Liquidity risk and rules

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Supervising Liquidity and Funding Risks

PRA supervisory statement on liquidity risk

UK Prudential Regulation Authority supervisory statement sets out PRA's approach to supervising liquidity and funding risks. Covers its expectations regarding: i) Internal Liquidity Adequacy Assessment Process; ii) Liquidity Supervisory Review and Evaluation Process; iii) drawing down Liquid Asset Buffers; iv) collateral placed at Bank of England; v) daily reporting under stress; and vi) disclosure of Pillar 2 guidance. Updated March 2020.

Publisher: National Regulators Release date: Mar 2020 Country: United Kingdom

Type: Supervisory Practice

Topics: Liquidity risk and rules, Stress-testing, Recovery and resolution

Sectors: Banking

From Basel I to Basel III

IMF working paper discusses sequencing implementation in developing economies

International Monetary Fund working paper provides guidance on how non-Basel Committee member countries could incorporate banks' capital and liquidity standards into their framework.

Publisher: International Organizations Release date: Jun 2019

Type: Consultative, discussion and issues paper

Topics: Capital adequacy, Liquidity risk and rules, Supervisory framework

Sectors: Banking

The Basel Framework in 100 Jurisdictions: Implementation Status and Proportionality Practices

FSI report sets out how authorities are implementing international standards in a proportionate manner

Financial Stability Institute report sets out current state of implementation of key Basel standards and outlines associated proportionality practices in 100 jurisdictions that are not members of the Basel Committee on Banking Supervision (BCBS). Report includes a range of proportionality practices applied in non-BCBS jurisdictions.

Publisher: Global Standard-Setting Bodies Release date: Oct 2018

Type: Consultative, discussion and issues paper

Topics: Risk-based supervision, Transparency and disclosure, Capital adequacy, Liquidity risk and rules, Market risk, Operational risk

Sectors: Banking

The Prudential Regulation Authority's Approach to Banking Supervision

PRA description of how it carries out its prudential regulatory role for deposit-takers and investment firms

UK Prudential Regulation Authority policy document meets PRA's statutory requirement to issue guidance on how it intends to advance its objectives. Communicates PRA's expectation to regulated firms and what they can expect from PRA in the course of supervision. Document: i) describes PRA's general statutory objective and its approach to advancing it; ii) outlines how it determines focus of its supervision in identifying key risks to its objective; iii) examines measures that it expects firms to have in place to ensure their businesses are run in a safe and sound manner; iv) sets out more detail on PRA's supervisory approach; and v) outlines PRA's approach to setting and communicating expectations of firms.

Publisher: National Regulators Release date: Oct 2018 Country: United Kingdom

Type: Law, Regulation and Policy

Topics: Supervisory framework, Risk-based supervision, Corporate governance, Capital adequacy, Liquidity risk and rules, Transparency and disclosure

Sectors: Banking, Securities

Guidelines on Liquidity Risk Management Practices for Fund Management Companies

MAS guidelines for fund management companies with respect to collective investment schemes

Monetary Authority of Singapore guidelines on liquidity risk management framework for fund management companies (FMCs) with respect to collective investment schemes (CIS). Provides guidance on sound practices in liquidity risk management of CIS to address the risks to investors from liquidity mismatches between the CIS' portfolio liquidity and redemption terms. Guidelines accord proportionality to FMCs in implementing the liquidity risk management practices in line with their roles in managing the CIS, the business models and fund structures that they employ.

Publisher: National Regulators Release date: Aug 2018 Country: Singapore

Type: Guideline

Topics: Liquidity risk and rules, Risk management, Corporate governance, Transparency and disclosure

Sectors: Securities

Revised Procedures and Methodologies for the Supervisory Review and Evaluation Process and Supervisory Stress Testing

EBA update to its SREP guidelines

European Banking Authority update to its guidelines on common procedures and methodology for Supervisory Review and Evaluation Process (SREP), including by incorporating supervisory stress testing.

Publisher: Regional Standard-Setting Bodies Release date: Jul 2018

Type: Guideline

Parent: Guidelines on Common Procedures and Methodologies for the Supervisory Review and Evaluation Process (SREP)

Peer: Guidelines on ICT Risk Assessment Under SREP, Guidelines on Assessment of ICAAP and ILAAP under SREP, Guidelines on Institutions' Stress Testing

Topics: Stress-testing, Capital adequacy, Liquidity risk and rules, Corporate governance, Risk management

Sectors: Banking

Guidelines on Institutions' Stress Testing

EBA guidelines for institutions when designing and conducting stress testing programs

European Banking Authority guidelines provides a description of types of stress test exercises and reverse stress testing processes for both regular stress testing and recovery planning purposes. Addresses other matters that can be relevant to stress testing programs, including conduct risks and litigation costs, foreign exchange lending risk, interaction between solvency stress tests and liquidity stress tests, business models and data aggregation.

Publisher: Regional Standard-Setting Bodies Release date: Jul 2018

Type: Guideline

Parent: Guidelines on Stress Testing

Peer: Revised Procedures and Methodologies for the Supervisory Review and Evaluation Process and Supervisory Stress Testing

Topics: Stress-testing, Recovery and resolution, Capital adequacy, Liquidity risk and rules

Sectors: Banking

Prudential Standard on Public Disclosure by Banks

APRA standard sets out disclosure standards for banks

Australian Prudential Regulation Authority standard sets out requirements for public disclosure by locally incorporated banks. Key reporting requirements: i) composition of regulatory capital in a standard form; ii) reconciliation between composition of regulatory capital and audited financial statements; iii) full terms and conditions of its regulatory capital instruments and the main features of these instruments in a standard form; iv) quantitative and qualitative information about its capital adequacy, credit and other risks; v) quantitative and qualitative information on its liquidity coverage ratio and net stable funding ratio; vi) quantitative and qualitative information about its leverage ratio; vii) quantitative and qualitative information on its approach to remuneration; and viii) quantitative information on the global systemically important banks indicators.

Publisher: National Regulators Release date: Jul 2018 Country: Australia

Type: Standard

Topics: Capital adequacy, Liquidity risk and rules, Transparency and disclosure

Sectors: Banking

Funding Strategy Elements of an Implementable Resolution Plan

FSB guidance on plan for funding in resolution

Financial Stability Board consultation sets out key funding strategy elements to support the orderly resolution of global systemically important banks (G-SIBs). Covers: i) firm capabilities to support monitoring, reporting and estimating funding needs in resolution and to facilitate execution of the funding strategy; ii) development of a resolution funding plan by the authorities; iii) use of firm assets and private sources of funding; iv) access to temporary public sector backstop funding mechanisms and ordinary central bank facilities; and v) information sharing and coordination between authorities. Generally relevant to resolution of domestically systemically important banks as well.

Publisher: Global Standard-Setting Bodies Release date: Jun 2018

Type: Guideline

Parent: Key Attributes of Effective Resolution Regimes for Financial Institutions, Guiding Principles on the Temporary Funding Needed to Support the Orderly Resolution of a G-SIB

Topics: Recovery and resolution, Liquidity risk and rules, Systemically important financial institutions (SIFIs), Crisis management and contingency planning

Sectors: Banking

Groups Policy and Double Leverage

Results of PRA's review of its policy framework for assessing risks emanating from a regulated institution's group

UK Prudential Regulation Authority policy statement requires: i) assessment and mitigation of the risks to group resilience to the use of "double leverage"; ii) assessment and mitigation of the risks highlighted by prudential requirements applied by local regulatory authorities on overseas subsidiaries of UK groups; and iii) improved monitoring of the distribution of financial resources across different group entities. Updates the PRA's approach to the Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP), its methodologies for setting Pillar 2 capital and its approach to supervising funding and liquidity risks.

Publisher: National Regulators Release date: Apr 2018 Country: United Kingdom

Type: Consultative, discussion and issues paper

Topics: Capital adequacy, Recovery and resolution, Liquidity risk and rules

Sectors: Banking

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Resources

382 records

Supervising Liquidity and Funding Risks

From Basel I to Basel III

The Basel Framework in 100 Jurisdictions: Implementation Status and Proportionality Practices

The Prudential Regulation Authority's Approach to Banking Supervision

Guidelines on Liquidity Risk Management Practices for Fund Management Companies

Revised Procedures and Methodologies for the Supervisory Review and Evaluation Process and Supervisory Stress Testing

Guidelines on Institutions' Stress Testing

Prudential Standard on Public Disclosure by Banks

Funding Strategy Elements of an Implementable Resolution Plan

Groups Policy and Double Leverage

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