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Home > Prudential Regulation Authority > Solvency II materials

Solvency II materials

Solvency II news  |  Solvency II materials  |  2015 news archive  |  2014 news archive  |  2013 news archive

This page is intended as a repository of information and materials published on the PRA's Solvency II pages of its website before Solvency II came into force on 1 January 2016. Please note that materials have not been updated following implementation of the Directive.

1. Internal model review and assessment work feedback

The PRA has provided feedback on elements of its internal model review and assessment work with firms through supervisory statements, conferences, web updates, briefings and letters form the PRA Insurance directors.

On 15 January 2016, Sam Woods, Executive Director of Insurance Supervision, issued a letter ‘Reflections on the 2015 Solvency II internal model approval process’. The letter focuses on the use by the PRA of a ‘Quantitative Framework’ as one tool to assist with decision making in the internal model approval process. While the general philosophy set out in the letter has applied to all model reviews, the focus of the annex is on life issues. The letter also sets out the PRA’s views on the Solvency II Solvency Capital Requirement, whether it results from the use of an internal model or the standard formula.

Letter from Sam Woods ‘Reflections on the 2015 Solvency II internal model approval process’, 15 January 2016 - ARCHIVED

On 13 March 2015, the PRA published its observations of internal model validation in internal models to assist firms in their preparations for formal internal model applications.

PRA Solvency II: Observations of internal model validation, 13 March 2015

On 1 May 2014, the PRA held an event on technical issues for general insurers intending to use an internal model. The delegate pack is available below. The event followed the publication of SS5/14 on 25 April 2014, and the publication of feedback on the first stage of a thematic review of technical provisions, conducted in 2012.
On 2 April 2014, the PRA held an event on technical issues for life insurers intending to use an internal model. The delegate pack is available below.
On 12 December 2013, the PRA shared anonymised examples to demonstrate the principles of good documentation.
Firms may also find it helpful to refer to feedback given by Julian Adams, then in his capacity as Deputy Head PRA and Executive Director Insurance, in the letters of 14 May 2012 and 24 July 2012.

2. Internal model change policy

On 7 May 2015, the PRA produced the following good practice in a number of key aspects of model change policy. This is not an exhaustive list and firms should consider all the relevant Solvency II requirements and Guidelines when developing their model change policy. 

3. Early warning indicators

On 23 May 2013, Julian Adams, then in his capacity as PRA Deputy Head and Executive Director for Insurance, wrote to IMAP firms on the introduction of early warning indicators in the ICAS regime. This followed two letters sent to firms on 18 June 2012 and 28 September 2012, on the development of early warning indicators to monitor the ongoing appropriateness of Solvency II internal models after approval.

4. Matching adjustment

From June 2014 to June 2015, the PRA published a range of materials to help firms prepare to make an application for the matching adjustment ahead of Solvency II coming into force on 1 January 2016. This included a matching adjustment pre-application process. The documents are available below as reference and have not been updated following the implementation of Solvency II.

5. Volatility adjustment and the internal model update

On 5 June 2015, the PRA provided clarification for firms on volatility adjustment in the modelling of market and credit risk stresses.

6. Solvency II balance sheet, technical provisions and own funds review

The PRA published Solvency II balance sheet feedback provided in June 2015 on the review of the balance sheet in addition to earlier published information on the review of the balance sheet from February 2015 and October 2014.

7. Solvency II Conference: countdown to implementation

On Friday 17 October 2014 the PRA held a full-day industry conference on Solvency II, which provided information on what firms needed to do to prepare for transposition on 31 March 2015 and implementation on 1 January 2016. 

The conference opened with two key note speeches from Paul Fisher, Deputy Head of the PRA and Executive Director of Insurance and David Rule, Executive Director of Prudential Policy. The agenda and the five presentations that were given on key Solvency II areas are all available below.

8. 2014 data collection exercises

On 12 December 2014, the PRA published feedback on the results of the standardised risk information data collection exercise for general insurance firms.
 PRA Solvency II feedback on May 2014 SRI data collection exercise for general insurance firms, December 2014
On 17 October 2014, the PRA presented feedback on the SCR comparison as part of the standard formula component of the Solvency II: Countdown to implementation conference.
PRA Solvency II Conference: Standard formula, October 2014
On 23 May 2014, the PRA issued data collection exercises to a number of life and general insurance firms. Returns were received in August 2014. The request comprised:
  • the SCR comparison, intended to help the PRA understand the differences between the Individual Capital Assessment (ICA), standard formula SCR, and internal model SCR, and the impact of the standard formula on firms and the industry; and
  • a set of standardised risk information, intended to enable the PRA to refine its industry analysis and develop its understanding of the drivers for overall capital requirements.

9. 2013 data collection exercises

On 31 May 2013, the PRA sent data requests to a number of life and general insurance firms (including Lloyd’s syndicates) for responses by 31 July 2013. A summary of the information requested and the purpose of the requests can be found in PRA data collection exercises below. On 7 February 2014, the PRA published feedback on the 2013 data collection exercises, which provided key thematic points about the data, and outlined how the PRA intended to use it. (See Detailed PRA feedback on 2013 data collection exercises below).