12.1 The PRA proposed to:

• replicate in PRA rules the LCR requirements of the CRR and Delegated Acts by introducing a new Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook and Liquidity (CRR) Part of the PRA Rulebook;

• restate the definitions from the CRR in the Liquidity (CRR) Part, and introduce and clarify a number of definitions that apply to the LCR requirements;

• amend the notification and reporting requirements in the event a firm's LCR or NSFR falls below 100%; and

• replicate LCR permissions from the CRR in PRA rules, and set out the factors that the PRA proposes to consider when assessing permission applications, in a new Statement of Policy (SoP) 'Liquidity and funding permissions'.

Implementation of the LCR in PRA Rules

12.2 The PRA proposed to replicate in PRA rules the LCR requirements of the CRR and Delegated Acts. In doing so, the PRA proposed to make a variety of amendments to ensure the requirements work effectively within PRA rules.

12.3 One respondent supported the transposing of the LCR into the PRA Rulebook. Another respondent generally supported the introduction (restatement) of the LCR in PRA rules, but - citing the Historical Look-Back Approach (HLBA) and the treatment of gold - stated that some elements of the LCR require a reconsideration or recalibration of their methodology (see section on 'Other comments' below).