CP19/24 – Closing liquidity reporting gaps and streamlining Standard Formula reporting

Consultation paper 19/24

Published on 11 December 2024

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Responses are requested by Monday 31 March 2025.

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Responses can be sent by email to: CP19_24@bankofengland.co.uk.

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Insurance Policy Division

Prudential Regulation Authority

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EC2R 6DA

1: Overview

1.1 This consultation paper (CP) sets out the Prudential Regulation Authority’s (PRA) proposals to close liquidity reporting gaps for large insurance firms with significant exposure to derivatives or securities involved in lending or repurchase agreements. These gaps impede sound supervision of liquidity risk management as has been evidenced during recent market liquidity stresses. This CP also sets out the PRA’s proposals to remove the expectation for life insurers with internal model (IM) permissions to annually submit the SF.01 template containing Solvency Capital Requirement (SCR) information calculated using the Standard Formula (SF). The proposals complement recent Solvency II reforms, which streamline reporting obligations by ensuring they are tailored to the PRA’s supervisory needs.

1.2 The PRA proposes to introduce liquidity reporting requirements for major life insurers as part of its response to prominent market stress episodes such as the ‘dash for cash’ at the onset of the Covid-19 pandemic in March 2020, and the liability-driven investment (LDI) crisis in September 2022. These episodes led to derivative driven liquidity strains for some insurers, as well as highlighting gaps in insurers’ liquidity risk frameworks. During the stresses, the PRA identified deficiencies in firms providing accurate data in a timely manner and was therefore limited in determining the full scope and nature of their liquidity risk exposures in real time, individually or relative to peers. These information gaps made it significantly more challenging for the PRA and for firms themselves to measure the risk and take appropriate action.

1.3 If implemented, the proposals would ensure the PRA has access – in advance of potential market stresses – to more timely, consistent, and accurate information on the liquidity positions of large UK insurers with the most significant exposures to liquidity risk. The proposals would also ensure the PRA can require these firms to report daily on targeted aspects of their liquidity positions during a crisis. The PRA considers that the proposed reporting would be critical for improving its ability to manage liquidity-related risks to its primary objectives of safety and soundness and policyholder protection, as well as enhancing financial stability in the UK. After engaging with firms and reviewing their feedback, the PRA considers that its proposals are proportionate to the risks identified in recent market stresses.

1.4 The liquidity reporting proposals in this CP would support the PRA’s micro prudential supervision of liquidity risk. The proposals sit alongside broader efforts to monitor macroprudential vulnerabilities resulting from liquidity risks at insurers and other types of non-bank financial institution (NBFI). This includes a Bank of England exercise to understand NBFI behaviour during stress using a system-wide exploratory scenario (SWES), and the Financial Stability Board’s work on NBFI preparedness for margin and collateral calls Opens in a new window.

1.5 In line with its proportionate approach to reporting, the PRA also proposes in this CP to reduce its expectations for solvency reporting from some life insurers. Since the introduction of Solvency II on 1 January 2016, the PRA has expected firms with IM permissions to submit the SF SCR annually as one of a suite of available metrics that the PRA uses to monitor model drift. The PRA considers that the SF SCR may be less effective in detecting model drift in internal models for life insurance firms. The PRA considers that the changes proposed in this CP would lower the reporting cost on IM life insurance firms, while not negatively impacting the PRA’s ability to advance its primary objectives of safety and soundness and policyholder protection.

1.6 The proposals in this CP would result in:

amendments to the Reporting Part of the PRA Rulebook (Appendix 1);
the introduction of four new reporting templates and instruction files (Appendix 2); and
amendments to supervisory statement (SS) 15/16 – Solvency II: Monitoring model drift and standard formula SCR reporting for firms with an approved internal model (Appendix 3)

1.7 The policy proposals included in this CP are:

the introduction of new liquidity reporting requirements with four accompanying reporting templates and instruction files; and
the removal of the expectation for IM life insurance firms to report the SF SCR annually via the SF.01 template.

1.8 The proposals in this CP are relevant to UK Solvency II firms (‘firms’). The liquidity reporting requirements would only apply to a subset of larger UK Solvency II firms, in accordance with the thresholds proposed in Chapter 2. They would not apply to the Society of Lloyd’s and its managing agents, third-country branches, or non-Solvency II firms. The proposed changes to SF.01 reporting expectations apply to life insurers with IM permissions, including those with partial internal models. This covers all the larger UK Solvency II firms to which the proposed liquidity reporting requirements are expected to apply. Therefore, all firms impacted by the proposed liquidity reporting requirements will derive some benefit from the changes to SF.01 reporting expectations. The PRA does not propose to change the annual SF.01 reporting expectation for non-life and composite insurance firms with IM permissions.

1.9 The PRA has a statutory duty to consult when introducing new rules (Financial Services and Markets Act (FSMA) section 138J), or new standards instruments (FSMA section 138S). When not making rules, the PRA has a public law duty to consult widely where it would be fair to do so.

1.10 The PRA consulted the Insurance Practitioner’s Panel in March 2023 about proposals to introduce new requirements relating to liquidity.

1.11 The PRA consulted the Cost Benefit Analysis (CBA) Panel in November 2024 for the proposals in this CP. The Panel provided feedback on the way the draft CBA: analysed the prudential benefits of the proposals and the options they created for PRA supervision, considered sensitivities in the range of firms’ cost estimates, and explained the alignment between the proposals and international standards on insurance supervision. The CBA in this CP reflects the Panel’s feedback.

1.12 In carrying out its policymaking functions, the PRA is required to comply with several legal obligations. The analysis in this CP explains how the proposals have had regard to the most significant matters, including an explanation of the ways in which having regard to these matters has affected the proposals.

Structure of the CP

1.13 The proposals in this CP cover two areas of reporting policy. The CP is structured as follows:

Chapter 2: background to the PRA’s policy proposals.
Chapter 3: the PRA’s proposals to introduce new liquidity reporting requirements for a subset of UK insurance firms.
Chapter 4: analysis supporting the PRA’s statutory obligations in respect of its liquidity reporting proposals.
Chapter 5: the PRA’s proposals to remove the expectation for IM life insurers to report the SF SCR annually using the SF.01 template including analysis supporting the PRA’s statutory obligations.

Implementation

1.14 The PRA proposes that the implementation date for any changes resulting from this CP would be Wednesday 31 December 2025.

1.15 The PRA does not intend to use SF SCR figures provided by IM life insurance firms under SF.01 while this proposal is under consultation. Therefore, as a temporary measure beginning on the date of the publication of this CP, the PRA has decided that, unless requested by the PRA, the deadline for IM life insurance firms to submit the SF.01 template for YE2024 has been extended to 15 September 2025. This will allow time for the PRA to consider the consultation responses and determine whether to implement the policy proposed. The measure is temporary, and no policy decision has been or will be taken in respect of the removal of the expectation to submit the SF SCR figures annually for IM life insurance firms until the end of the consultation and completion of the PRA’s policy-making processes.

Responses and next steps

1.16 This consultation closes on Monday 31 March 2025. The PRA invites feedback on the proposals set out in this consultation. Please address any comments or enquiries to CP19_24@bankofengland.co.uk.

1.17 When providing your response, please tell us whether or not you consent to the PRA publishing your name, and/or the name of your organisation, as a respondent to this CP.

1.18 Please also indicate in your response if you believe any of the proposals in this consultation paper are likely to impact persons who share protected characteristics under the Equality Act 2010, and if so, please explain which groups and what the impact on such groups might be.

2: Background

2.1 In this CP, the PRA proposes reforms to the insurance reporting framework following the recent conclusion of the Review of Solvency II.

2.2 The PRA concluded the Review of Solvency II in November 2024.^{footnote [1]} These reforms and rule restatements provided a more streamlined and flexible regulatory regime for insurers, enabling opportunities for productive investment in the UK. The Review of Solvency II included two phases of reporting and disclosure reforms, which removed a substantial volume of templates from the existing reporting package. The review also included broader reforms affecting many of the firms in scope of this CP, such as the streamlining of internal model tests and standards, a simplification of the transitional measure on technical provisions (TMTP), and the introduction of a more efficient application process for the Matching Adjustment (MA).

2.3 By streamlining reporting through the Review of Solvency II, the PRA aimed to ensure its requirements were more appropriately tailored to its supervisory needs and to the specific features of the UK insurance sector. The PRA has the same aims for the proposals in this CP to introduce new liquidity reporting requirements, as these proposals are designed to ensure the PRA would collect new information that is appropriately tailored to facilitate more effective supervision of the liquidity risks faced by major UK life firms.

Liquidity risk for UK insurers

2.4 In this CP, liquidity risk means the risk that a firm is unable to realise investments and other assets in order to settle financial obligations when they fall due.^{footnote [2]} The PRA describes its expectations for effective management of liquidity risk in Supervisory Statement (SS) 5/19 – liquidity risk management for insurers, which remains an important part of the PRA’s supervision of liquidity risk management.^{footnote [3]}

2.5 Drawing on its experience of market liquidity stresses, engagement with UK insurance firms, and consideration of international bodies’ assessments and analysis, the PRA has identified the need to supplement the expectations set out in SS5/19 Opens in a new window by closing gaps in its reporting framework with respect to liquidity risk. In this CP, the PRA proposes to close the gaps by collecting timely, consistent, and comparable data on the liquidity positions of large UK insurers. Collecting this information would facilitate meaningful analysis and peer comparison, both in good times and in stress. It would also enable the PRA to consider the prudential case for a minimum liquidity requirement in the future.

2.6 UK life insurers are increasingly using derivatives and other financial instruments to manage various risks to their businesses. For instance, the gross notional derivatives exposure of UK life firms has more than doubled to £1.4 trillion since 2018 (see Chart 1 in Chapter 3). These instruments can be a significant source of liquidity risk because they can require firms to increase margin or collateral payments when market conditions change, resulting in rapid and substantial outflows. The impact on individual insurers can be material, depending on the size of their derivative positions and their level of preparedness for margin calls.

2.7 The PRA highlighted liquidity risk in the 2024 insurance supervisory priorities letter Opens in a new window. In the letter, the PRA pointed to the role that derivatives played in a number of liquidity shocks impacting life insurers and set out plans to develop new liquidity reporting requirements as a way of gathering information about liquidity risk exposures on a more consistent and timely basis.

2.8 Market stresses over the last five years have given the PRA the opportunity to assess liquidity risk management in practice. These stresses, and in particular the two highlighted below, have revealed shortcomings in life insurers’ liquidity risk management frameworks and exposed critical gaps in liquidity reporting to the PRA:

‘Dash for cash’ – during the uncertain early stages of the Covid-19 pandemic in March 2020, market participants sought to protect their finances by selling riskier investments and even safer assets like government bonds. This sudden ‘dash for cash’ meant there was significant volatility in market pricing, leading to spikes in margin and collateral calls under derivatives contracts held by UK insurers – significantly increasing liquidity risk.
LDI episode – in September 2022, a UK fiscal policy announcement triggered a sudden fall in gilt prices, which was then amplified by forced selling from LDI funds. The resulting movements in gilts and sterling meant UK insurers needed to raise a material amount of liquidity to meet margin calls on derivative positions initiated as hedges for interest rate and foreign exchange (FX) risks Opens in a new window.

2.9 The PRA notes that securities financing transactions (SFTs) also contributed to the pressure on LDI funds and pension funds during the LDI episode. The fall in gilt prices meant these funds had to post additional collateral against their SFTs, increasing liquidity demands at a time when the funds’ assets were also declining in value. In this CP, the PRA defines SFTs as transactions where securities are used to secure funding for activities – specifically, via (reverse) repurchase agreements or securities lending and borrowing. Though insurer liquidity was mostly affected by derivative exposures during the LDI episode, the PRA notes that SFTs could increase liquidity strains in the future through short-term changes in collateral demands or repayment obligations – the effect of which would depend on the size of positions held by firms.

2.10 In November 2024, the Bank of England published the results of a system-wide exploratory scenario (SWES) – an exercise that was designed to improve its understanding of the way banks and NBFIs behave in stress and how those stresses might amplify shocks in UK financial markets that are core to UK financial stability. Insurers faced significant liquidity needs in the SWES, comparable to the liquidity demands faced during the LDI episode. They would have mostly met their liquidity demands using eligible securities as collateral, including by posting corporate bonds, which for many insurers is permitted under the terms of the credit support annexes (CSAs) of their contracts with banks. A small number of insurers would have had to restore their asset buffers by selling securities, in some cases after breaching their individual, internal risk tolerance limits. The findings of the SWES reinforced that risk monitoring and new policy initiatives such as liquidity reporting for insurers were important for ensuring NBFI resilience and reducing the potential for market stress and spillover effects.

2.11 The Bank has also considered measures to support NBFI resilience, which complement the liquidity reporting proposals set out in this CP. For instance, the Bank has announced plans to develop a Contingent Repo Facility for NBFIs (CNRF), including insurance companies, to expand its toolkit to intervene when liquidity-related dysfunction threatens financial stability.^{footnote [4]}

International regulatory context

2.12 Internationally, standard setters have in recent years recognised the growing importance of monitoring and better understanding liquidity risks faced by insurers and other NBFIs – including in respect of margin and collateral flows.

2.13 The International Monetary Fund (IMF), as part of its Financial Sector Assessment Programme (FSAP) of the UK, published a report in April 2022 Opens in a new window evaluating the UK’s alignment with the International Association of Insurance Supervisors’ (IAIS) Insurance Core Principles (ICPs), a global framework for insurance supervision. In respect of ICP 9, the IMF recommended the UK could improve its alignment by expanding ‘supervisory reporting on liquidity, including flow data’ and by fostering ‘consistency and adherence to harmonised definitions’.^{footnote [5]} The IMF also noted that liquidity analysis in the UK was impeded by a lack of consistent data on short-term cash flows under Solvency II, and that derivatives data need ‘to be further enhanced and quality-checked to allow for the monitoring of margin call risks’.

2.14 Several international jurisdictions collect additional and more granular information than the UK collects currently to monitor the liquidity risk of insurers, including in respect of lapse and surrender risks, where relevant given common product features in those jurisdictions. The EU updated its reporting framework Opens in a new window in 2023 to require member states to provide harmonised information on lapse and surrender rates from insurers. Requirements in Belgium and France include a higher standard than the minimum for the EU Solvency II regime, with national specific templates designed to collect further information on flows and provisions for life insurance contracts. The US conducts annual stress tests that consider the sensitivity of liquid asset values, insurance claims and premiums, and derivative flows to market changes as projected over one month, three month and 12-month time horizons.

2.15 In April 2024, the Financial Stability Board (FSB) published a consultation on a series of high-level policy recommendations aimed at enhancing NBFIs’ liquidity preparedness for margin and collateral calls in derivatives and securities markets Opens in a new window. The FSB’s consultation paper followed up on the findings from a 2022 review of margining practices by the Basel Committee on Banking Supervision (BCBS), the Bank for International Settlements’ Committee on Payments and Market Infrastructure (CPMI), and the International Organisation of Securities Commissions (IOSCO), which also outlined the need for further work internationally to identify which additional regulatory disclosures or data could provide regulators with a more comprehensive view of NBFIs’ preparedness for margin requirements.^{footnote [6]}

2.16 The FSB published a report on depositor behaviour and interest rate and liquidity risks in the financial system Opens in a new window in October 2024.According to the report, ‘when considering the susceptibility to margin and collateral calls following an increase in interest rates, life insurers appeared more exposed than other entities’. The report concluded that life insurers were one of the three types of entities that are most vulnerable to solvency and liquidity risk in an environment of higher interest rates, alongside certain banks and non-bank real estate investors.

2.17 In November 2022, the International Association of Insurance Supervisors (IAIS) finalised the development of a series of liquidity metrics as a tool for monitoring liquidity risk in the global insurance industry Opens in a new window.

2.18 In October 2024, the European Insurance and Occupational Pensions Authority (EIOPA) issued a consultation paper proposing new requirements for insurer liquidity risk management plans Opens in a new window, including obligations for certain firms to develop medium-term and long-term analyses in their plans.

External engagement

2.19 During its review of Solvency II, the PRA sought to engage with industry and gather a broad range of views and information from firms. To this end, the PRA established a series of subject expert groups (SEGs) comprising industry experts on specific policy matters. The PRA used the information gathered through the SEGs to inform its policy development.

2.20 While developing its liquidity reporting proposals, the PRA had regular meetings with industry representatives via a subject expert group on liquidity (L-SEG). The PRA established the L-SEG after it held a roundtable in March 2024 to discuss the sources of insurer liquidity risk, the PRA’s existing liquidity risk management framework Opens in a new window, and its stated plans to develop liquidity reporting requirements.

2.21 The PRA used interactions with industry experts in the L-SEG meetings to further its understanding of insurance liquidity risk, including the relevance, value and cost of providing data over different time horizons and reporting frequencies. The PRA also discussed its insurer liquidity reporting arrangements as part of regular executive breakfast meetings. It has taken on board the feedback from firms when developing the proposals set out in this CP.

3: Liquidity reporting: The PRA’s proposals

3.1 This chapter sets out the PRA’s proposals to enhance liquidity reporting requirements for insurers by introducing four new templates for large insurance firms with significant exposure to derivatives or securities involved in lending or repurchase agreements.

3.2 In normal market conditions, the PRA currently collects a very limited amount of standardised information from insurance firms that is relevant for monitoring liquidity risk. For instance, the PRA receives very little information on margin and collateral flows and the sensitivity of derivative positions to changes in market conditions from existing regulatory reporting. Where firms do submit information to the PRA that is relevant to liquidity risk, they report this information infrequently and with significant delay. In particular, firms provide the PRA with:

Position-by-position details about derivative exposures on a quarterly basis via IR.08.01, with a 30-business day remittance period. The information has minimal value for assessing changes in derivative positions over the short term, given liquidity stresses generally materialise over days or weeks. Indeed, as noted in Chapter 2, the IMF has recommended the UK collect more information on derivative exposures at insurers to allow for the monitoring of margin call risks.
A list of assets on a position-by-position basis via IR.06.02, also on a quarterly basis with a 30-business day remittance period – meaning the information risks being out of date when market stresses materialise. Further, data cannot be mapped to ring-fenced funds, making it difficult to assess restrictions on the fungibility of firms’ assets.
Where relevant, high-level information on gross insurance cash flow projections for life insurance policies, via reporting template IR.13.01. These projections are only required annually, meaning the PRA lacks information about the distribution of life insurance claims and premiums throughout the year. The reporting also provides no information about surrenders, partial surrenders or maturities.

3.3 The PRA currently relies on firms’ management information (MI) to address these data gaps. However, as this is firm-specific, the content and frequency of submissions vary between firms making it difficult for supervisors to compare liquidity positions across insurers or understand the extent to which firms are sensitive to different changes in market variables. This means the PRA cannot compare liquidity preparedness across insurers or analyse their potential vulnerabilities to market shocks. Firms and the PRA also lack a shared language for engaging on liquidity risk, such as a common understanding of what should constitute a liquid asset.

3.4 Recent events such as the ‘dash for cash’ during the Covid-19 pandemic in March 2020, and the LDI shock in September 2022, have highlighted that existing regulatory reporting – as supplemented by firm MI – is insufficient to give the PRA timely, consistent and comparable information on insurance firms’ liquidity risk exposures and liquidity positions.

3.5 The LDI episode crystallised quickly over four trading days towards the end of a quarter, meaning that quarterly data from existing reporting was nearly three months out of date at the time of the shock. The PRA lacked information on liquidity risk exposures going into the LDI episode, both for individual insurers and the sector as whole. It had limited information to understand firms’ ability to cope with increasing margin calls and assess which market scenarios might result in margin calls becoming unsustainable for firms. This made it difficult for supervisors to prioritise issues and allocate resources appropriately. The PRA was forced to rely on ad-hoc data requests to complement existing reporting, but soon realised that requiring firms to provide additional information during a stress, when resources are already strained, can be burdensome for firms and may lead to lower quality submissions, reducing the reliability of the conclusions drawn from them.

An image showing the rationale for liquidity reporting reform

3.6 The PRA proposes to collect information about liquidity positions on a systematic basis in advance of potential future market stresses. It also proposes to collect a limited subset of targeted reporting at a daily frequency during periods of elevated risk. Specifically, the PRA proposes to introduce new requirements for insurance firms to report:

monthly information on cash flows, liquid assets, and the impact of changes in credit or market conditions (a ‘cash flow mismatch template’);
a monthly subset of the information included in the cash flow mismatch template described above, which could be required every business day in the event of firm-specific liquidity stress or market liquidity stress (a ‘cash flow mismatch (short form) template’);
annual information on available credit facilities (a ‘committed facilities template’); and
quarterly information showing how changes in market variables affect the liquidity position (a ‘liquidity market risk sensitivities template’).

3.7 The PRA considers that UK insurers are most significantly exposed to liquidity risk through their use of financial instruments, particularly derivatives, which can expose firms to fast-moving margin and collateral calls. Though SFTs have not had a substantial contribution to recent liquidity strains at UK insurers, the PRA notes that, where material, these transactions can also create liquidity risk by increasing short-term collateral or repayment demands on firms.^{footnote [7]} To ensure its reporting requirements would only apply to UK insurers with a potentially material exposure to liquidity risk, the PRA proposes to introduce thresholds that restrict the application of the requirements to large firms making significant use of derivatives or SFTs (see ‘Reporting thresholds’ section below).

3.8 The proposals would ensure the PRA has sufficient information to supervise large firms and monitor liquidity risk more effectively in the insurance sector, both in normal times and in stress. The PRA would have timely access to granular data on the cash flows that expose firms to short-term liquidity needs. It would also have information on the availability of liquid assets that could be used to meet these liquidity demands, as well as information on the market variables that could lead to material outflows. This information would enable the PRA to assess the soundness of firms’ liquidity positions and ensure the PRA can engage with firms to address their vulnerabilities in advance of market stresses. It may also help firms manage their own liquidity positions and decide on appropriate risk management actions. Further, firms would be required to provide liquidity information to the PRA on a consistent basis, which would facilitate comparisons between firms and foster a common understanding of liquidity risk within the insurance sector.

3.9 The PRA considers that its proposed reporting collection is proportionate to the level of liquidity risk faced by insurers compared with other institutions, such as banks and building societies. By way of comparison, the PRA’s proposed liquidity reporting templates contain about 3,000 data cells, whereas the equivalent template for banks and building societies contains about 90,000 data cells. Though large banks may be required to report all 90,000 data points daily during stress, the PRA proposes that insurers only shift to daily reporting for about 150 key data points contained in the cash flow mismatch (short form) template.

3.10 The proposals in this chapter would result in changes to the requirements set out in the Reporting Part of the PRA Rulebook (Appendix 1). The proposals would introduce four new reporting templates and instruction files (Appendix 2). The PRA provides further detail on the individual proposals for the new templates and reporting thresholds in separate sections below.

Cash flow mismatch template

3.11 The PRA proposes to introduce a new requirement for firms to report on expected and contractual cash inflows and outflows, unencumbered assets, and certain contingent liquidity demands in a ‘cash flow mismatch’ template. The PRA considers that the cash flow mismatch template would improve its ability to assess a firm’s liquidity adequacy, both in benign conditions and in stress.

3.12 Firms currently have varied approaches to monitoring liquidity risk, which rely on different assessments of liquid assets and consider exposures to outflows over different time horizons. Using the cash flow mismatch template, the PRA proposes to collect a standard set of information on cash flows and liquid assets over consistent time horizons and based on common contingencies. The PRA considers that its cash mismatch template would therefore improve its ability to assess liquidity risk exposures and make effective comparisons between firms. It would also contribute to a common understanding of liquidity risk in the insurance sector.

3.13 By collecting data across frequent time steps, the PRA considers that its cash flow mismatch template would help it to monitor potential cash flow mismatches that could arise over short time horizons. The PRA would require firms to use the cash flow mismatch template to report information about its assets and cash flows over various time steps, both backward-looking, to identify deviations from expectation, and forward-looking, to act as an early warning indicator for potential stress.

3.14 The cash flow mismatch template would cover a range of information related to a firm’s liquidity position, including:

cash flows resulting from insurance and reinsurance contracts, debts and other financial contracts;
counterbalancing capacity provided by investments; and
outflows contingent on external events such as downgrades or market shocks.

3.15 In view of the issues mentioned above, the PRA’s key considerations when developing its proposals for a cash flow mismatch template were:

Backward-looking data: This information is important for identifying when liquidity stresses are beginning to materialise. The cash flows from financial contracts can change rapidly, impacting a firm’s liquidity position, so the PRA considers it appropriate to collect backward-looking information on these contracts over short time steps. The PRA also judges that information on insurance and reinsurance contracts would be valuable in helping the PRA track how insurance business contributes to liquidity risk over time. The PRA recognises, however, that cash flows from UK insurance contracts are generally more stable and therefore proposes to collect this information with less granularity, over longer time steps.
Forward-looking data: Some insurers are significant users of derivatives and other financial contracts that they may be required to settle quickly. As a result, the PRA considers it necessary to identify potential cash flow gaps over short intervals. The PRA acknowledges, however, that key drivers of acute short-term liquidity needs are likely to be relatively short-lived. It therefore proposes to collect information on these cash flows in daily time steps for the first week after the reporting date. Over longer horizons, the PRA expects that cash flow mismatches will be less volatile and therefore proposes to collect information in less frequent time steps. As above, the PRA recognises that cash flows relating to insurance and reinsurance contracts are generally more stable and has reflected this through reduced granularity of the time steps.
Granularity of information on counterbalancing capacity: The PRA considers that the potential to realise an asset, through outright sale or to collateralise a transaction such as repurchase agreement or derivative position, will depend on a number of factors. The factors include asset class, credit rating, residual maturity and sector – particularly where the assets have been issued by financial sector firms. These factors are important in assessing a firm’s liquidity position because they may affect the potential discount or haircut on the asset at the point of sale. The PRA therefore proposes to collect granular information on a firm’s asset holdings – taking account of these factors – as a way of ensuring it can estimate the realisable value of a firm’s assets more reliably.

3.16 The PRA proposes that firms must submit the cash flow mismatch template monthly, with a 10-business day remittance period (T+10). The PRA recognises that liquidity stresses can develop quickly, particularly when short-term changes in market conditions significantly increase a firm’s collateral, margining or repayment obligations in respect of their financial contracts. The PRA considers that the information in the cash flow mismatch template should therefore be available frequently, enabling supervisors to respond on a timely basis when there are early warnings of a significant increase in liquidity risk.

3.17 UK Solvency II firms (solo entities) may have multiple ring-fenced funds (RFFs) or matching adjustment portfolios (MAPs), which could limit the fungibility of liquidity around the firm. The PRA therefore proposes that firms submit the cash flow mismatch template for each individual RFF, MAP, and the remaining part of the firm, giving a more accurate representation of the availability and location of liquidity within a solo entity. The PRA may consider removing immaterial funds from the scope of reporting, in view of proportionality.

3.18 Table 1 provides a simplified summary of the information required by the cash flow mismatch template. The PRA has included a full version of the draft cash flow mismatch template and accompanying instructions in Appendix 2.

The PRA proposes to collect information on potential mismatches in inflows and outflows

Cash flow mismatch (short form) template

3.19 The PRA proposes to introduce a requirement for firms to submit a short form version of the cash flow mismatch template, alongside the full version of the template. The short form template would include a subset of data on the fastest-moving drivers of liquidity strain at insurers. The data subset is the information the PRA considers to be most useful in a stress situation, based on its experience during market stresses over the last five years.

3.20 In the event of a firm specific liquidity stress or a general market liquidity stress event, the PRA proposes that it could require firms to submit the cash flow mismatch (short form) template every business day. This would give the PRA the necessary information, in a timely manner, to ensure that it can carry out its supervisory functions effectively and minimise any resulting risks to its primary objectives of safety and soundness and policyholder protection.

3.21 In normal market conditions, the PRA proposes to require firms to submit the cash flow mismatch (short form) template monthly, with a one-business day remittance period (T+1). The PRA considers that the shorter remittance period would ensure that firms are prepared for the potential for accelerated daily reporting. As with the full cash flow mismatch template – and for the same reasons – the PRA would require firms to submit the short form template for each individual RFF, MAP, and the remaining part of the solo entity.

3.22 The PRA considers that the cashflow mismatch (short form) template includes a proportionate set of information that would be beneficial for measuring liquidity risk and providing a consistent basis for firm comparisons in times of stress. By ensuring it can collect this information daily, the PRA considers that its proposals would contribute to a more effective and time-efficient management of potential liquidity crises compared with an approach based solely on ad-hoc and improvised firm engagement during a fast-moving stress scenario.

3.23 Table 2 provides a simplified summary of the information required by the cash flow mismatch (short form) template. The PRA has included a full version of the draft cash flow mismatch (short form) template and accompanying instructions in Appendix 2.

The PRA proposes to collect information on potential mismatches in inflows and outflows

Committed facilities template

3.24 The PRA proposes to introduce a requirement for solo firms and groups to report on committed credit and liquidity facilities. Committed facilities are potentially useful contingency actions that firms can use to recover from a liquidity stress. The PRA would look to use the information in the committed facilities template in its assessment of recovery plans and actions.

3.25 The PRA considers that the committed facilities template would provide important additional information about any significant contingent sources of liquidity that may be available to a firm in a stress scenario, beyond the information on unencumbered assets that is included in the proposed cashflow mismatch template. The PRA proposes to require firms to submit the committed facilities template at both the solo and group level, as groups may hold facilities at the parent level to maintain the flexibility to use the money where most needed within the group.

3.26 The PRA would require firms to use the proposed template to report on all committed credit and liquidity facilities received from third parties with a total committed amount that is greater than £10 million – or the foreign currency equivalent. The PRA proposes a floor of £10 million on the total committed amount of facilities to ensure the reporting remains proportionate by only capturing more material sources of funding that might be available to insurers if they have significant liquidity demands during stress.

3.27 The PRA proposes that firms must submit the committed facilities template annually, with a 70-business day remittance period (T+70), in line with other annual reporting obligations. The PRA considers that it is sufficient to receive the committed facilities template annually – rather than on a more frequent basis – because the PRA does not generally expect that there would be significant variation throughout the year in the number or composition of facilities with total committed amounts greater than £10 million. The template would collect information on various aspects of the facilities, including on the lender, the contractual payment and maturity date, any requirement for collateral, and the total amount still available through the facility. The PRA considers that the information would enable it to estimate the extent to which firms may be able to draw down significant additional liquidity in times of stress.

3.28 Table 3 provides a simplified summary of the information required by the committed facilities template. The PRA has included a full version of the draft committed facilities template and accompanying instructions in Appendix 2.

The PRA proposes to collect information on facilities that may be available in stress.

Liquidity market risk sensitivities template

3.29 The PRA proposes to introduce a requirement for solo firms to report on the sensitivity of their assets and collateral demands to changes in market conditions via a liquidity market risk sensitivities (L-MRS) template. The PRA would use this information to identify potential vulnerabilities in a firm’s liquidity position and that of the broader sector.

3.30 The PRA proposes to require firms to use the proposed L-MRS template to report on the sensitivity of the value of unencumbered assets to changes in market conditions, including in respect of government bonds, investment grade corporate bonds, and shares. The PRA would also require firms to use the template to report on the sensitivity of variations in the mark-to-market value of derivatives, as well as the value of the collateral held in respect of derivatives, securities financing transactions, or reinsurance contracts, to changes in market conditions. By focusing on the value of key elements for a firm’s liquidity position, the PRA considers that its template would enable it to estimate in an efficient way whether certain changes in market conditions might give rise to the potential liquidity strains.

3.31 The PRA specifies the changes in market conditions that firms should use as sensitivities for the L-MRS template in the instructions file included with this CP (Appendix 2). Sensitivities include changes to interest rates, sterling exchange rates, inflation, government bond spreads, and corporate bond credit spreads, as compared with market conditions at the time of reporting. The PRA recognises that the sensitivities are simple and do not account for correlated stresses. However, the PRA considers that the information would be useful for isolating potential risk drivers. The proposed sensitivities for the L-MRS template would also complement the PRA’s existing market risk sensitivities (MRS) used for monitoring potential vulnerabilities in firms’ solvency positions.

3.32 The PRA proposes that firms must submit the L-MRS template quarterly, with a 30-business day remittance period (T+30). This would mean that firms complete L-MRS returns more frequently than the existing solvency MRS, which they submit half-yearly. The PRA considers that it is important to require liquidity MRS on a more frequent basis, because it expects that firms’ liquidity sensitivities will change more quickly than their solvency sensitivities. The PRA would therefore require updates to the information on a regular basis to ensure it can continue to monitor liquidity risk effectively and responsively over the course of a year.

3.33 The PRA proposes that firms would submit the L-MRS template for the solo entity only. This would generally align the proposed template with level of reporting required for existing MRS reporting and would ensure the PRA has access to additional information about sensitivities to liquidity risk at the solo level, complementing the more granular information that would be collected at fund and portfolio level via the proposed cash flow mismatch templates.

3.34 Table 4 provides a simplified summary of the information required by L-MRS template. The PRA has included a full version of the draft L-MRS template and accompanying instructions in Appendix 2.

The PRA proposes to collect information on market risk sensitivities in liquidity positions

Reporting thresholds

3.35 The PRA proposes that the new reporting requirements described in this chapter would only apply to solo UK Solvency II firms with assets that have exceeded £20 billion on average over the previous three quarterly reporting periods – excluding assets held for index or unit-linked contracts. This measure would be defined by information provided via reporting template IR.02.01 (columns and rows C0010/R0500, minus C0010/R0220).

3.36 As well as meeting the £20 billion asset threshold, the PRA proposes that UK Solvency II firms would only be required to apply the new reporting requirements set out in this chapter if they also meet one or both of the following thresholds at any reporting period end date:

gross notional value of derivatives contracts exceeding £10 billion, as defined by template IR.08.01 (C0130) and excluding those held in index or unit-linked contacts (C0080); or
total value of on and off-balance sheet securities involved in lending or repurchase agreements exceeding £1 billion, excluding those held for index or unit-linked contracts.

3.37 The PRA considers that large firms are more likely to face substantial liquidity demands and their stress is more likely to cause spillover effects for other PRA-regulated entities. The PRA considers that £20 billion is appropriate measure of significant size in the insurance sector, as firms with more than £20 billion in assets account for about 70% of the total asset base of the UK insurance sector.^{footnote [8]} A £20 billion asset threshold would also align with one of the thresholds at which a bank is no longer considered a ‘small domestic deposit taker’ under the PRA’s Strong and Simple Framework.^{footnote [9]} The PRA proposes to measure compliance with the asset threshold using an average value over the last three quarterly reporting periods to ensure that firms would not move in or out of the scope of the requirements suddenly or unexpectedly. The PRA considers that its proposal would therefore help firms with close to £20 billion in assets to have more certainty over their regulatory reporting requirements.

3.38 The PRA proposes to narrow the scope of its proposed reporting requirements further by focusing on large firms that have greater contingent exposure to liquidity risk through their use of specific types of financial instruments. As noted above, the PRA considers that margin and collateral calls and other short-term payment demands are particularly significant drivers of liquidity risk for UK insurers. The PRA has therefore focused its additional threshold proposals on derivatives and SFT exposures, as relevant measures of short-term liquidity risk. The PRA considers that firms with more than £1 billion of securities involved in SFTs have a material exposure to short-term funding, such that they could face significant liquidity demands if required to post additional margin or repay borrowers over short term. The PRA further considers that £10 billion is an appropriate threshold for derivatives exposure. This is much higher than the SFT threshold because the PRA proposes a gross notional measure to capture the full extent of a firm’s derivative position, rather than its perceived market risk exposure – which may underestimate potential liquidity demands.

3.39 Having met the reporting thresholds, the PRA proposes that firms would continue to submit the proposed returns for three years before they can fall out of scope to ensure stability in the requirements. The proposed reporting thresholds are set out in full in the PRA’s draft amendments to the Reporting Part of the Rulebook (Appendix 1).

3.40 The PRA considered other options for limiting the scope of application of its proposals, including using scenarios to identify which firms are most exposed to liquidity risk. The PRA judged that it would be more practical and proportionate to use thresholds based on straightforward measures relating to size and financial exposures, because this alternative option would require a new process of regular scenario testing to determine whether firms are required to comply with the proposed requirements. Further, the PRA also judged that it would be appropriate to exclude other, smaller firms from the proposed reporting on the basis that the value of requiring them to submit the information would be less proportionate to its cost of production – in view of their smaller size and complexity, or their lesser exposure to potential margin, collateral, or repayment demands.

3.41 The PRA has excluded assets and derivatives held in index and unit-linked funds from its proposed threshold measures because policyholders bear the investment and liquidity risks associated with the funds, rather than insurance company. The PRA considers that its proposed thresholds should focus on measuring the extent to which firms themselves may be exposed to liquidity risk as part of the day-to-day management of their financial positions.

3.42 For the avoidance of doubt, the PRA would apply the proposed reporting thresholds retrospectively. In other words, firms would be subject to the requirements if they meet the thresholds at the proposed implementation date of 31 December 2025, based on their balance sheet over the three quarterly reporting periods prior to implementation.

3.43 The PRA’s proposals would not apply to the Society of Lloyd’s or its managing agents on grounds of proportionality, recognising that liquidity risk management practices begin at the level of syndicates.

4: Liquidity reporting: The PRA’s statutory obligations

PRA objectives analysis

4.1 The proposals set out in this CP would advance the PRA’s primary objectives of safety and soundness and policyholder protection by improving the PRA’s framework for monitoring and supervising liquidity risk at large insurance firms. Liquidity risk has increased for large life insurers in recent years amid significant growth in derivatives usage, which leaves firms more exposed to fast-moving margin and collateral demands (see Chart 1). As revealed by market stresses like the ‘dash for cash’ and the LDI episode, current regulatory returns do not give the PRA sufficiently detailed or regular information on the granular cash flows that form the basis of liquidity risk for large insurance firms. They also provide limited evidence about firms’ vulnerability to liquidity shocks when market conditions change. The PRA’s proposals would ensure it has access to crucial data about assets and cash flows on a consistent and timely basis, which would facilitate a more effective supervisory response to actual and potential liquidity risks. In this way, the PRA considers that its proposals would improve its ability to address vulnerabilities at firms, promoting their safety and soundness and protecting policyholders from risks related to liquidity stresses.

4.2 The PRA has assessed whether the proposals in this chapter facilitate its secondary objective on effective competition. The PRA considers that its proposals would enable a more consistent and transparent approach to the supervision of liquidity risk. They would give the PRA access to the same information about all in scope firms, which would level the playing field between affected firms and facilitate more effective competition by ensuring the PRA can supervise firms on the basis of their risk exposures rather than on the basis of a heterogeneous set of available information. The PRA also considers that its proposals support competition by ensuring that smaller firms, with lesser resources and less material exposures to key sources of liquidity risk, would not fall in scope of the reporting requirements.

4.3 The PRA has also assessed whether the proposals in this chapter facilitate its secondary objective on the international competitiveness, and growth of the economy in the medium to long term. The PRA considers that its proposals would help to reduce the risk that large insurance companies fail as a result of liquidity shocks, which would underpin confidence in the UK insurance sector and the ability of firms to provide long-term capital for investment – in support of the medium to long-term growth of the UK economy. As noted in the ‘Background’ section of Chapter 1, other jurisdictions collect additional and more granular information than the UK to monitor the liquidity risk at insurers. Having considered the specific nature and risks of the UK insurance sector, the IMF has recommended that the UK expands its supervisory reporting on liquidity – including in respect of flow data – as a way of improving its adherence to ICP 9 of the IAIS’s global supervisory framework. The PRA therefore considers that the proposals in this CP would align the UK more closely with international standards, promoting the UK’s competitiveness by protecting its reputation as a leading jurisdiction in the area of insurance regulation and supervision.

Cost benefit analysis (CBA)

4.5 This cost benefit analysis (CBA) considers the impact of introducing liquidity reporting requirements in line with the proposals set out in this chapter, compared with a baseline under which the PRA does not introduce consistent and timely liquidity reporting requirements and continues to rely on ad-hoc information to supervise liquidity risk at life insurers in normal times and during stress.

4.6 The PRA has analysed the costs and benefits of its proposals using information from a range of sources, including information provided by firms to support the PRA’s work on liquidity reporting, and engagement with representatives of firms as part of regular subject expert group meetings during 2024.

4.7 The PRA has consulted the CBA Panel (‘the Panel’) on the preparation of this CBA. The PRA submitted a draft CBA for the Panel to review prior to a meeting to discuss its feedback and advice. The Panel provided feedback on the CBA, including recommending more analysis of the prudential benefits of the proposals and considering sensitivities for the potential costs to firms. Specifically:

The Panel recommended the CBA should include a more detailed analysis of the benefits of the proposals, including more information on the market scenarios that concern the PRA and further description of how the proposed reporting collection would help to reduce prudential risks. The PRA has addressed these comments in the section below titled ‘Assessment of the risks addressed by the proposals’, and in paragraph 4.17.
The Panel recommended the CBA include sensitivities in the range of estimates for the cost of the proposals to firms. The PRA has now considered cost sensitivities as set out in paragraphs 4.25-4.26.
The Panel suggested the CBA should further explain the alignment between the proposals and international standards on insurance supervision. Paragraph 4.18 provides further detail in response to this feedback.
The Panel recommended the CBA include an assessment of the cost of firms moving in and out of scope of the reporting requirement. The PRA has addressed this comment in paragraph 4.9 by giving more information about the expected scope of application of the proposals.
The Panel recommended the CBA to be more explicit in its consideration of marginal costs and marginal benefits of the proposals, and the trade-off between them. Paragraphs 4.30-4.31 reflect this feedback.

Scope

4.8 The PRA proposes to limit the scope of application of its liquidity reporting requirements to firms that have more than £20 billion in assets on average over the last three quarters, and that either have gross nominal derivatives exposure of more than £10 billion or SFTs of more than £1 billion.^{footnote [10]} Based on prudential information available at the time of consultation, the PRA expects its proposals would therefore impact about nine life insurance firms.

4.9 The PRA expects the population of firms affected by the proposals would remain relatively stable year on year, given that firms would need to meet the £20 billion asset threshold as an average over three consecutive quarters to be in scope of the reporting requirements and they would also need to be below the asset threshold as an average over three consecutive annual reporting periods to fall out of scope. The PRA further considers that there is a low risk of firms moving very frequently into and out of scope of the reporting requirements, based on an assessment of recent changes in insurer asset, derivative and SFT exposures versus the proposed thresholds.

4.10 The PRA considers that the prudential benefits of its proposals would be lower for smaller firms with less exposure to financial instruments, and who may nonetheless face similar or higher relative costs to larger firms. The PRA has therefore targeted the scope of application of its requirements to firms with large asset bases and significant derivatives or SFT positions, which it expects would ensure its proposals maintain a more proportionate balance between costs and benefits for the UK insurance industry.

Benefits

Assessment of the risks addressed by the proposals

4.11 Large life insurers are exposed to material liquidity risks through their derivatives exposures, which have grown significantly in the last five years (see Chart 1). Firms often use derivative instruments to hedge risks to their financial positions, but these hedges may fail in volatile market conditions, resulting in outflows exceeding inflows. Under derivatives contracts, market participants generally must post collateral to cover their current and future counterparty exposures. Derivatives users are required to collateralise changes in the market value of their trades by providing variation margin. They must also post initial margin, which covers for losses that could potentially occur in the time following a default and the point at which the other counterparty closes out a trade.

4.12 During the ‘dash for cash’ in 2020, and the LDI episode in 2022, insurers were exposed to significant net outflows to meet margin calls on derivatives. Firms had to take various actions to raise liquidity at short notice. Many of them did not have immediate access to all the granular information they would need to form a complete view of their liquidity positions. This led to some confusion and made it harder for firm senior management to identify breaches in risk appetite and pursue appropriate remedial actions. Insurers were able to cover their liquidity demands during the LDI episode, but there remains a plausible risk in future market scenarios that firms are unable to realise enough liquid assets to cover their margin calls and satisfy the terms of their derivatives contracts. This would mean that firms could default on their contractual obligations or fail altogether if continued net outflows mean their losses mount further.

4.13 The default or failure of one insurer could have severely negative consequences for other firms and for market stability more broadly. It could lead to a loss of confidence and further asset sales, as market participants seek to improve their own liquidity positions. This could put downward pressure on the price of assets, which may make it harder for other firms to raise cash when necessary – increasing the likelihood that more firms fail or default on their obligations. Wider dislocation in the financial markets could also impact on hedging costs, share prices, credit ratings, and the Financial Services Compensation Scheme. If there is significant risk of contagion in systemic markets, public balance sheets may be required to step in and provide support to affected institutions through asset purchases, emergency liquidity assistance or capital injections. In any case, the costs of stabilising a systemic liquidity stress would likely be very high – whether they are borne by public stakeholders or firms operating in the markets.

4.14 Using current sources of data, namely existing regulatory reporting and firm management information, the PRA does not have access to timely or comparable information about the extent to which insurance firms may be exposed to margin call pressures in different market scenarios. The PRA also has limited access to consistent information on the stock and quality of unencumbered assets that may be available to meet liquidity demands in stress. It is therefore challenging for the PRA to identify liquidity risk at insurance firms and take appropriate supervisory action to address vulnerabilities before stresses crystalise.

4.15 The PRA proposes to require firms to produce monthly returns containing more granular information on assets, insurance cash flows, derivative cash flows, and other financial contract cash flows. For faster-moving exposures, the PRA would require data in frequent, sometimes daily time steps showing how positions have changed in the past month, and how they would be expected to change in the next three months. The PRA also proposes to collect regular information on how assets and cash flow positions could change in response to certain market variables. Had this information been available in advance of previous market stresses, the PRA considers that it would have been able to:

identify which firms were more susceptible to large outflows from margin calls;
anticipate the market conditions that would lead to firms breaching risk tolerance limits or failing to meet contractual obligations;
assess the liquidity adequacy of individual firms and compare them with peers on a consistent basis, including by using common definitions for key aspects of a firm’s liquidity position;
make effective decisions about where to allocate supervisory resource;
where necessary, work with firms through regular supervisory processes to reduce their vulnerability to liquidity strains – including by examining liquidity risk policies, contingency plans, and the quality and quantity of available assets;
ensure that firms and supervisors have reliable access to timely information on cash flows and available assets before and during stress; and
engage more effectively with firms on appropriate contingency actions, reducing the risk of unnecessary asset sales.

Life insurers have increased their derivatives exposures significantly in recent years.

A graph showing derivatives exposure for UK insurers

Source: PRA data

Prudential benefits

4.16 In light of the assessment outlined above, the PRA considers that its liquidity reporting proposals would ensure it has appropriate information on a sufficiently frequent basis to be able to monitor key liquidity risks in the insurance sector and supervise firms effectively in advance of market stress – reducing the risk of individual failures, contagion to other firms, or private costs being borne by the public balance sheet.

4.17 The PRA considers that its proposals would therefore result in the following key prudential benefits:

Better monitoring of liquidity risk: The proposals would give the PRA access to detailed and more timely information about actual and expected inflows and outflows – both in normal market conditions and during times of stress. The cash flow information would ensure the PRA can assess the liquidity adequacy of large insurers on a consistent basis when partnered with an assessment of PRA’s proposed returns on asset holdings, committed facilities and liquidity risk sensitivities. The information could also provide an early warning indicator about liquidity stress, giving the PRA a better opportunity to identify firms that may be facing difficulties their financial situation deteriorates further. In a similar way, the proposals would also ensure firms themselves have access to timely and detailed information that could help them to manage their liquidity position and ensure they can remain within their risk tolerance limits.
More effective supervision of liquidity risk: By enhancing its ability to monitor liquidity risk, the PRA considers that its proposals would also lead to more effective supervision of insurance firms. The PRA would be more informed about liquidity positions as a result of its proposals, meaning it would be able to engage more productively with firms about their potential risks and vulnerabilities in normal market conditions – which may facilitate improvements in risk management frameworks through the actions described in paragraph 3.54 above. This engagement would be further supported by greater consistency in the information available to firms and the PRA, which may facilitate a common understanding of the key elements of a liquidity position, such as what constitutes a liquid asset Similarly, based on its experience during the ‘dash for cash’ and the LDI episode, the PRA considers that access to more detailed, consistent and timely information on assets, cash flows, and sensitivities would also enable it to make quicker and more targeted supervisory decisions with respect to liquidity risk.
Potential to reduce costs: The cost of failure for in-scope firms, which had more than £950 billion in assets at year-end 2023, would be very substantial and could negatively impact policyholders and the Financial Services Compensation Scheme (FSCS). Similarly, firms may incur significant losses if fire sales of assets or defaults on contractual derivative obligations create spillover effects and put downward pressure on asset prices. The PRA considers that its proposals may reduce the risk or magnitude of these potential costs, by equipping supervisors with the information they require to work with firms to address liquidity risk in advance of stress, as noted above. These benefits are particularly pronounced given the PRA has targeted its proposals at larger UK insurers through the design of its proposed reporting thresholds, with the nine in-scope firms representing more than 95% of the gross notional derivative exposure of the UK insurance sector.^{footnote [11]}

Additional benefits

4.18 The PRA considers that its liquidity reporting proposals would also have the following benefits for firms and the PRA:

Reduction in ad-hoc supervisory engagement on liquidity risk: The PRA has limited visibility on liquidity risk indicators through current regulatory returns. It therefore has to request information on an ad-hoc basis from firms to understand more about their liquidity risk exposures, including by carrying out expert-led reviews into firms’ liquidity risk. The PRA’s proposals would ensure it has a clearer picture of a firm’s liquidity position over the short-term, which is likely to reduce the scale and frequency of ad-hoc information requests both in normal market conditions and in stress. The PRA considers that this would ultimately result in lower costs for firms and the PRA compared with the baseline of leaving reporting requirements unchanged. For instance, the PRA considers that it might have been able to reduce its supervisory costs by about a third during the LDI crisis if its proposals had been in place at the time. Similarly, the PRA expects the introduction of a regular and standardised liquidity reporting process would help to reduce the amount of time that firms spend producing additional regulatory information during a crisis – which could entail an unhelpful redirection of resources at a crucial and time-sensitive period. This includes any time that senior executives or boards may require to review and approve information before it can be shared with the PRA.
Greater UK competitiveness by increasing compliance with international standards: While there are no common international standards for regulatory returns on liquidity risk exposures, the IAIS has various Insurance Core Principles (ICPs) within its international supervisory framework that would be relevant to liquidity reporting. In particular, as noted in Chapter 1, the IMF has recommended the UK enhances its liquidity reporting framework to align with ICP 9 of the IAIS’s framework Opens in a new window. The IMF reviewed the specific characteristics of the UK insurance sector before determining that more consistent data on short-term cash flows would be important for enhancing the UK’s ability to monitor margin call risks and improve its supervision of insurers. In view of the data items included in its draft templates, the PRA considers that its proposals would strengthen the UK’s alignment with ICP 9, in line with the IMF’s recommendations. This would promote the UK’s competitiveness by protecting its reputation as a leading jurisdiction in the area of insurance regulation and supervision.
Improvements in liquidity data available to firms: The PRA selected data fields for inclusion in its proposed reporting templates based on its view of what information is important for monitoring liquidity risk at insurance firms. In part, the data fields were selected with reference to the types of information the PRA collected from firms using ad-hoc templates during the LDI episode. The PRA notes that some firms found these ad-hoc templates useful and, in one case, referenced them in their decision-making processes. The PRA therefore expects that its proposals for standardised liquidity reporting may benefit firms by ensuring they themselves have access to more granular information on assets, cash flows, and sensitivities that the PRA considers to be useful for monitoring and risk management purposes. This may in turn help them to mitigate the risk of suffering liquidity issues and either failing or defaulting on their contractual obligations.

Costs

Costs to firms

4.19 The analysis below is based mainly on reporting cost estimates provided on a voluntary basis by firms. The PRA received cost estimate information from eight of the nine firms expected to be in scope of the proposals.

4.20 The PRA estimates that the firms in scope of its proposals spend an average of about £530,000 a year on internal liquidity reporting. Expenditure depends on the nature and extent of each firm’s liquidity risk monitoring processes, which vary significantly across the life insurance sector. The PRA expects that firms would incur additional ongoing costs associated with regular provision of the proposed reporting to the PRA, as well as one-off costs to implement the necessary systems and processes for producing the data required by the proposals.

4.21 The PRA has sought to limit the cost of its proposals to firms while ensuring that the proposals still achieve the PRA’s objectives of timely, consistent and comparable data on liquidity risk. Using information on likely costs of new reporting requirements from the L-SEG, the PRA considered which aspects of liquidity reporting would be the costliest for firms and has sought to ensure its proposed data collection remains proportionate to its purpose. In particular, the PRA understands that in-scope firms would face significant challenges in providing backward-looking information on insurance business cash flows, segregated into more granular time buckets. Given the unexpectedly high-cost estimates for these items, the PRA reduced the quantity of backward-looking insurance cash flow data in its proposed cash flow mismatch templates during the course of its policy development. Instead, the PRA has focused its proposed collection of backward-looking data on derivative flows and those from other financial instruments, which the PRA expects would be simpler for firms to report and more valuable to the PRA as an early warning indicator of liquidity risks crystallising. Similarly, the PRA has sought to limit its proposed collection of forward-looking insurance cash flow data because it considers that projected financial market flows provide a better measure of short-term liquidity adequacy when compared with liquid asset availability in normal market conditions and in stress.^{footnote [12]}

4.22 One-off costs to firms: In view of its analysis of the reporting cost estimates provided by firms, including adjustments for the refinements described in the paragraph above, the PRA estimates that its proposals may result in one-off implementation costs of about £11 million in total for the firms affected by the proposals. The one-off implementation costs may relate to various actions, including:

sourcing the data required by the templates, including some types of backward-looking cash flow data;
investing in staff or systems to transform data into the formats required by the proposals, such as dividing asset data among particular maturity buckets;
ensuring that data is available at the reporting level required by the proposals, including, where relevant, for each individual RFF, MAP, and the remaining part of the solo entity;
establishing processes to run the stresses or sensitivities envisaged by the proposals at the frequency required by the PRA;
setting up procedures to report the information to the PRA, including in respect of internal governance and quality control; and
ensuring information can be prepared in line with the PRA’s reporting timeframes, including in respect of the cash flow mismatch (short form) template, which the PRA may require at T+1 on a daily basis in times of stress.

4.23 Ongoing costs to firms: In addition to the one-off implementation costs, the PRA estimates that its proposals would result in ongoing costs of about £3.6 million annually in total for all affected firms, based on its analysis of the cost estimates provided by firms. These recurring costs may result from various activities, including:

carrying out any automated or manual processes required to gather the data required by the proposed templates;
running and maintaining models to perform the stresses and sensitivities envisaged under the proposals;
cleaning and validating data to be used in the proposed reporting submissions; and
executing regular processes to submit the proposed templates to the PRA at the required frequencies, including in respect of internal governance.

4.24 Cost assumptions: The PRA assumes that the cost of producing cash flow mismatch (short form) template would mostly overlap with the cost of producing the cash flow mismatch template, because the short form template contains a subset of the information in the cash flow mismatch template — though it would need to be provided faster and more frequently to the PRA. Given they contain the majority of the PRA’s proposed data collection, the PRA estimates that the two cash flow mismatch templates would represent about 60% of the total costs incurred by firms on average. The L-MRS template would represent about 35% of the total costs, which would largely relate to the cost of setting up and running models to perform the sensitivities required on a quarterly basis. The PRA expects the information in the committed facilities template would be readily available to firms on an annual basis and that costs would therefore be minimal, at less than 5% of the total costs on average – and zero for those with no committed facilities.

4.25 The PRA expects both the one-off implementation costs and recurring annual costs would vary considerably between in-scope firms, depending on the extent to which their current approach to liquidity monitoring overlaps with the PRA’s proposals. The PRA recognises that its cost estimates encompass a very wide range of estimates across individual firms. The PRA also notes that it used an average to estimate costs for the one in-scope firm that did not provide the PRA with specific cost estimates. When controlling for potential outliers, the PRA determines that its proposals would continue to result in one-off implementation costs of about £11 million in total for all affected firms, though the recurring annual costs would fall to £2.9 million per year.^{footnote [13]} Setting the missing cost estimate at the high or low end of this range would put the one-off implementation costs in total for affected firms at between £9.7 million and £12.1 million and the ongoing annual costs between £2.6 million and £3.9 million.

4.26 As noted above, the PRA decided not to include some types of data in its proposed templates during policy development. The PRA made a few key assumptions about the impact these omissions would have on the cost estimates provided by firms, with a view to ensuring the reduction in the size of the templates resulted in a proportionate reduction in the estimated reporting costs. The PRA has carried out an analysis of the sensitivity of its cost estimates to changes in these key assumptions. The sensitivity analysis suggested that the one-off implementation costs could range between £8.4 million and £14 million in total for all affected firms, if the data not included in the template were more or less costly for firms to produce than the PRA expected. The recurring annual costs could range between £2.7 million and £4.4 million.

Costs to the PRA

4.27 The liquidity reporting proposals would require the PRA to manage a new data collection. The PRA expects that it would be able to collect and store information received from firms within its existing reporting framework, though some further investment would be required to compile and validate the data in a timely fashion following monthly or daily returns. Overall, the PRA estimates that the one-off cost of implementing the project would be less than £500,000.

4.28 The PRA would incur further costs to analyse the information received from firms on an ongoing basis, including by considering liquidity adequacy at individual firms, comparing liquidity positions across different firms, and monitoring liquidity risks as they develop in the insurance sector. The PRA expects that some of this analysis would be performed alongside existing supervisory monitoring processes, meaning that additional costs would be small relative to the baseline for this CBA. Further, as noted above, the PRA considers that access to timely and consistent data on liquidity – in normal market and stressed market conditions – would offset some existing costs by reducing the need for costly investigations into firms’ liquidity positions through ad-hoc information requests or analysis of heterogenous firm management information.

4.29 In addition to the ongoing costs, the PRA could incur implementation costs from providing training and guidance to supervisors and other staff on using the proposed templates for the first time to analyse liquidity risk exposure at insurers.

Overall assessment

4.30 Overall, the PRA considers that the costs to firms and the PRA are outweighed by the expected benefits to firms, policyholders and financial stability. Given it is starting from a position of collecting no information on liquidity risk exposures from firms, the PRA expects that the marginal benefits of its proposals are likely to be very high relative to the baseline. The PRA identified some examples during its policy development where it expects that collecting additional information on particular types of cash flows may be less beneficial relative to the potential reporting costs to firms. It has reflected these considerations in its policy proposals by not including disproportionately costly data cells in the templates, ensuring a better balance between marginal costs and benefits.

4.31 The PRA recognises that firms may incur material costs to set up and run new systems and processes for the regular liquidity reporting requirements proposed in this CP. But the PRA considers that these costs would be proportionate in view of the expected contribution of the proposals towards the PRA’s objectives. In particular, the PRA considers that its proposed reporting collection would be vital for ensuring firms and supervisors can monitor assets, cash flows and margin calls on a timely and consistent basis in the insurance sector. As outlined above, this would facilitate more effective supervision of liquidity positions and improve the PRA’s ability to manage market stress episodes affecting large insurers. In turn, the PRA expects its proposals would help to lower the risk of defaults or failures of firms with close to £950 billion in assets and £1.4 trillion in gross notional derivative exposure, reducing potential costs for the PRA, firms and policyholders.

‘Have regards’ analysis

4.32 In developing these proposals, the PRA has had regard to its framework of regulatory principles. The regulatory principles that the PRA considers are most material to the proposals include:

Proportionality, and recognition of differences between businesses (FSMA regulatory principles): The PRA considers that the costs of its proposals are proportionate to the benefits, as detailed in the cost benefit analysis above. The PRA has sought to limit the granularity of the proposed data collection where possible, in an effort to reduce the reporting burden on firms without compromising the supervisory value of the templates. The PRA also proposes to limit the scope of application of the reporting proposals to larger firms with greater exposure to margin or collateral calls, as a way of ensuring the requirements apply in a proportionate way – respecting the different sizes and business risks of UK firms.
Efficient and economic use of PRA resources (FSMA regulatory principles): The PRA may initially need to use additional resources to embed the proposed liquidity reporting into its supervisory processes. However, the PRA considers that the proposals would enable it to monitor and supervise liquidity risk more efficiently and effectively over time than its current approach, which is based on ad-hoc and bilateral firm engagement.
Regulators should target their activities at cases in which action is needed and should base their activities on risk (LRRA principles of good regulation): The PRA targeted liquidity risk as a supervisory priority for 2024 because it noted shortcomings in the framework for reporting on liquidity following recent market stresses. In setting its supervisory priorities, the PRA noted that derivatives had contributed significantly to liquidity risk at insurers and highlighted concerns about potential increases in lapse risk. Opens in a new window The PRA’s proposals would enhance reporting framework and help to improve the PRA’s understanding of the liquidity risks facing insurers.
Transparency (FSMA regulatory principles) (LRRA principles of good regulation): The PRA considers that it is exercising its policymaking and supervisory functions transparently by clearly and openly describing the reasons for its focus on liquidity risk and explaining the rationale behind its resulting proposals for enhancing the reporting framework.
Maintaining and enhancing the UK’s position as a world-leading global finance hub (HMT 2024 recommendation letter): The IMF has reviewed the specific characteristics of the UK insurance sector and has recommended the UK enhances its liquidity reporting framework to align with ICP 9 of the IAIS’s international supervisory standards. The PRA considers that its proposals would address the IMF's recommendations and could therefore promote the UK’s competitiveness by protecting its reputation as a leading jurisdiction in the area of insurance regulation and supervision.

4.33 The PRA has had regard to other factors as required. Where analysis has not been provided against a ‘have regard’ for these proposals, it is because the PRA considers that ‘have regard’ to not be a significant factor for these proposals.

Impact on mutuals

4.34 The PRA proposes to limit the scope of its proposed liquidity reporting to insurance firms with more than £20 billion in assets, as well as significant exposure to liquidity risk through derivatives or SFTs. Based on the reporting thresholds, the PRA notes that few mutual firms would be captured by the scope of its proposals compared with other firms. Where mutuals are included in scope of the proposed reporting requirements, the PRA considers they would not face higher costs to implement the proposals than other firms – including by virtue of their ownership, structure, or any other characteristic that may be specific to mutuals.

Equality and diversity

4.35 In developing its proposals, the PRA has had due regard to the equality objectives under section 149 of the Equality Act 2010. The PRA considers that the proposals do not give rise to equality and diversity implications because they do not have an impact on equality of opportunity or the relations between persons who share a protected characteristic and those who do not. The PRA will continue to consider the equality and diversity implications of its proposals during the consultation period, and when it makes any final policy in relation to the proposals.

5: Removal of the PRA’s expectation that internal model life insurance firms should annually submit SF.01 report

5.1 This chapter sets out the PRA’s proposed changes to remove Internal Model (IM) life insurance firms from the scope of the PRA expectation that IM insurance firms should annually submit the SF.01 template containing Solvency Capital Requirement (SCR) information calculated using the Standard Formula (SF). The proposals in this chapter would make amendments to SS15/16 – Solvency II: Monitoring model drift and standard formula SCR reporting for firms with an approved internal model (Appendix 3) setting out the PRA’s proposed updated approach for assessing model drift for insurance firms. This chapter also proposes to amend any references to internal model ‘approvals’ to ‘permissions’ to be aligned with FSMA s138BA.

5.2 The proposed changes in this chapter are relevant to IM life insurance firms, including those with a partial internal model. IM non-life and composite insurance firms will be expected to continue to submit form SF.01 annually as the PRA continues to find the SF SCR figures for these firms useful for model drift monitoring.

Standard Formula Reporting

5.3 Since the introduction of Solvency II on 1 January 2016, the PRA has expected firms with permission to use an internal model to submit the SF SCR annually as one of a suite of available metrics that the PRA uses to monitor model drift.

5.4 The PRA acknowledges that the SF SCR may be less effective in detecting model drift in internal models for life insurance firms. For example, the SF treatment of non-vanilla assets, particularly internally securitised and internally rated assets such as equity release mortgages commonly invested by life insurers, can lead to significant changes in the SF SCR year-on-year while the IM SCR remains more stable. This makes the SF SCR less informative of model drift for life insurance firms with such investments. Therefore, the PRA is proposing to remove the expectation that IM life insurance firms should submit the SF.01 report annually. The PRA intends to use other supervisory tools for monitoring model drift, such as IM.01 and Quarterly Model Change (QMC) data. The PRA also expects to derive further useful information under AoC.01 from YE2025 Opens in a new window.

5.5 The PRA has also received industry feedback from prior consultation papers and industry engagement. Those providing feedback do not consider the SF SCR and any derived metrics calculated using the SF SCR a meaningful indicator of model drift for IM life insurance firms. Furthermore, they considered that the costs incurred by IM life insurance firms to prepare and submit the SF SCR annually are not justified given the limited insights that they provide.

5.6 If our proposed change were to be implemented, IM life insurance firms would still need to maintain the capability to be able to fulfil a PRA request for an estimate of the SF SCR in line with Rule 3.4 of the Solvency Capital Requirement – Internal Models Part of the PRA Rulebook.

5.7 The proposed amendments to SS15/16 to reflect these proposals are set out in Appendix 3.

Non-Life and Composites IM Insurance Firms

5.8 The proposed change would not apply to IM non-life and composite insurance firms. The PRA will continue to expect these firms to submit the SF.01 report annually, because it remains one of the key metrics used by the PRA to analyse model drift for these firms for the following reasons:

Non-life insurance firms tend to hold more vanilla assets (such as gilts and traded corporate bonds) and market risk is generally not the dominant risk driver in the SCR. Therefore, the SF SCR provides a reasonable comparison for the risks inherent in non-life insurers’ vanilla asset classes.
On the other hand, the risks underwritten by non-life insurance firms tend to be more heterogenous, with different firms targeting different market segments and providing different aspects of insurance cover, making direct peer comparisons harder. In addition, firms’ risk profiles can also evolve at fast pace. The SF SCR remains a useful standardised measure for assessing changes in these firms’ risk profile and IM calibrations over time.
Composite insurance firms hold non-life exposures and to ensure the PRA receives the required information to assess model drift, we will retain the expectation for composite insurance firms to submit the SF.01 report annually.

5.9 In any case, the PRA recognises that any comparison between a firm’s SF SCR and its IM SCR has some limitations and requires careful analysis and interpretation.

Implementation

5.10 The PRA proposes the implementation date for any changes resulting from this CP to be 31 December 2025. The PRA does not intend to use SF SCR figures provided by IM life insurance firms under SF.01 while this proposal is under consultation. Therefore, as a temporary measure beginning on the date of this CP, the PRA has decided that, unless requested by the PRA, the deadline for IM life insurance firms to submit the SF.01 template for YE2024 has been extended to 15 September 2025 to allow time for the PRA to consider the consultation responses and determine whether to implement the policy proposed. This measure is temporary, and no policy decision has been or will be taken in respect of the removal of the expectation to submit the SF SCR figures annually for IM life insurance firms until the end of the consultation and completion of the PRA’s policy-making processes.

Cost benefit analysis

5.11 This CBA considers the impact of removing the expectations for IM life insurance firms to submit the SF.01 template in line with the proposals set out in this chapter, compared with a baseline under which the PRA does not remove said expectation and continue to rely on the SF.01 information to monitor model drift in IM life insurance firms.

5.12 The PRA has consulted the CBA Panel (‘the Panel’) on the preparation of this CBA. The PRA submitted a draft CBA for the Panel to review prior to a meeting to discuss its feedback and advice. On cost analysis, the Panel suggested that other supervisory tools available for monitoring IM life insurers’ model drift are discussed to demonstrate that risks would still be effectively managed after the removal of SF.01 reporting for IM life firms. More details are provided in paragraph 5.4 to address the Panel's feedback. On benefit analysis, the Panel questioned how the continued expectation that firms should retain capability to complete the SF.01 template on an ad-hoc basis affects the estimate on potential reduction in compliance costs. More details are provided in paragraphs 5.13 to 5.15 to address the Panel’s feedback.

5.13 Based on bilateral engagement with IM life insurance firms as part of ongoing model drift work, the PRA estimates that, on average, the resources required by these firms to prepare and analyse the SF.01 ranges from 0.3 to 0.9 FTE, and the estimated cost of the exercise ranges from £30,000 to £110,000 each year. The cost varies depending on the complexity and size of the business.

5.14 The PRA acknowledges that firms will still need to incur overheads costs to maintain the capability to produce the SF SCR in order to meet Rule 3.4 of the Solvency Capital Requirement – Internal Models Part of the PRA Rulebook. However, these costs will be lower than the cost of preparing an SF.01 annually.

5.15 The PRA considers that the proposals would benefit IM life insurance firms overall by reducing the cost incurred to prepare and submit SF.01 – eg the costs to run the SF model, prepare the SF.01 template and for internal reviews and governance within the firm. The PRA will also derive efficiency benefits from further resources becoming available to focus on supervising key risk areas.

5.16 As the consultation does not propose any changes to non-life and composite firms, there would be no change in costs for firms in this category. As mentioned in the section ‘Non-Life and Composite IM Insurance Firms’, the PRA obtains key information from non-life and composite firms’ SF.01 submissions.

PRA objectives analysis

5.17 The PRA considers that the proposals in this chapter would continue advancing its primary objectives of safety and soundness and policyholder protection. Existing reporting requirements and the proposed amendments would continue to ensure that the PRA receives adequate information to support supervision, while ensuring a robust and proportionate regime applies to IM life insurance firms. It enables the PRA to focus greater resources where needed to discharge its functions as a prudential regulator.

5.18 The PRA has also assessed whether the proposals advance its secondary objectives. The PRA considers that these proposals would, overall, reduce the reporting and compliance costs for IM life insurance firms. These proposals support a more proportionate and streamlined regime, facilitating the competitiveness of the UK life insurance sector. Furthermore, a more proportionate regime makes operating in the UK more attractive for international life firms.

‘Have regards’ analysis

5.19 In developing these proposals, the PRA has had regard to its framework of regulatory principles. The regulatory principles that the PRA considers are most material to the proposals include:

Efficient and economic use of resources (FSMA regulatory principles): Removing the SF.01 reporting expectation will free up PRA’s resources to focus on other more impactful work.
Burden or restriction should be proportionate to the benefits (FSMA regulatory principles): The PRA considers that removing the SF.01 reporting expectation would lead to the application of a less burdensome regime for life insurance firms, without affecting their safety and soundness, or the protection of policyholders.
Exercising functions in a way that recognises differences in the nature of, and objectives, of business carried on by different persons (FSMA regulatory principles): The PRA recognises the different nature of the risks that life and non-life insurance firms are exposed to and is proposing to remove its SF.01 annual reporting expectations for IM life insurance firms only.

5.20 The PRA has had regard to other factors as required. Where analysis has not been provided against a ‘have regard’ for these proposals, it is because the PRA considers that ‘have regard’ to not be a significant factor for the proposals.

Equality and diversity

5.21 The PRA considers that this proposal does not give rise to equality and diversity implication.

The Review of Solvency II concluded with PS15/24. It includes the reforms published as part of PS29/21, P2/24, PS3/24, and PS10/24.
This definition of liquidity risk is consistent with the Conditions Governing Business Part of the PRA Rulebook: Conditions Governing Business | Prudential Regulation Authority Handbook & Rulebook (prarulebook.co.uk) Opens in a new window
The Conditions Governing Business Part of the PRA Rulebook requires UK Solvency II firms to have systems in place to manage their liquidity risk: Conditions Governing Business | Prudential Regulation Authority Handbook & Rulebook (prarulebook.co.uk) Opens in a new window
ICP 9 concerns supervisory review and reporting. It states that jurisdictions should collect all necessary information to conduct effective supervision of insurers and evaluate the insurance market. ICP and ComFrame Online Tool - International Association of Insurance Supervisors Opens in a new window
See page 37: Review of margining practices (bis.org) Opens in a new window
As noted above, in this CP, the PRA defines SFTs as transactions where securities are used to secure funding for activities – specifically, via (reverse) repurchase agreements or securities lending and borrowing.
According to PRA data at year-end 2023.
SDDT Regime – General Application 2.1(1)(a) of the PRA Rulebook: SDDT Regime – General Application | Prudential Regulation Authority Handbook & Rulebook (prarulebook.co.uk) Opens in a new window
Excluding assets and derivatives held for index and unit-linked funds.
Insurers had close to £1.45 trillion of gross notional derivate exposure at year-end 2023, according to PRA data.
Notwithstanding these considerations, the PRA still proposes to collect a limited set of backward- and forward-looking data on insurance surrenders, partial surrenders, maturities, and premium payments to ensure it can further analyse the extent to which insurance contracts contribute to liquidity risk for UK firms.
To control for potential outliers, the PRA removed the smallest and largest values from the dataset and focused on the cost estimates within the 5^th and 95^th percentiles.

Appendices

Prudential Regulation // Consultation paper

19 March 2025

Prudential Regulation // Consultation paper

05 March 2025

Prudential Regulation // PRA Regulatory Digest

03 March 2025

Prudential Regulation // Policy statement

20 February 2025

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CP19/24 – Closing liquidity reporting gaps and streamlining Standard Formula reporting

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1: Overview

Structure of the CP

Implementation

Responses and next steps

2: Background

Liquidity risk for UK insurers

International regulatory context

External engagement

3: Liquidity reporting: The PRA’s proposals

Figure 1: Rationale for liquidity reporting reform

Cash flow mismatch template

Table 1: Cash flow mismatch template summary

Cash flow mismatch (short form) template

Table 2: Cash flow mismatch (short form) template summary

Committed facilities template

Table 3: Committed facilities template summary

Liquidity market risk sensitivities template

Table 4: L-MRS template summary

Reporting thresholds

4: Liquidity reporting: The PRA’s statutory obligations

PRA objectives analysis

Cost benefit analysis (CBA)

Scope

Benefits

Chart 1: Derivatives exposure for UK insurers

Footnotes

Prudential benefits

Additional benefits

Costs

Overall assessment

‘Have regards’ analysis

Impact on mutuals

Equality and diversity

5: Removal of the PRA’s expectation that internal model life insurance firms should annually submit SF.01 report

Standard Formula Reporting

Non-Life and Composites IM Insurance Firms

Implementation

Cost benefit analysis

PRA objectives analysis

‘Have regards’ analysis

Equality and diversity

Appendices

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