Monitoring metrics and the ILAAP

RiskAtoms Bank's LCR is 157.4%. Its LCR in US dollars is 1.4%. Both are true. A single ratio adds up everything in one number, and the detail a supervisor needs is in the parts: which currency, which lender, which week. The Basel monitoring tools ask for those parts. None has a minimum. All are watched.

The monitoring toolsLiquidity monitoring tools: the Basel metrics supervisors collect beside the LCR and NSFR, with no minimum, to spot trends and act early (SRP50.1–50.4). sit in SRP50 of the Basel Framework. They are for monitoring only, apply to internationally active banks (SRP50.4), and are not for public disclosure (SRP50.3). Supervisors are to act on negative trends and on results that point to a problem (SRP50.2). There are five: the contractual maturity mismatch, concentration of funding, available unencumbered assets, the LCR by significant currency, and market-related tools. A sixth set, for intraday liquidity, is reported monthly (SRP50.5) and was the subject of L3.5.09: Intraday liquidity.

1. Contractual maturity mismatch

The contractual maturity mismatchContractual maturity mismatch: contractual inflows and outflows by time band, assuming no liability is rolled over and no new assets are written (SRP50.6–50.9). is the ladder of L3.5.04: Cash flow ladders and maturity gaps, with one strict rule: “no rollover of existing liabilities is assumed to take place” and no new assets are written (SRP50.9). Banks send raw data so the supervisor can apply its own assumptions and compare banks (SRP50.10–50.11); they explain separately how they would close the gaps (SRP50.12–50.13).

The overnight gap is −£40.8bn: current accounts and instant-access savings are contractually due on demand. Six months out the cumulative gap is −£41.6bn (or −£42.9bn with HQLA held as a stock); in all it ends at £4.0bn, the bank's equity. Module 3.5's ten buckets are coarser than SRP50.7's thirteen bands; the table shows which bands each covers, with items of no maturity, such as capital, in a bucket of their own (SRP50.8).

2. Concentration of funding

A funding source is significantSignificant: a counterparty or product providing more than 1% of the total balance sheet, or a currency with 5% or more of total liabilities (SRP50.17, 50.19, 50.21). above 1% of the total balance sheet for a counterparty or product (SRP50.17, 50.19), or at 5% or more of total liabilities for a currency (SRP50.21). On a £67bn balance sheet and £63bn of liabilities, that is £670m and £3,150m. Each significant source is reported as a share of total liabilities (SRP50.14).

Every funding product is significant except the £500m of Tier 2. Of the currencies, the dollar is significant and the euro is not:

Wholesale funding is also reported by time band (SRP50.22). Across every wholesale line (deposits from financial institutions, repo, CP and CDs, senior and covered bonds, central bank term funding and subordinated debt), the bands are < 1 month 4,600; 1-3 months 1,100; 3-6 months 1,100; 6-12 months 200; > 12 months 7,500: £14,500m in all. SRP50 stops at shares. L3.5.08: Funding concentration added the HHIHerfindahl–Hirschman index (HHI): the sum of squared shares of each funding provider, from 1/n when all are equal to 1 for a single source. A bank's own measure, not an SRP50 metric. on a narrower base, the £6,500m of deposits, repo and CP from 25 named providers: 0.071 across them, the same as 14.1 equal ones, with the top three holding 35.4%. SRP50 is frank about the limits: many counterparties cannot be seen through, so concentration may be understated (SRP50.23), and the metrics do not say how hard a source would be to replace (SRP50.25).

3. Available unencumbered assets

Available unencumbered assetsAvailable unencumbered assets: assets the bank could use as collateral in secondary markets or at the central bank's standing facilities, valued after haircuts (SRP50.27–50.34). come in two kinds: those usable as collateral in secondary markets, and those eligible at the central bank's standing facilities, not its emergency lending (SRP50.27–50.29). Each is reported at its monetised value after the estimated haircut, with its currency and location (SRP50.32–50.33).

LCR haircuts stand in for market haircuts illustrative. Memo items, not counted: reserves £6,000m (cash, not collateral); gilts received in reverse repo £3,000m; mortgages not pre-positioned £19,000m; encumbered assets £6,500m.

The Level 2B row includes the £120m of shares in banks and insurers that L4.5.01: The LCR: high-quality liquid assets leaves out of HQLA (LCR30.45(3)). That test asks whether an asset keeps its value when banks are in trouble; this one asks whether it can be pledged, and the shares can still back secured funding in the market.

4. The LCR by significant currency

The dollar is significant, so the bank computes an LCR in dollarsLCR by significant currency: the LCR computed for each significant currency on its own, to show currency mismatch. There is no internationally set minimum (SRP50.35–50.39).. Module 3.5's book raises £3,600m in dollars and swaps it into pounds for longer than 30 days illustrative, so the USD outflows are the dollar parts of three funding lines, and the only USD HQLA is the trading desk's US share basket:

USD HQLA of £15m against £1,077.2m of net outflows is 1.4%, a shortfall of £1,062m. Sterling, at 179.4%, carries the bank. This breaks no rule: the currency LCR “does not have an internationally defined minimum required threshold” (SRP50.38). It tells the supervisor that in a stress the bank would need to turn pounds into dollars through FX markets that might be strained, and the supervisor may set its own alert levels.

5. Market-related tools

High-frequency market data serve as early warnings (SRP50.40), at three levels (SRP50.41–50.45): market-wide (equity, debt, money, FX and derivatives markets), the financial sector (bank equity and debt indices), and the bank itself (its share price, CDS spreads, money market rates and rollover, the price of its bonds). They need care: the same CDS spread can mean different things in different markets (SRP50.46). The early warning indicators of L3.5.10: Contingency funding plans are the bank's own version.

UK reporting

Beside the LCR and NSFR returns, UK banks report the PRA110PRA110: the UK's cash flow mismatch return, reported since 1 July 2019: weekly for firms with assets of €30bn or more, monthly below that, and more often in stress (PS26/19). cash flow mismatch return. With assets of £67bn, or €77.1bn at the capital book's €1.15 per pound, RiskAtoms Bank is above the €30bn threshold, so it reports weekly, and every business day in a stress (PS26/19). It also reports the additional liquidity monitoring metrics (ALMM) inherited from the EU: funding concentration by counterparty and by product, prices for various lengths of funding, rollover of funding, and counterbalancing capacity. The maturity ladder template (C 66) was left out of the EU's 2016 ALMM standards, and so out of the PRA's ALMM item; PRA110 does that job.

The ILAAP

The ratios and metrics are inputs. The bank's own judgement is the ILAAPILAAP: internal liquidity adequacy assessment process. The bank's own assessment of the liquidity and funding it needs, reviewed at least annually and approved by its management body (PRA ILAA Part 13).. The PRA's overall liquidity adequacy rule asks for liquidity resources “adequate, both as to amount and quality” at all times (ILAA Part 2.1); meeting the LCR and NSFR does not by itself satisfy it (SS24/15). The ILAA Part sets out what sits behind the assessment. Click through:

The PRA reviews the ILAAP in its liquidity supervisory review (L-SREP) and sets individual liquidity guidanceIndividual liquidity guidance (ILG): what the PRA sets after its liquidity review, quantitative (for Pillar 2 risks the LCR does not capture) and qualitative (SS24/15).: quantitative, for Pillar 2 risks the LCR does not capture (intraday, cash flow mismatch within the 30 days, funding concentration, franchise risk and more), and qualitative (SS24/15). A bank may use its buffer in stress, even below its guidance, and must tell the PRA without delay. How the PRA weighs the ILAAP, and how it fits with the ICAAP, is the subject of M4.9: Supervision, stress testing and disclosure.

With contractual inflows $I_j$ and outflows $O_j$ in bucket $j$, provider amounts $F_i$ of a total $F$, total assets $A$ and liabilities $L$:

Every metric is a sum over lines (M-A08: Summation notation); the currency LCR is the LCR of L4.5.02: The LCR: outflows and inflows with each sum restricted to one currency.

On the currency tool, buy Treasuries until the USD LCR reaches 100% and watch what happens to the GBP and all-currency ratios. On the concentration tool, add funding from the largest provider, then from a new fund, and see when it becomes significant.

£ millions at 31 December 2025.

The Basel tools were published with the LCR in January 2013 and sit in SRP50 of the Basel Framework; they build on the Committee's Principles for Sound Liquidity Risk Management and Supervision of September 2008. Statements on jurisdictions are as at 3 November 2026 as at 3 Nov 2026.

• SRP50's monitoring tools have no minimum: contractual maturity mismatch, funding concentration, available unencumbered assets, LCR by significant currency, market tools (and intraday tools).
• The contractual mismatch assumes no rollover: RiskAtoms Bank's overnight gap is −£40.8bn.
• Significant: a counterparty or product above 1% of assets (£670m here), a currency at 5% of liabilities. Three counterparties and the dollar qualify; the HHI (0.071) is the bank's own measure.
• Available unencumbered assets £11,900m; USD LCR 1.4% beside 157.4% overall.
• UK: PRA110 weekly (daily in stress) at €30bn or more of assets, ALMM monthly; the ILAAP reviewed at least annually and approved by the board; the PRA sets individual liquidity guidance after its L-SREP.

Liquidity monitoring tools

Liquidity monitoring tools: the Basel metrics supervisors collect beside the LCR and NSFR, with no minimum, to spot trends and act early (SRP50.1–50.4).

Contractual maturity mismatch

Contractual maturity mismatch: contractual inflows and outflows by time band, assuming no liability is rolled over and no new assets are written (SRP50.6–50.9).

Significant counterparty, product or currency

Significant: a counterparty or product providing more than 1% of the total balance sheet, or a currency with 5% or more of total liabilities (SRP50.17, 50.19, 50.21).

Herfindahl–Hirschman index (HHI)

Herfindahl–Hirschman index (HHI): the sum of squared shares of each funding provider, from 1/n when all are equal to 1 for a single source. A bank's own measure, not an SRP50 metric.

Available unencumbered assets

Available unencumbered assets: assets the bank could use as collateral in secondary markets or at the central bank's standing facilities, valued after haircuts (SRP50.27–50.34).

LCR by significant currency

LCR by significant currency: the LCR computed for each significant currency on its own, to show currency mismatch. There is no internationally set minimum (SRP50.35–50.39).

PRA110

PRA110: the UK's cash flow mismatch return, reported since 1 July 2019: weekly for firms with assets of €30bn or more, monthly below that, and more often in stress (PS26/19).

ILAAP

ILAAP: internal liquidity adequacy assessment process. The bank's own assessment of the liquidity and funding it needs, reviewed at least annually and approved by its management body (PRA ILAA Part 13).

Individual liquidity guidance (ILG)

Individual liquidity guidance (ILG): what the PRA sets after its liquidity review, quantitative (for Pillar 2 risks the LCR does not capture) and qualitative (SS24/15).