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Home > Prudential Regulation Authority > Solvency II: Data collection of market risk sensitivities – CP7/17

Solvency II: Data collection of market risk sensitivities – CP7/17

12 June 2017


This consultation paper (CP) sets out the Prudential Regulation Authority’s (PRA) proposed expectations for the reporting of sensitivities of solvency positions to key market risks by firms with material exposure to market risk.

This CP is relevant to Solvency II insurance and reinsurance firms holding, or intending to hold, material quantities of assets exposed to market risk.

Summary of proposal

The draft supervisory statement in the appendix contains a proposal to introduce half-yearly reporting of sensitivities in relation to firms’ solvency positions. The template is included as an appendix to the draft supervisory statement in this document. Any template for firms to use will be available on the Bank of England website at all times via a link in the final supervisory statement should this proposal go ahead.

The timescales for submissions would be two weeks after the formal submission of Quarterly Reporting Templates for end-June and end-December, or following a significant change in the risk profile of the company (eg following a recalculation of transitional measure on technical provisions or a merger or acquisition). The PRA proposes that the first submission of sensitivity results be at the effective date of 30 June 2017, depending on the outcome of this consultation. 

Responses and next steps

This consultation closed on Monday 7 August 2017.

To be helpful to firms, by the end of June, their usual supervisory contact at the PRA will inform firms individually if they would fall within scope of the proposal. This does not preclude firms outside scope from responding to this consultation or, in due course, from submitting the return should they decide to do so following a discussion with their usual supervisory contact.

Consultation paper

CP7/17 ‘Solvency II: Data collection of market risk sensitivities’