Pillar 2 liquidity

Statement of Policy
Published on 23 February 2018

Overview

This statement of policy (SoP) is relevant to all UK banks, building societies and PRA-designated investment firms, referred to collectively as ‘firms’.

  • Chapter 2 details the PRA’s approach to the level of application of Pillar 2 liquidity guidance.
  • Chapter 3 details the PRA’s approach to assessing cashflow mismatch risk.
  • Chapter 4 details the PRA’s approach to assessing franchise viability risks.
  • Chapter 5 details the PRA’s approach to assessing intraday liquidity risks.
  • Chapter 6 details the PRA’s approach to assessing other Pillar 2 liquidity risks.

The Pillar 2 framework covers risks not captured, or not fully captured, in Pillar 1.

In publishing its approach to Pillar 2 liquidity (‘Pillar 2’), the PRA seeks to help firms understand how it assesses liquidity risks, thereby encouraging them to develop better approaches to reduce or manage these risks.

PDFStatement of Policy

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