Guidance

SS20/15 – Supervising building societies’ treasury and lending activities

Chapter

Appendix 4 – Liquidity and treasury investments – indicative limits

Printed on: 06/11/2024

Rulebook at: 01/01/2021

Appendix 4 – Liquidity and treasury investments – indicative limits

LIQUIDITY ADMINISTERED
 MATCHED EXTENDED
 COMPREHENSIVE
MINIMUM BUFFER LIQUIDITY LCR + regulatory Pillar 2 add-ons
INTERNAL LIQUIDITY OLAR
COUNTERPARTY LIMITS
  • Single name/connected group limits
  • Instrument type and maturity limits
  • Single name/connected group limits
  • Country limits
  • Instrument type and maturity limits
  • Single name/connected group limits
  • Country limits
  • Sector limits
  • Instrument type limits
  • Currency limits
  • Comprehensive limit structure covering single names, groups, sectors, instruments, countries and currencies
INSTRUMENT/COUNTERPARTY LIMITS STRUCTURE (Buffer liquidity & Treasury Investments) – Indicative limits
Bank of England
 No max
 No max No max No max
Call deposits: banks
 Board determined
 Board determined Board determined Board determined
Term deposits: banks (includes CDs)
 Max 15% SDL
 Max 15% SDL Max 15% SDL Board determined
Term deposits: societies
 Max 10% SDL
 Max 10% SDL Max 10% SDL Board determined
Term deposits: Local Authorities/Regional Govt.
 Max 10% SDL
 Max 10% SDL Max 10% SDL Board determined
Gilts <3 years
 Board determined Board determined Board determined Board determined
Gilts <5 years
 None Board determined Board determined Board determined
Gilts >5 years
 None None Max 5% SDL
 Board determined
Supranational FRNs
 None Max 3% SDL

Max 5% SDL

 Board determined
Supranational Fixed rate Bonds <5 years
 None None Board determined
Treasury bills
 Board determined
 Board determined Board determined Board determined
Non-supranational fixed/floating rate MTNs <5 years
 None None Max 5% SDL
UK asset-backed (senior securitised position only)
 None None RMBS only
Max 5% SDL
 Board determined
UK covered bonds (CRD compliant only)
 None None Max 5% SDL
 Board determined
Qualifying money market funds
 Max 5%TA/SDL
 Max 5%TA/SDL Own limits
 Board determined
Reverse repo
 None Gilts only, up to limits above Up to limits above
 Board determined
BANK OF ENGLAND DEPOSIT FACILITIES
Reserves Account
 ✓
 ✓
 ✓
 ✓
Standing deposit facility
 (if eligible)
 (if eligible) ✓
 ✓

  • 01/01/2021