On 12 December 2017, the PRA published Consultation Paper 27/17 ‘Solvency II: Internal models update’ and ‘Solvency II: PRA review of model change related processes, policies and reporting’. This CP is the second in a series of improvements to the implementation of Solvency II, as referred in the News Release of 25 October 2017.
On 7 December 2017, an email was sent to principal users of the Bank of England Electronic Data Submission (BEEDS) portal, notifying them of the availability of a User Acceptance Testing (UAT) environment. The UAT environment incorporates Taxonomy 2.2.0 and is being made available for firms to test their Solvency II (annual/ quarterly/ financial stability) submissions in advance of making a legal submission to the BEEDS portal. The UAT environment will be available to firms from Monday 8 January to Friday 19 January 2018.
On 7 December 2017, the PRA published two updates relevant to Solvency II firms:
1. Following the General Insurance Stress Test (GIST) we issued on 11 April 2017, Anna Sweeney, Director of Insurance, sent a letter with the results to CEOs of participating firms. Key findings were:
- the UK general insurance sector in aggregate, and regulated firms at an individual level, are resilient to those scenarios within the regulatory threshold of Solvency II
- there is no evidence that the level of reinsurance interconnectedness, reflected by the concentration to specific reinsurers, has increased since our last exercise in 2015.
General Insurance Stress Test 2017 Feedback
2. Feedback to life insurers on how to improve data quality in the annual Solvency II quantitative reporting templates and national specific templates for 2017 year end reporting, see Regulatory reporting: insurance sector.
On 29 November 2017, the PRA published an updated Remuneration Policy Statement (RPS) reporting template for PRA Category 1 and 2 firms to use for the 2017 performance year to demonstrate compliance with the Solvency II requirements, see the Strengthening accountability webpage.
On 10 November 2017, the PRA published CP24/17 'Solvency II: Internal models - modelling of the matching adjustment'. The CP is addressed to UK Solvency II firms and to the Society of Lloyd’s and its managing agents. It is most relevant to firms with or seeking MA approval and which use a full or partial internal model to determine the SCR, together with UK Solvency II firms when making an assessment as to the appropriateness of the standard formula for their risk profile. This consultation closes on Friday 9 March 2018.
On 3 November 2017, the PRA published CP22/17 ‘Solvency II: Supervisory approval for the volatility adjustment’. This CP is relevant to insurance and reinsurance companies using or intending to use the VA. The consultation closes on Friday 9 February 2018.
On 25 October 2017, the PRA issued a news release ‘PRA launches series of improvements to the implementation of Solvency II’.
On 18 October 2017, the PRA issued three publications relevant to Solvency II firms:
- PS25/17 ‘Solvency II: Data collection of market risk sensitivities’ - The associated SS7/17 sets out the PRA’s expectations in respect of the reporting of sensitivities of solvency position to various changes in market conditions by firms with material exposure to market risk. The PRA has also published an Excel template and instructions for firms to use to report on their market risk sensitivities (available on the insurance firms regulatory reporting webpage). The SS refers to the year end 31 December 2017: firms’ submissions of the completed templates will be the solo Quantitative Reporting Template reporting deadline plus four weeks, ie 18 March 2018 for the first submission.
- Insurance data release - The PRA has developed tools to analyse the data submitted by firms and this release shares some headline outputs from our high-level analysis. There are two main cohorts in the release: life insurers and general insurers. The metrics are themed around capital, assets and technical provisions (including risk margin). Feedback on the release, and suggestions for future releases are requested by 31 December 2017.
- Solvency II: Solvency and Financial Condition Report roundtables – From 4-13 September 2017, the PRA hosted three roundtables with insurers, investors, credit analysts, and equity analysts to discuss the first round of Solvency and Financial Condition Reports (SFCRs) published by EU insurers in 2017. This summary of the roundtables sets out the feedback from both the preparers and users of these reports.
On 1 September 2017, the Prudential Regulation Authority (PRA) updated its April 2017 public disclosure with templates A and B, as required under Article 31(2)(c) of the EU Solvency II Directive.
This public disclosure is designed to foster a uniform level of transparency and accountability between supervisory authorities. This information is accurate as at 1 September 2017 and will be updated on a regular basis.
Solvency II: Template A for the disclosure of aggregate statistical data with regard to insurance and reinsurance undertakings supervised under Directive 2009/138/EC]
Solvency II: Template B for the disclosure of aggregate statistical data with regard to insurance groups supervised under Directive 2009/138/EC
On 28 April 2017 we also published supervisory disclosures in line with its obligations under Article 31(2) of the Solvency II Directive. These disclosures include: aggregate statistical data on key aspects of the application of the prudential framework; a table covering the manner of exercise of the options provided for in the Solvency II Directive; links to the texts of insurance regulations applicable in the United Kingdom; and links to the PRA’s supervisory approach.
This public disclosure is designed to foster a uniform level of transparency and accountability between supervisory authorities. The material published will be of primary interest to PRA authorised insurance companies. This information is accurate as at 28 April 2017 and will be updated on a regular basis.
Solvency II: Supervisory disclosures, the PRA's supervisory approach and insurance regulations applicable in the United Kingdom
On 21 February 2017, David Rule, Executive Director of Insurance Supervision, gave a speech at the Association of British Insurers, London.
Solvency II one year in
As part of its continual updates to Solvency II legislation, the European Insurance and Occupational Pensions Authority (EIOPA) issued taxonomy update v2.1.0 on 15 July 2016. This is to take effect for receipt of data with a reference date of 31 December 2016 and later. The PRA is implementing the taxonomy to be open for firms reporting Q4 data from 13 February 2017.