Since the introduction of Solvency II, the PRA has periodically issued an information request for asset and liability data and cashflows for Matching Adjustment (MA) Portfolios. The data request builds on information contained in QRTs to ensure the PRA has a full picture of how MA portfolios are invested and can also see trends over time.
On Friday 14 April 2023, we released the Matching Adjustment Asset and Liability Information Request for Year End 2022. The Information Request is relevant to all firms with MA approval, or who are seeking to obtain MA approval. There is a 10-week response window with submissions due back, through the Bank of England Electronic Data Submission (BEEDS) portal, by Friday 23 June 2023. Completion of the request is voluntary; however, all firms with existing MA approval and firms in the process of applying for MA approval are strongly encouraged to participate.
The Information Request asks for both granular asset data and asset and liability cashflow data, relating to the relevant firms’ MA Portfolios under the existing Solvency II regime. This Information Request is not part of the Solvency II reform consultations. It does; however, aim to gather information which will be used to inform the PRA’s supervision of firms and to complement PRA Policy work, including the assessment of the potential impacts of certain Solvency II reform proposals on firms. As such, we ask that participating firms prioritise resource to ensure data provided can be relied upon for these purposes.
We encourage participants to engage with the Information Request early and provide any feedback or queries within the first few weeks of the response window. Please raise any queries with your usual supervisory contact or InsuranceData@bankofengland.co.uk.
We will be hosting a technical roundtable event to cover both general and technical comments or questions regarding the Information Request. Invitations will be sent out before the end of April. If your firm has not received an invitation and wishes to attend, please contact InsuranceData@bankofengland.co.uk with the contact details of the representative(s) from your firm that wish to attend.
It is important to emphasise that the roundtable is not a replacement for completing the Information Request. It is an opportunity for firms to engage with the PRA and each other in an efficient manner in order to gain clarity on any areas of it which may be unclear or challenging.
We will endeavour to capture and potentially publish on our website, a list of questions raised which are sufficiently general, and which we believe will be of value to the wider industry. Any questions that we do publish will be anonymised. The event itself will not be recorded.
A link to the MA Asset and Liability Information Request template for YE22 is available for firms to complete.
If you have any questions, please refer to the MA Asset and Liability Information Request Q&A.