Prudential Regulation Authority Rulebook

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Where a CRR consolidation entity is required to comply with Chapter 2 of the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook on the basis of its consolidated situation all the following provisions shall apply:

1. (a) third country assets held by a subsidiary undertaking in a third country may be recognised as liquid assets for consolidation purposes where they qualify as liquid assets under that third country's national law setting out the liquidity coverage requirement and they satisfy one of the following conditions:
1. (i) the assets meet all the requirements laid down in Title II (The Liquidity Buffer);
2. (ii) the assets fail to meet the specific requirement laid down in Title II (The Liquidity Buffer) with respect to their issue size but meet all the other requirements laid down therein.
2. The assets recognisable by virtue of point (ii) may only be recognised up to the amount of the stressed net liquidity outflows incurred in the particular currency in which they are denominated and arising from that same subsidiary undertaking;
3. (b) liquidity outflows in a subsidiary undertaking in a third country which are subject under the national law of that third country setting out the liquidity coverage requirement to higher percentages than those specified in Title III (Liquidity outflows and inflows shall be subject to consolidation in accordance with the higher rates specified in the national law of the third country;
4. (c) liquidity inflows in a subsidiary undertaking in a third country which are subject under the national law of that third country setting out the liquidity coverage requirement to lower percentages than those specified in Title III (Liquidity outflows and inflows shall be subject to consolidation in accordance with the lower rates specified in the national law of the third country;
5. (d) investment firms within the group shall be subject to Article 4 of this Chapter 2 of the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook on a consolidated basis and to Article 412 of CRR in relation to the definition of liquid assets, liquidity outflows and inflows for both individual and consolidated purposes. Other than as specified in this point, investment firms shall remain subject to the detailed liquidity coverage ratio requirement for investment firms as laid down in the Liquidity Coverage Requirement - UK Designated Investment Firms Part of the PRA Rulebook;
6. (e) at a consolidated level the amount of inflows arising from a specialised credit institution referred to in Article 33 paragraphs (3) and (4) shall only be recognised up to the amount of the outflows arising from the same undertaking.

[Note: This rule corresponds to Article 2 of Regulation (EU) No 2015/61 as it applied immediately before revocation by the Treasury.]