6
Liquidity (CRR) Article 428AI: Calculating simplified NSFR (sNSFR)
6.1
The PRA expects to receive the following information alongside firms’ pre-notifications that they will calculate the sNSFR:
- (i) evidence that the firm meets the definition of ’small and non-complex’ in CRR Article 4(145);
- (ii) confirmation that the firm expects to continue to meet the definition in bullet (i), above, for the foreseeable future;
- (iii) evidence that the firm’s sNSFR is at least 100%, and the basis on which the firm expects that it will continue to be at least 100% for the foreseeable future; and
- (iv) assessment that the complexity of the firm’s funding profile is such that the sNSFR is not an inappropriately simple methodology for the calculation of funding risks.
- 01/01/2022
6.2
The PRA expects that firms which use the sNSFR methodology notify it promptly when the following occurs or is expected to occur:
- (i) the firm no longer meets the definition of ‘small and non-complex’ in CRR Article 4(145);
- (ii) the firm’s sNSFR falls below 100%; or
- (iii) the complexity of the firm’s funding profile is such that the sNSFR is an inappropriately simple methodology for the calculation of funding risks.
- 01/01/2022