The Prudential Regulation Authority (PRA) has issued a policy statement finalising its package to close liquidity reporting gaps for major UK insurers with significant derivatives or securities lending and repurchase agreement exposures, alongside changes that streamline Standard Formula reporting for certain internal model (IM) firms. The final policy introduces new liquidity templates and amends PRA Rulebook reporting requirements and SS15/16, while expanding the set of IM firms that are no longer expected to submit the annual SF.01 template. Liquidity reporting will apply to a subset of large UK Solvency II firms, using firm-level thresholds of assets above GBP 20 billion (average over the previous three quarterly reporting periods) plus either derivatives gross notional above GBP 10 billion or securities lending/repo exposure above GBP 1 billion. The PRA will introduce four templates: a monthly cash flow mismatch template, a monthly cash flow mismatch short form with a one-business-day remittance period that can be required daily at T+1 in stress, an annual committed facilities template, and a quarterly liquidity market risk sensitivities (L-MRS) template. Compared with the draft, the PRA delayed implementation, moved L-MRS reporting from solo to fund level (ring-fenced funds, matching adjustment portfolios and remaining parts), and added a fund-level exclusion so ring-fenced funds can be omitted where derivatives gross notional is below GBP 500 million (subject to additional conditions on intra-firm liquidity support and nested matching adjustment portfolios). Template changes also reduce data and operational burden, including removing certain data items (such as derivatives gross notional in the cash flow mismatch template) and simplifying margin reporting by collateral type without requiring firms to model changes in initial margin requirements under stress. The liquidity reporting rules and policy are made now but will take effect on 30 September 2026, with the PRA planning a Q&A process and user acceptance testing windows via the Bank of England Electronic Data Submission portal. By contrast, the SF.01 changes are effective immediately, meaning in-scope firms are not expected to submit SF.01 from 31 December 2025 inclusive, and are also not expected to submit a year-end 2024 SF.01 report; the extended SF.01 relief includes IM life insurance and reinsurance firms and composite IM firms with immaterial non-life holdings, while composite IM firms with material non-life holdings are expected to report SF.01 for non-life business only.
Prudential Regulation Authority 2025-09-30
UK Prudential Regulation Authority finalises new insurer liquidity reporting templates and defers implementation to 30 September 2026 while removing SF.01 expectations for internal model life firms
The Prudential Regulation Authority (PRA) has finalized a policy to address liquidity reporting gaps for major UK insurers with significant derivatives or securities lending exposures, introducing new liquidity templates and amending reporting requirements. The policy applies to large UK Solvency II firms with specific asset and exposure thresholds and includes changes to streamline Standard Formula reporting for certain internal model firms. The liquidity reporting rules will take effect on 30 September 2026, while changes to SF.01 reporting are effective immediately, exempting certain firms from submission requirements.