Liquidity for Investment firms

ILAS BIPRU firms that are also significant IFPRU firm, which are not regulated by the PRA, have been given modification by consent waiver from Part 6 (Liquidity) of the Capital Requirements Regulations (CRR). These firms will continue to monitor liquidity based on the existing liquidity rules (BIPRU12) and calculate and report liquidity buffer requirements based on the FSA047/48 regulatory returns.

The following article provide an insight into the calculation of the liquidity buffer and the mismatch gaps.

1) Liquidity risk management - mismatch GAPs : Provides an insight into the various mismatch GAPs a firm can use to managed liquidity risk. These GAPs are based on the FCA's Liquidity Metrics Monitor (LMM).

2) Calculation of the Liquid Asset Buffer (LAB) requirement : Provides a detailed step-by-step guide to calculate the firm's liquid asset buffer based on the new regulatory requirement.