PRA110 reporting frequency threshold’. On 2 March 2020 we also updated this SS to include final policy that came into effect on that day (see current version).

Effective from: 1 May 2020

Past versions

Published: 17 December 2019

This SS was updated following publication of PS26/19 ‘Pillar 2 liquidity: PRA110 reporting frequency threshold’

Effective from: 1 May 2020 (superseded on 2 March 2020 to incorporate the updates from that day) 

Published: 17 June 2019

This SS was updated following PS13/19 ‘Pillar 2 liquidity: Updates to the framework’.

Effective from: 1 July 2019 (superseded on 2 March 2020 to incorporate the updates from that day) 

Published: 30 April 2018

This SS was updated following publication of PS9/18 ‘Groups policy and double leverage’.

Effective from: 1 January 2019 (superseded on 1 July 2019 by June 2019 version)

Published: 23 February 2018

This SS was updated following publication of PS2/18 ‘Pillar 2 liquidity’.

Effective from: 23 February 2018 (superseded on 1 January 2019 by April 2018 version).

Published: 12 December 2016

This SS was updated following publication of PS35/16 ‘Responses to CP26/16’.

Effective from: 12 December 2016 (superseded on 23 February 2018 by February 2018 version)

Published: 8 June 2015

Initial publication following PS11/15 ‘CRD IV: Liquidity’.

Effective from: 8 June 2015 (superseded on 12 December 2016 by December 2016  version)

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