Cash Flow Mismatch Risk Framework
The PRA has proposed that as part of the Pillar II Liquidity Regime, cash flow mismatch reporting be introduced. Whistlebrook understands that this regime aims to address liquidity risks that are not covered by the COREP Liquidity Coverage Ratio. As an example, it could be that a firm experiences significant net outflows during a few of the 30 days of the LCR and that were monetisation of the buffer required, it may not be sufficient.
It is proposed that new reporting (template PRA110) will be introduced from 1st January 2019 and be applicable to UK banks, building societies and investment firms. This template is similar to C66 Additional Liquidity Monitoring Metrics. Firms will be required to provide expected future daily (up to day 92 and then consolidated in wider time buckets thereafter) inflows and outflows, as well as maturity of liquid assets.
Smaller institutions will be required to submit the information on a monthly basis and within 15 days of the report reference date.
Under this proposal, a large firm is defined as having assets of €30billion or above.
The introduction of PRA110 is expected to coincide with the withdrawal of FSA047 and FSA048 submissions.
PRA101 – 108 and PRA110 – What is PRA109?
We are aware of PRA101 to 103 (Forecast Capital +), PRA104 to 107 (Forecast Profit or Loss and Balance Sheet), PRA108 (memorandum Items currently reported in FSA001) and PRA110 (proposed PRA Pillar II Liquidity Cash Flow Mismatch), so what is the missing PRA109?
PRA109 refers to firms that are in resolution and provides information on group entities upon which an institution is reliant for critical services.
Net Stable Funding Ratio (NSFR)
Whistlebrook understands that a NSFR will not be introduced until two years after the proposed revised Capital Requirements Regulation is in place. Generally speaking, the proposal seeks to reduce the reporting burden on smaller firms. Paragraph 3.2 in http://europa.eu/rapid/press-release_MEMO-16-3840_en.htm provides further details on NSFR.