The Bank of England has published a consultation Paper (CP) which sets out the Prudential Regulation Authority’s (PRA’s) proposals on a cash flow mismatch risk (CFMR) framework and other PRA methodologies for assessing firms’ liquidity risk, under the Pillar 2 liquidity (‘Pillar 2’) framework.

This CP also proposes updates to Supervisory Statement (SS) 24/15 and SS34/15, draft reporting rule changes, and a draft reporting template and instructions relating to CFMR.

This CP is relevant to UK banks, building societies and PRA-designated investment firms.

Of note to Securities Financing Transactions and included in the Summary of proposals, the PRA proposes to assess securities financing margin liquidity risks based on the firm’s historical margin posted, with a stress uplift applied.

This consultation closes on Friday 13 October 2017. For the full article please click here.

ISLA will be looking to respond on behalf of its members to this consultation. Please email admin@isla.co.uk if you are interested in contributing to ISLA’s response.

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