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Home > Prudential Regulation Authority > Solvency II: Data collection of market risk sensitivities – PS25/17
 

Solvency II: Data collection of market risk sensitivities – PS25/17

18 October 2017

Overview

This Prudential Regulation Authority (PRA) Policy Statement (PS) provides feedback to responses to Consultation Paper (CP) 7/17 ‘Solvency II: Data collection of market risk sensitivities’ and includes a link to the final Supervisory Statement (SS) 7/17.

This PS is relevant to PRA-regulated insurance or reinsurance firms that are most exposed to market risks. These are primarily Category 1 and 2 firms in the life sector, and any other category life firm or general insurance firm, or composite insurance firm that demonstrates material market risk exposures.

Feedback on consultation responses

The PRA received ten responses to CP7/17. Overall, the PRA considers that the responses require no material changes to its proposals. The PRA has made amendments to the draft SS to provide further clarity to firms. The amendments concern the scope of firms, timeline of data submission (including the regularity of data requests), and date of the first formal data submission. Chapter 2 explains these changes and provides further minor clarifications in light of feedback received.

Policy statement

Solvency II: Data collection of market risk sensitivities – PS25/17

Appendix

Solvency II: Data collection of market risk Sensitivities – SS7/17

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