PS20/26 Large Exposures: Mandatory Substitution From 2028

The Prudential Regulation Authority published PS20/26 on 10 November 2026, the second and final policy statement on its October 2024 large exposures consultation, CP14/24. The PS20/26 large exposures package takes effect on 1 January 2028 through the PRA Rulebook: CRR Firms: Large Exposures Omnibus Instrument 2026 (PRA2026/28), which the Prudential Regulation Committee made on 20 October 2026. It makes the substitution approach for credit risk mitigation mandatory, removes internal models from the measurement of securities financing transactions (SFTs), cuts the third-party trading book excess allowance to 85% of Tier 1 capital for at most 10 business days, and adds a higher non-core large exposures group (NCLEG) permission with a 350% trading book limit.

For the people who file the large exposures return, the policy is bigger than the template change. The PRA kept the four large exposures templates as they are and amended only the Annex IX reporting instructions. The 2028 work therefore sits upstream of the templates: in how exposures move to collateral issuers and guarantors, how intragroup SFTs are valued, and how a trading book excess is counted in business days. Firms that want a new NCLEG or higher NCLEG permission in place on 1 January 2028 can apply from 1 July 2027.

Related reading: Large Exposures Reporting for Luxembourg Banks: COREP LE Templates and Connected Clients

PS20/26 large exposures dates for the 2027 and 2028 plan

The new large-exposures amendments apply from 1 January 2028. The 1 July 2027 date opens the NCLEG application window: the PRA encourages firms to apply as early as practicable from that date and says it intends, where possible, to decide applications before 1 January 2028. The 12 May 2028 date is a binding quarterly reporting deadline under Article 3 of the existing Reporting (CRR) Part, rather than a deadline introduced by PS20/26; its application to the first 2028 return is the writer’s calculation from the current calendar, and PS20/26 does not set a reporting date.

What Part 2 settles and what PS14/25 already changed

CP14/24 was split in two at the final stage. PS14/25, published on 17 July 2025, finalised the lower-impact proposals: the removal of immovable property as eligible credit risk mitigation (CRM) for large exposures purposes, the removal of the exemption for exposures to the UK deposit guarantee scheme, and the removal of stricter limits that applied to G-SIIs and O-SIIs for certain French counterparties. It also finalised the groups of connected clients proposals from CP23/23. Those rules have applied since 1 January 2026.

PS20/26 finalises the three chapters that drew the heaviest feedback from the 12 respondents: SFT exposure values (CP chapter 2), trading book limits (chapter 3) and the effect of CRM (chapter 4). It also completes the merger of the Large Exposures Part into the Large Exposures (CRR) Part of the PRA Rulebook. The policy statement applies to PRA-authorised UK banks, building societies, PRA-designated investment firms, PRA-approved and PRA-designated holding companies, and other CRR consolidation entities.

Paragraph 2.11 of the policy statement lists where the final package departs from the consultation. The substantive changes are:

• a reduced third-party trading book excess allowance survives, where CP14/24 proposed removing it;
• the additional capital requirement on trading book excesses is clarified;
• the higher NCLEG limit becomes a single 350% of Tier 1 capital, up from the 250% consulted on;
• the trading activity wind-down expectations stop being a standalone condition for the higher NCLEG permission;
• two exemptions are added to mandatory substitution (sovereign collateral and tri-party repo);
• everything takes effect on 1 January 2028, where the consultation had proposed implementation soon after publication and 1 January 2026 for the SFT change.

Groups that report on both sides of the Channel should keep the two rulebooks apart even where the article numbers match. In the EU, Regulation (EU) 2019/876 replaced Article 403 of the CRR with a mandatory “shall” text that applied from 28 June 2021, but that text kept two conditions: substitution applies only where the guarantor or collateral would carry a risk weight equal to or lower than the client’s, and the collateral leg cannot be used where there is a maturity mismatch. The UK’s amended Article 403(1) in the Large Exposures (CRR) Part deletes both conditions. A collateral issuer that would escape substitution under the risk-weight test in that EU text is still a substitution counterparty in the UK return.

Mandatory substitution under Article 403

Under the current UK rule, a firm that reduces an exposure using eligible CRM “may” reassign the reduced portion to the collateral issuer or protection provider. The PRA’s diagnosis in paragraph 5.5 of PS20/26 is that firms can take the CRM benefit against the original counterparty while choosing not to recognise the matching exposure to the issuer, or apply substitution inconsistently. Concentrations to a single issuer then build up across many unrelated transactions without appearing in the large exposures numbers.

What moves, and to whom

From 1 January 2028, amended Article 403(1) replaces “may” with “must”. Where an exposure to a client is guaranteed by a third party or secured by collateral issued by a third party, excluding cash collateral, the firm must treat the guaranteed portion as an exposure to the guarantor and the collateralised portion as an exposure to the collateral issuer. Article 401(1) moves in step: a firm must use the fully adjusted exposure value (E*) under Chapter 3 of the Credit Risk Mitigation (CRR) Part, including volatility adjustments and maturity mismatch, and Article 401(4) treats the reduced part as incurred to the collateral issuer or the protection provider.

The struck-through text in the instrument matters as much as the new text. Three conditions disappear from Article 403(1): the risk-weight comparison between guarantor or collateral and the unsecured client exposure, the bar on using the collateral leg where maturities mismatch, and the restriction tying use of the Financial Collateral Comprehensive Method to permission for both financial collateral methods.

How much moves

New Article 403(1A) caps the amount assigned to the collateral issuer at the lower of two figures: the amount by which the exposure to the client is reduced under the Credit Risk Mitigation (CRR) Part, the Counterparty Credit Risk (CRR) Part and Article 390(4), and the market value of the collateral. Paragraph 5.26 of the policy statement gives the purpose: overcollateralisation and the SA-CCR alpha factor should not inflate the substituted amount. Substitution reallocates recognised exposure to the collateral issuer or protection provider. For collateral issuers, Article 403(1A) caps the assigned amount at the lower of the reduction in the original exposure and the collateral’s market value, so the resulting aggregate exposure need not be preserved on a one-for-one basis.

For derivatives under SA-CCR, collateral works through the multiplier in aggregate, so there is no transaction-level reduction to reassign. SS16/13, as amended, sets the expectation: allocate the substituted amount across collateral issuers pro rata to the market value of the collateral received. The PRA describes this as a change from the CP14/24 draft.

What the PRA left to firms

Three points stay open or principles-based, and each needs a written methodology choice before the first 2028 return:

• SFTs under a master netting agreement, including security-for-security trades. The PRA decided not to prescribe how to calculate the indirect exposure; firms may use any approach that is prudent and applied consistently, and the PRA intends to revisit the treatment (para 5.29).
• Netting an indirect exposure against a direct short position or against posted securities from the same issuer. The PRA allows netting only where the existing prudential framework already recognises it, such as qualifying master netting agreements for SFTs; otherwise the exposures are aggregated (para 5.31).
• Collateral taken for commercial reasons but not recognised as CRM in the capital calculation. Substitution does not apply, and the full exposure stays with the client (para 5.35).

One general principle cuts across all three. Where the original exposure is itself exempt from the large exposures limits, the indirect exposure to the collateral issuer or protection provider still counts, unless one of the specific exemptions below applies (para 5.33).

Exemptions on top of substitution, and why exempt still means reported

The PRA kept substitution mandatory for all firms, including smaller firms that asked for a carve-out, and made it proportionate through targeted exemptions in Article 400(1). The table sets out how each type of indirect exposure is treated against the limits from 1 January 2028.

The sovereign exemption is wider than the one consulted on. CP14/24 would have exempted only sovereign collateral issuers with a 0% risk weight, which meant a downgrade from credit quality step 1 to step 2 could push a firm’s aggregated collateral exposure to that sovereign straight into the limits. The final Article 400(1)(m) removes that cliff for funded collateral, and the PRA accepts in paragraph 5.14 that the exemption will cover some collateral it does not regard as risk free. Unfunded sovereign protection keeps the 0% risk-weight condition because replacing or liquidating a guarantee can be harder than selling a bond.

Corporate collateral stays in. Respondents argued that substitution would discourage corporate bonds in repo and push activity elsewhere, and some linked this to developments in the Bank of England’s Sterling Monetary Framework (our note on the 2026 SMF collateral eligibility changes covers that side). The PRA’s analysis with Bank colleagues found no material cliff-edge effects and no need for significant changes to collateral management practices, so corporate collateral is substituted as consulted.

An exemption under Article 400(1) takes the amount out of the limit test; it leaves the reporting duty in place. Paragraph 5.16 states that the final rules and reporting instructions require firms to report all indirect exposures arising through substitution, including exempt ones, and that firms should aggregate them by collateral issuer or protection provider and report them on a separate line from any direct exposure to the same counterparty. For tri-party repo the PRA says firms must still identify and report the exposures, or the relevant limits; the contractual collateral-issuer limit route in Article 403(3) survives, and condition (e) of that paragraph is deleted. For QCCP-related collateral, firms must identify and report the indirect exposures through supervisory reporting.

SFT exposure values without internal models

Amended Article 390(4) requires the exposure value of SFTs to be calculated under Articles 218 to 236 of the Credit Risk Mitigation (CRR) Part, and the derogation that let a firm with Internal Model Method permission use that method for SFTs is struck out. CP14/24 had proposed removing internal models from SFT exposure values, but it had not proposed deleting this sentence; the PRA treats the deletion as a consequential amendment that gives effect to the consulted policy (para 3.6). The consultation timetable would have applied this change from 1 January 2026. It now arrives with the rest of the package on 1 January 2028.

The impact falls mainly on intragroup activity. Five respondents told the PRA that exposure values under the Financial Collateral Comprehensive Method could be materially higher than modelled values, which hits firms with centralised booking models and heavy intragroup SFT flows (para 3.3). The PRA’s further data work confirmed that some firms’ intragroup exposures could rise more than it had assumed at consultation, and that finding is the stated reason the higher NCLEG limit moved from 250% to 350%.

For non-trading book intragroup SFTs, the PRA reached the opposite conclusion: regulatory data indicated the impact would be limited and firms would be unlikely to exceed the existing 100% of Tier 1 limit, so the higher limit applies to trading book exposures only (para 4.28). Treasury and liquidity SFTs booked outside the trading book therefore get no extra room.

Teams that map from instructions should read one paragraph with care. Paragraph 17 of the new Annex IX still states that, for a firm that is not an SDDT or SDDT consolidation entity, the exposure value of repurchase transactions and securities lending may be determined under Part Three, Title II, Chapter 4, section 4 or Chapter 6 CRR. The binding change sits in the rule: Article 390(4) of the Large Exposures (CRR) Part no longer permits the internal model method for SFTs, and the PRA says in paragraph 6.3 that it preserved existing instruction text except where the policy required amendment.

Trading book excess: 85% of Tier 1 and a business-day clock

Today a firm can let a trading book exposure to a counterparty or group of connected clients run above the large exposures limit (normally 25% of Tier 1 capital; where the client is an institution or investment firm, or the group of connected clients includes one, the higher of 25% of Tier 1 capital and GBP 130 million may apply, subject to the additional conditions in Article 395(1); a separate 15% limit applies to specified G-SII exposures) provided that, while 10 days or less have elapsed since the excess arose, the trading book exposure to that counterparty or group does not exceed 500% of Tier 1 capital, and excesses persisting for more than 10 days do not exceed 600% of Tier 1 in aggregate. CP14/24 proposed removing that allowance for third parties altogether. The final rule keeps a much smaller version, and it changes the mechanics as well as the size.

New Article 395(5A) allows a third-party trading book exposure above the limit only where all of the following hold:

• the exposures are not to the firm’s parent undertaking, other subsidiaries of that parent, the firm’s own subsidiaries or qualifying holdings (those fall under paragraph 5);
• non-trading book exposures to that client or group of connected clients stay within the Article 395(1) limit, so the excess arises entirely in the trading book;
• the firm meets the additional own funds requirement on the excess;
• the exposure does not exceed 85% of the firm’s Tier 1 capital;
• the limit is not exceeded for longer than 10 business days.

Each time the limit is exceeded, the firm must report to the PRA without delay the amount of the excess and the name of the client and, where applicable, the group of connected clients. The 85% caps the whole trading book exposure to that counterparty as a share of Tier 1, and the part above the ordinary limit is what attracts the additional own funds requirement.

The switch from 10 days to 10 business days has a reason given in paragraph 4.8: the period now decides whether the firm is in breach of the limit, where previously it decided only which capital charge applied. Once the 10 business days run out, the excess is a breach of Article 395(1), handled through the existing Article 396 process for exceptional circumstances. Limit-monitoring systems built on calendar days will miscount across weekends and public holidays.

Amended Article 398 closes the obvious workaround. A firm must not deliberately avoid the 10-business-day condition by temporarily transferring the exposure to another company, inside or outside the group, or by artificial transactions that close the exposure out during the period and open a new one. Article 398(2) requires systems that report any such transfer to the PRA immediately.

Intragroup excess and the capital charge

For trading book exposures to the parent, other subsidiaries of the parent, the firm’s own subsidiaries and qualifying holdings, amended Article 395(5) caps total trading book exposures to those entities at 85% of Tier 1, again with non-trading book exposures held within the ordinary limit and an additional own funds requirement on the excess. The old aggregate 600% condition is deleted.

The capital charge is simpler for both cases. New Article 395(5B) applies a 100% risk weight to the part of the exposure above the limit, and Article 397, with its table of multipliers running from 200% to 900% of specific risk requirements, is deleted. Paragraph 4.14 confirms that firms do not hold own funds equal to the full excess.

One drafting point is worth checking against your own procedures. In the instrument, the “report without delay” sentence is struck from paragraph 5 and reappears in new paragraph 5A, which covers third parties. PS20/26 does not discuss that move, and on my reading the amended intragroup paragraph carries no equivalent sentence. Group notifications under Article 400(7), covered below, are a separate duty.

NCLEG and higher NCLEG permissions: 100%, 350% and the allocation formula

The separate non-trading book and trading book NCLEG permissions are replaced by a single NCLEG permission, with no change to the conditions for granting it. Alongside it sits the new higher NCLEG permission. Under Article 400(5), a firm holding either permission may exempt from the Article 395(1) limit its non-trading book exposures, its trading book exposures up to its trading book exposure allocation, and related participations, where the counterparties are NCLEG members within the group covered by consolidated supervision (or equivalent third-country standards).

The arithmetic is in Article 400(6A) and (6B). Either exemption is available for non-trading book exposures only where total non-trading book exposures to the NCLEG, whether or not exempted, do not exceed 100% of Tier 1. The trading book allocation is then:

• for an NCLEG permission: 100% of Tier 1 minus total non-trading book exposures to the NCLEG;
• for a higher NCLEG permission: 350% of Tier 1 minus total non-trading book exposures to the NCLEG.

The 350% is a combined ceiling, and non-trading book exposures consume it. As illustrative arithmetic from the formula: a firm whose non-trading book exposures to its NCLEG equal 60% of Tier 1 would have a trading book allocation of 290% of Tier 1 under a higher NCLEG permission and 40% under an NCLEG permission. Article 400(6)(a) also requires these totals to be measured after CRM under Articles 399 to 403, so substitution feeds the NCLEG numbers as well.

The PRA dropped the firm-specific calibration it consulted on in favour of one standard 350% limit for every firm granted a higher NCLEG permission, citing transparency, predictability and consistency (para 4.22). It also changed the role of the trading activity wind-down expectations in SS1/22. Meeting them is no longer a standalone condition; the PRA will consider a firm’s relevant wind-down practices together with its booking arrangements, risk management framework, and systems and controls (para 4.25), and amended SS16/13 refers to the firm’s plans for a solvent wind-down in that assessment.

On timing, firms may apply for either permission from 1 July 2027. Existing NCLEG permissions and modifications remain valid until they expire, including where expiry falls after 1 January 2028. The definitions in the amended Part treat NCLEG permissions granted under Article 400(2)(c) on or before 31 December 2027 as legacy NCLEG permissions, and Article 400(6C) applies them with the 100% allocation in paragraph 6B(a).

The written notification duty in Article 400(7) carries over from the deleted Large Exposures Part. A firm with a core UK group permission and an NCLEG, higher NCLEG or legacy NCLEG permission must notify the PRA in writing when exposures from the core UK group to a particular NCLEG member are likely to exceed, or have exceeded, 25% of the Tier 1 capital of the PRA-authorised firm with the largest Tier 1 capital base in the core UK group. A parallel trigger applies to exposures from core UK group members that are not firms. Each notice sets out the size and expected duration of the exposures and the reason they were incurred. Three respondents asked the PRA to remove or relax these notifications as duplicative of regulatory reporting; the PRA treated the request as outside the scope of CP14/24 and did not take it forward in this policy statement.

Large exposures reporting under PS20/26: same templates, more counterparties

The large exposures return, listed by the Bank of England as COR002, is governed by the Reporting (CRR) Part. Article 14 requires quarterly reporting using the Annex VIII templates and the Annex IX instructions, and Article 3 sets quarterly remittance by 12 May, 11 August, 11 November and 11 February, moving to the next working day when a date falls on a weekend or public holiday. PRA2026/28 amends the Reporting (CRR) Part only to point paragraph 6.249 at the new Annex IX. For the template mechanics in an EU setting, our COREP reporting guide sets out the shared structure.

The new Annex IX describes four templates:

• C 26.00, large exposures limits;
• C 27.00 (LE1), identification of the counterparty;
• C 28.00 (LE2), exposures in the non-trading and trading book;
• C 29.00 (LE3), details of exposures to individual clients within groups of connected clients.

Two respondents asked for template changes because the existing design does not separate exposures arising from CRM substitution from other indirect exposures, such as exposures to the underlying instruments of derivatives. The PRA declined and kept the templates unchanged, judging them sufficient for supervisory monitoring, and amended the instructions instead (paras 7.2 and 7.3). In C 28.00, substituted amounts appear as indirect exposures in columns 120 to 170 against the issuer or guarantor and, on my reading of the column definitions, as negative substitution effects in columns 240 to 290 on the original counterparty’s row. Exempted amounts go in column 320, and the exposure used for the limit test is in columns 330 to 350.

My reading of the instructions is that the counterparty population will grow. Column 040 (total original exposure) includes indirect exposures, and column 210 is the value used to decide whether an exposure is a large exposure under Article 392, which is 10% of Tier 1. A collateral issuer whose aggregated indirect exposures reach that level becomes a reportable large exposure even where the whole amount is exempt and appears again in column 320. On a consolidated basis, the GBP 260 million reporting threshold for exposures below 10% of Tier 1 applies to those issuers in the same way.

The identification data has to follow. C 27.00 column 011 requires an LEI for institutions and insurance undertakings, and for other entities an LEI or, where none is available, a national code, used consistently across templates and over time. Respondents told the PRA that identifying collateral issuers and monitoring frequently changing collateral pools are implementation challenges (para 8.2), and those identifiers now have to exist in reporting-grade form. The same Annex IX version marks column 310 (real estate) as deleted; PS14/25 removed immovable property as CRM for large exposures from 1 January 2026.

The first quarter-end after the rules apply is 31 March 2028. On the current Article 3 calendar that return is due by 12 May 2028, a Friday. PS20/26 does not say which instruction version governs the 31 December 2027 return remitted in February 2028; my working assumption is that the rules in force at the reference date apply, and that point is worth confirming with the PRA before the year-end run.

Rulebook merge, Basel 3.1 and the work still to come

Annex B of PRA2026/28 deletes the Large Exposures Part in its entirety. Its content moves into the Large Exposures (CRR) Part: the NCLEG framework and its notifications, the legacy sovereign large exposures permissions in Article 400(8) and (9), and the exemption for certain intragroup resolution exposures, now Article 400(1B). The Group Financial Support Part condition in rule 4.1(8) is amended to refer only to the Large Exposures (CRR) Part. Internal policies, limit frameworks and procedure documents that cite the deleted Part need re-pointing by 1 January 2028, a migration that follows the 1 January 2027 changes described in our note on the CRR definitions restatement.

The PRA is explicit about the limits of the merge. Paragraph 6.3 says that, except for new or amended provisions, the transferred rules, SS16/13 and the reporting instructions were not fully reviewed for changes arising from Basel 3.1, which applies in the UK from 1 January 2027. The PRA is still assessing consequential changes, including the treatment of certain off-balance sheet items and other areas affected by the revised credit risk framework, intends to analyse them during 2027 and will consult on any consequential changes where appropriate.

Several requests did not make it into this package. Respondents asked for the preferential exposure value for certain covered bonds in the Basel large exposures standard, for look-through of covered bonds and securitisations received as collateral, and for application of the framework at subgroup level. The PRA gave no detailed feedback because the requests fell outside CP14/24, and said it may consider them in future policy work (paras 9.2 to 9.4). PS20/26 does not say whether any of them will return alongside the Basel 3.1 consequential work.

Frequently Asked Questions

Our existing NCLEG permission expires in 2029. Do we have to reapply before 1 January 2028?

No. Existing NCLEG permissions and modifications remain valid until they expire, including after 1 January 2028, and a new application follows in the normal course after expiry. The legacy permission runs on the 100% trading book allocation in Article 400(6B)(a), however. A firm that needs room above 100% of Tier 1 for trading book intragroup exposures before 2029 needs a higher NCLEG permission, and can apply from 1 July 2027.

Do overnight stock borrowing, collar financing or intercompany collateral movements get their own treatment under substitution?

No. Respondents asked for exclusions for these and other structures, including bankruptcy-remote arrangements and sub-participations, and for recognition of hedges against indirect exposures. The PRA found limited evidence of disproportionate outcomes and kept substitution as a simple backstop that applies whenever eligible CRM reduces a regulatory exposure, unless one of the specified exemptions applies (para 5.40).

A sovereign whose bonds we take as repo collateral is downgraded from credit quality step 1 to step 2. Does the collateral exposure suddenly count against the limit?

For collateral received as funded credit protection, the final Article 400(1)(m) exemption covers central government and central bank issuers without a credit quality condition, so the downgrade alone does not bring it into the limit. The exposure is still reported. The position differs for a guarantee from the same sovereign: unfunded sovereign protection is exempt only while the sovereign is assigned a 0% risk weight, so a downgrade that changes the risk weight takes that guarantee exposure out of the exemption.

If a trading book excess falls back under the limit on day 6 and rises again on day 8, does a new 10-business-day period start?

The instrument and the policy statement do not describe a reset rule. What Article 398 prohibits is deliberately avoiding the 10-business-day condition through temporary transfers or artificial transactions that close an exposure out and create a new one. Each exceedance also triggers the without-delay report under Article 395(5A), so the pattern will be visible to the PRA. How genuine fluctuations around the limit are counted is a point to agree with the PRA rather than assume.

Does mandatory substitution apply to small domestic deposit takers?

The PRA decided to make substitution mandatory for all firms and rejected requests to exempt smaller firms, while noting that the sovereign and tri-party exemptions apply irrespective of size and may particularly help firms with fewer alternatives for managing collateral (paras 5.21 and 5.23). The amended Article 403(1) text in the instrument contains no SDDT carve-out. SDDTs keep their own simplified derivative exposure formula in Article 390(4), which the instrument leaves in place.

Can an indirect exposure to a bond issuer be offset against a short position in that issuer’s bonds?

Only where the existing prudential framework already recognises the netting, for example under a qualifying master netting agreement for SFTs. Where no recognised netting arrangement exists, the PRA expects the direct and indirect exposures to the same issuer to be aggregated, because the offset may not be realisable in practice (para 5.31).

Related Articles

• Large Exposures Reporting for Luxembourg Banks: COREP LE Templates and Connected Clients: the EU large exposures regime and the C 26.00 to C 29.00 templates from a Luxembourg filer’s perspective.
• COREP Reporting Explained: A Practical Guide to Prudential Reporting: legal basis, filers, main templates, frequencies and deadlines for COREP.
• PRA CRR Definitions Restatement: The 1 January 2027 Rulebook Switch: how revoked UK CRR definitions move into the PRA Rulebook and other sources from 2027.
• SMF Collateral Eligibility: What the BoE’s 2026 Changes Mean for UK Bank Liquidity Pools and Returns: the 2026 Sterling Monetary Framework collateral changes and their reporting effects.

Key Takeaways

• By 1 January 2028, build issuer-level aggregation of indirect exposures across all books and counterparties; exempt indirect exposures should still be reported on a separate line from direct exposures to the same counterparty.
• Re-run intragroup SFT exposures on the Credit Risk Mitigation (CRR) Part methods now: that number decides whether a higher NCLEG application is worth filing from 1 July 2027.
• Reset trading book limit alerts to two triggers: 85% of Tier 1 as a hard ceiling, and a business-day counter where day 11 is a breach.
• Legacy NCLEG permissions survive to expiry but stay on the 100% basis; 350% requires a higher NCLEG permission.
• Sovereign collateral is exempt regardless of rating; a sovereign guarantee is exempt only while the 0% risk weight holds.
• Write down the methodology for SFTs under master netting agreements and the SA-CCR pro rata allocation; the PRA left the first to firms and set an expectation for the second in SS16/13.
• Re-point every policy and procedure reference to the Large Exposures Part, which no longer exists from 1 January 2028.

Sources and References

• PRA, PS20/26 Amendments to the Large Exposures Framework, Part 2 (10 November 2026): bankofengland.co.uk
• PRA, PRA Rulebook: CRR Firms: Large Exposures Omnibus Instrument 2026 (PRA2026/28), Appendix 1 to PS20/26: PDF
• PRA, Annex IX: Instructions for reporting on Large Exposures and Concentration Risk (version published with PS20/26): PDF
• PRA, SS16/13 Large Exposures (versions page, including the version effective 1 January 2028): bankofengland.co.uk
• PRA, CP14/24 Large Exposures Framework (18 October 2024): bankofengland.co.uk
• PRA, PS14/25 Amendments to the Large Exposures Framework, Part 1 (17 July 2025): bankofengland.co.uk
• PRA Rulebook, Large Exposures (CRR) Part (Articles 395, 396 and 403 as currently in force): prarulebook.co.uk
• PRA Rulebook, Reporting (CRR) Part (Articles 3 and 14): prarulebook.co.uk
• Bank of England, Regulatory reporting: banks, building societies and investment firms (COR002 and Annexes VIII and IX): bankofengland.co.uk
• Regulation (EU) 2019/876 (CRR2), replacing Article 403 CRR: EUR-Lex
• Basel Committee on Banking Supervision, Supervisory framework for measuring and controlling large exposures (April 2014): bis.org

Planning to 1 July 2027 and the first 2028 return

PS20/26 gives UK firms two dates to plan against, 1 July 2027 and 1 January 2028, and the first 2028 return then falls under the existing Article 3 calendar. The substitution engine, the business-day excess counter and the collateral-issuer identifiers all need to be live for positions from 1 January 2028, and the first quarter-end return built on them falls due by 12 May 2028 on the current calendar. Before either, firms with heavy intragroup SFT books need the remeasured exposures in hand so that a higher NCLEG application can go to the PRA as soon as the window opens on 1 July 2027.

Disclaimer: The information on RegReportingDesk.com is for educational and informational purposes only. It does not constitute legal, regulatory, tax, or compliance advice. Always consult your compliance officer, legal counsel, or the relevant supervisory authority for guidance specific to your institution.