In this Consultation Paper (CP), the Prudential Regulation Authority (PRA) proposes to delay terminating the existing ‘daily flows’ and ‘enhanced mismatch’ liquidity reports (FSA047 and FSA048) for a limited period. The purpose of the proposed change is to mitigate risks to the supervision of liquidity in the initial period following the introduction of the new PRA110 report (‘the PRA110’) on Monday 1 July 2019.
This CP is relevant to banks, building societies, and PRA-designated investment firms.
Summary of proposals
The following changes are proposed to PRA reporting requirements to:
- delay terminating the FSA047 and FSA048 for six months (ie to Wednesday 1 January 2020); and
- reduce the reporting frequency of the FSA047 and FSA048 reports to align with the PRA110 report in cases where it would otherwise differ from Monday 1 July 2019.
The PRA does not propose changing the implementation date of the PRA110.
These proposals would be delivered by amendments to the Reporting Part of the PRA Rulebook (Appendices 1 and 2) and an update to Supervisory Statement (SS) 34/15 ‘Guidelines for completing regulatory reports’ (Appendix 3).
Subject to the PRA’s consideration of the consultation feedback, the changes proposed by this CP are intended to apply with immediate effect upon publication of a final policy statement. Publication is anticipated in early 2019.
Responses and next steps
The PRA considers that a consultation period of one month is justified in light of the:
- fact that firms are already reporting FSA047 and FSA048 and should therefore be familiar with the likely impact of the changes; and
- benefit in providing firms with a longer period to implement the proposed extension to FSA047 and FSA048 reporting if this is adopted following consultation.
This consultation therefore closes on Monday 12 November 2018. The PRA invites feedback on the proposals set out in this consultation. Please address any comments or enquiries to CP22_18@bankofengland.co.uk.
Note: Update on 12 October 2018
The PRA confirms that it is using its new individual risk methodologies as set out in Statement of Policy ‘Pillar 2 liquidity’ in liquidity reviews. They are being applied at the current glide path factor.
The PRA has previously stated its intention to set out proposals on the overall calibration of the liquidity framework in 2018. However, the PRA has taken the decision to postpone finalisation of its proposals in order to conduct further analysis on the appropriate level of liquidity guidance. This includes the potential for some recognition in the Pillar 2 liquidity framework of the ability to draw on Bank of England liquidity facilities, where firms have access arrangements and appropriate collateral in place.