• Liquidity Coverage Ratio

    • PRU 9.3.4 PRU 9.3.4

      An Authorised Person must, except as provided in Rule 9.3.7, maintain an LCR of at least 100%.

      • Guidance

        Rule 9.3.4 sets a minimum level and is not intended to limit the generality of the requirement in Rule 9.3.3.

    • PRU 9.3.5 PRU 9.3.5

      An Authorised Person must calculate its LCR using the following formula and in accordance with the Rules in section A10.2 of App10.

      LCR = Value of stock of HQLA / Total Net Cash Outflows over the next 30 calendar days.

      • Guidance

        1. Section A10.2 of App10 sets out how the value of stock of HQLA and Total Net Cash Outflows are to be calculated.
        2. An Authorised Person active in multiple currencies should:
        a. maintain HQLA consistent with the distribution of its liquidity needs by currency;
        b. assess its aggregate foreign currency liquidity needs and determine an acceptable level of currency mismatches; and
        c. undertake a separate analysis of its strategy for each currency in which it has material activities, considering potential constraints in times of stress.

    • PRU 9.3.6

      (1) An Authorised Person must, except as provided under Rule 9.3.8, maintain a buffer of HQLA over the minimum level of LCR required under its LCR Requirement, appropriate to the nature, scale and complexity of its operations and in line with its Liquidity Risk tolerance.
      (2) The Regulator may require an Authorised Person to maintain an additional buffer of liquid assets in cases where the Regulator assesses that the Authorised Person has failed to carry out stress tests effectively.