PRA110

The PRA110 Cash Flow Mismatch report was introduced by the Prudential Regulation Authority (PRA) on July 1, 2019, with the primary purpose of enhancing the PRA’s Pillar 2 liquidity framework. Replacing the older FSA047 and FSA048 reports, it closely aligns with the European Banking Authority’s (EBA) Additional Liquidity Monitoring Metrics (ALMM). Specifically, the report’s instructions build on the EBA’s instructions for completing the C66.00 Maturity Ladder template of Annex XXII, which are based on Delegated Regulation (EU) 2015/61 and Regulation (EU) No 575/2013 of the European Parliament.

The PRA110 return applies to UK banks, building societies, PRA-designated firms, and UK branches of EEA firms, enabling the PRA to monitor liquidity risk on a granular level. Financial institutions with assets of or more are required to report on a weekly basis, whereas smaller firms submit monthly reports. During stress periods, larger firms are required to report on a daily basis.

The report is divided into seven sections–outflows, inflows, counterbalancing capacity, contingencies, memorandum items, monetisation actions, and cumulated liquidity resources post firm actions. It extends the Liquidity Coverage Ratio’s (LCR) 30-day horizon to include up to “Greater than 5 years,” with a detailed day-to-day breakdown for the first 3 months, providing enhanced visibility over potential liquidity risks.

The PRA110 return evaluates short-term risks, cash flow mismatches, liquidity cliffs, and enhanced stress testing, enabling the PRA to examine whether banks hold sufficient High-Quality Liquid Assets (HQLA) to meet 30-day peak liquidity needs, can monetize non-cash HQLA, and manage maturity mismatches.