First, there was the FSA 047/048. In late 2009, in a prompt response to the downturn, the FSA introduced a tough new liquidity regime including significantly enhanced liquidity reporting requirements, focused on detailed mismatch ladder analysis, which were to be phased in over a period.
During 2010 most banks began submitting, among others, the 47 and 48 which cover Daily Flows and Enhanced Mismatch Reporting respectively.
Next came the C66, which had its origins in a 2013 Basel Committee paper: “Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools”. That paper provided detail on certain ‘Additional Liquidity Monitoring Metrics’ including the contractual maturity mismatch.
In the European context the EBA’s response resulted in a series of new COREP ALMM returns including, after some delay, the ALMM C66 (Maturity Ladder) which was eventually introduced earlier this year.
Bringing in a variety of new requirements, the C66 took liquidity reporting to a new level of complexity.
But now the UK banking market faces up to the prospect of a whole new dimension…
Banks will generally be required to populate and submit the PRA 110 from July 2019, but some firms will be submitting on an interim basis from November this year.
Replacing the FSA 047/048 (save during interim reporting), and built upon the C66 but extending it significantly, the PRA 110 takes the levels of granularity and data requirements to yet another level.
Indeed there is criticism from some that the UK regulator is trying to ‘gold plate’ standards already agreed at the European level. Some innovations/key features included within the return include the following:
- Includes behavioral & contractual cash flows
- Shows a counter-balancing section with market value of the firms capacity to generate cash through selling securities or using bank facilities, and this includes a line for reporting eligible collateral for that purpose
- More detailed section on contingent flows
- Lots of granularity around levels of stable funding and the quality of assets and collateral
- Details on the implications of derivative positions, including contingent flows in times of market stress
- Includes impact of monetisation actions
- Has LCR weights and blended weights, so can be reconciled back to the LCR
- More frequent reporting
This level of complexity makes automation of this particular new return look essential and a solution combining liquidity and regulatory reporting increasingly attractive.
At ALMIS International we have many years’ experience in supporting clients’ compliance with increasingly complex prudential regulatory reporting requirements. Our future-proof assurance means clients will always enjoy the benefit of auto-populated solutions for their prudential reporting requirements.
So as before with the FSA 047/048 and then the C66, we will be delivering an auto-populated solution to the PRA 110. Work is already well underway to provide this solution, initially to those clients who will be submitting from November on the interim basis.
About the author
Colin McKay is chief commercial officer at ALMIS International.