The PRA published its policy statement on closing liquidity reporting gaps in insurance, PS15/25, on 30 September 2025, after consulting on this in December 2024’s CP19/24.
Following Covid-19, and the September 2022 liability-driven investment crisis, the PRA realised it was unable to gather the liquidity data it wanted during these stresses. This hinders the firms’ and PRA’s ability to assess liquidity risks. The PRA has been seeking to ‘close the gap’ on this reporting need, while being pragmatic around reporting burdens.
This policy statement:
Details how the PRA considered industry feedback in determining the final requirements.
Sets out the implementation timing.
Determines the size and type of firms captured.
Confirms the reporting template requirements.
Separate from liquidity reporting - finalises the PRA’s expectations of insurers with Internal Models to no longer submit annual Standard Formula reporting.
In this article
What does this mean?
Liquidity reporting
Overall, insurers are supportive of the PRA’s aims of making sure liquidity information is reported in a consistent and proportionate manner. However, as we set out in our previous At a glance on the consultation, the proposals brought a number of challenges for insurers. The PRA has made a number of changes to its original proposals in response to industry feedback.
The key changes are:
- The implementation deadline has been extended. Firms will now have 12 months, to 30 September 2026 to allow more time to prepare.
- Reporting thresholds have been introduced and templates have been simplified, reducing the total volume of reporting required.
- Helpful clarifications have been provided, including on reporting testing before the effective date, the interaction liquidity reporting has with SS5/19, and that there are no immediate plans for there to be a minimum liquidity requirement.
Scope
Firms in scope for liquidity reporting are UK Solvency II insurers with more than £20bn in assets on average over the last three quarterly reporting periods, and either one of:
Gross notional value of derivatives over £10bn; or
- Total value of on- and off-balance sheet securities involved in lending or repos exceeding £1bn.
Firms out of scope are:
Third-country branches in the UK.
Lloyd’s managing agents.
- Non-Solvency II firms.
As well as reporting on a solo-entity basis, there is also a requirement to report on a ring-fenced fund (RFF) specific basis and a matching adjustment portfolio (MAP) basis. A key change in the PS is the exclusion of some RFFs from the scope. On the one hand, requiring reporting on an RFF and MAP, rather than solo entity basis is a move towards more reporting. However, this is to some extent offset by exclusions from some RFFs. RFFs will now be excluded from reporting if they:
Have a gross notional value of derivatives contracts below £500m, as defined by template IR.08.01 (C0130) and excluding those held in index or unit-linked contracts of insurance (C0080).
Do not require liquidity support from other parts of the firm, or provide liquidity support to other parts of the firm; and
- Do not contain a nested MAP.
Timelines
The PRA originally proposed an implementation date of 31 December 2025. Industry feedback stated this timeline would be challenging and the implementation of the liquidity reporting requirements will now be on 30 September 2026. There will be no phased implementation.
Templates
There are a number of key changes to the proposed templates, and importantly, some areas where the PRA has kept the policy unchanged despite there being industry feedback. The most important of these are:
| Reporting template | Scope & Key attributes | Key takeaways from PS | Submission timeline | |
|---|---|---|---|---|
| 1. | Cash flow mismatch | Submission at the solo entity level, and separate submissions for non-excluded RFFs and MAPs. Inflows and outflows from insurance business and financial transactions and unencumbered assets. Impact of specified market changes on contingent inflows and outflows. |
Minimal changes, and in particular will retain the need for forward-looking data. However, predictable cashflow items such as operating expenses, tax and dividends will not need to be reported on a daily forward-looking basis, only weekly and monthly. The PRA is largely keeping the requirement for reporting of prior month liquidity in order to maintain accurate views of liquidity profiles, expectations compared with actuals, and early-warning indicators. The exceptions, which have been removed are ‘premiums due but unpaid’, ‘surrenders requested’, and ‘derivatives amounts paid / payable’. |
Monthly, T+10 |
| 2. | Cash flow mismatch (short form) | Submission at the solo entity level, and separate submissions for non-excluded RFFs and MAPs. As above but excluding inflows and outflows from insurance business. |
The PRA is keeping the requirement for T+1 data for the cashflow mismatch (short form) template. The PRA sees this as important for granular, targeted understanding of individual firms’ positions in stressed conditions. Although reporting is at a solo and fund level, there are RFF exceptions to reporting requirements. |
Potentially daily in times of stress, T+1 |
| 3. | Committed facilities | One submission at solo entity and group level. Liquidity facilities where the total committed amount is greater than £10m; this includes total committed and drawn amounts, payment and maturity dates and lender details. |
No material change. | Annual template, T+70 |
| 4. | Liquidity market risk sensitivities (L-MRS) | Submissions for non-excluded RFFs and MAPs, and remaining parts. Sensitivity of unencumbered asset values and collateral flows to prescribed changes in interest rates, exchange rates, inflation, government bond spreads and credit spreads. |
Collateral reporting has been simplified. Firms will not need to separate initial and variation margin and only report a single figure by collateral type. This is replicated in cash flow mismatch templates Although reporting is at a RFF, MAP and remaining parts level, there are RFF exceptions to reporting requirements.
|
Quarterly template, T+30 |
What do firms need to do?
Firms should apply the thresholds set out by the PRA and determine whether they currently, or expect in the future, to be captured by these reporting requirements.
Frms in scope should re-evaluate their ability to gather the right data, in the required format, while maintaining appropriate data quality and governance.
Develop/refresh operational readiness plans to make sure there is time for dry runs ahead of the go-live date, and bring forward critical decisions such as technology development, or any vendor solution selection/implementation.
Athough the PS has given more time to prepare for implementation, changes to reporting processes and procedures can be complicated and time-consuming so firms should start the process of implementation now.
Firms will need to review their internal data availability and the ability to collate this in the format required by the PRA. This data will need to be of sufficient quality, and align with all the required data governance and reporting governance protocols firms have internally.
Firms should also consider whether the technology platforms and solutions, and level of automation currently being used for reporting is optimal. Firms should consider their capabilities for regular reporting and also to ensure readiness for any reporting required at short notice under stressed conditions.
The PRA will be providing a user-acceptance testing (UAT) window in the Bank of England electronic data submission (BEEDs) portal, and Q&As process to help with readiness testing. Firms should use these to carry out full dry-runs of the reporting requirements.
“The PRA’s policy statement on closing liquidity reporting gaps strengthens oversight of insurers’ liquidity risks while reflecting industry feedback from CP19/24. The extended September 2026 deadline, simplified templates and clarifications will ease implementation somewhat, though submission timeliness such as the T+1 reporting for the cash flow mismatch short form remain a thematic challenge. Firms should use this window to enhance reporting outputs underpinned by upgrades to technology, data and upstream processes to ensure readiness.”
Ilias Angelidis
Director, PwC
Next steps
These requirements come into force on 30 September 2026, with no phased introduction or exemptions.
Further information on the UAT facility and Q&As will be published on the PRA website in due course.
Contacts
Meryl Harland
Ilias Angelidis
Lauren Lee Morar
Ric Lea
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