Prudential Regulation Authority Rulebook

1.

The detailed liquidity coverage requirement in accordance with Article 412(1) of CRR shall be equal to the ratio of a credit institution's liquidity buffer to its net liquidity outflows over a 30 calendar day stress period and shall be expressed as a percentage. Credit institutions shall calculate their liquidity coverage ratio in accordance with the following formula:

2.

Credit institutions shall maintain a liquidity coverage ratio of at least 100%.

3.

By derogation from paragraph 2, credit institutions may monetise their liquid assets to cover their net liquidity outflows during stress periods, even if such a use of liquid assets may result in their liquidity coverage ratio falling below 100% during such periods.

4.

Where at any time the liquidity coverage ratio of a credit institution has fallen or can be reasonably expected to fall below 100%, the requirement laid down in Article 414 of CRR shall apply. Until the liquidity coverage ratio has been restored to the level referred to in paragraph 2, the credit institution shall report to the competent authority in accordance with Article 414 of CRR.

5.

Credit institutions shall calculate and monitor their liquidity coverage ratio in the reporting currency for all items, irrespective of their actual currency denomination.

In addition, credit institutions shall separately calculate and monitor their liquidity coverage ratio for certain items as follows:

1. (a) for items that are subject to separate reporting in a currency other than the reporting currency in accordance with Article 415(2) of CRR, credit institutions shall separately calculate and monitor their liquidity coverage ratio in that other currency;
2. (b) for items denominated in the reporting currency where the aggregate amount of liabilities denominated in currencies other than the reporting currency equals or exceeds 5% of the credit institution's total liabilities, excluding regulatory capital and off-balance-sheet items, credit institutions shall separately calculate and monitor their liquidity coverage ratio in the reporting currency

Credit institutions shall report to their competent authority the liquidity coverage ratio in accordance with Reporting (CRR) Part of the PRA Rulebook.

6.

Credit institutions shall not double-count liquid assets, inflows and outflows.

[Note: The rule corresponds to Article 4 of Regulation (EU) No 2015/61 as it applied immediately before revocation by the Treasury]