The PRA’s approach is informed by the European Banking Authority’s (EBA’s) guidelines for common procedures and methodologies for the supervisory review and evaluation process (SREP). The PRA expects firms to have regard to the detail contained in Titles 8 and 9 of the EBA SREP Guidelines to understand the PRA’s expectations of them in respect of liquidity and funding risk management and control.
The PRA is required under CRD IV to apply the Liquidity Supervisory Review and Evaluation 1.4 Process (L-SREP) and any supervisory measures in accordance with the level of application of the requirements set out in the CRD IV framework. Therefore, the ILAA rules, including the requirement to carry out an Internal Liquidity Adequacy Assessment Process (ILAAP), apply on an individual basis and on a consolidated basis where firms must comply with Part Six (Liquidity) of the CRR on a consolidated basis. This enables the PRA to apply the L-SREP and any supervisory measures at both individual and consolidated level, where appropriate.
This statement covers PRA expectations in relation to:
the Internal Liquidity Adequacy Assessment Process;
the Liquidity Supervisory Review and Evaluation Process;
drawing down Liquid Asset Buffers;
collateral placed at the Bank of England; and
daily reporting under stress.
© Bank of England
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