Solvency II: Data collection of market risk sensitivities

Policy Statement 25/17 | Consultation Paper 7/17

Published on 18 October 2017

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

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.

PDFPolicy Statement 25/17

Appendix

Supervisory Statement 7/17


Published on 12 June 2017

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

Background

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 closes on Monday 7 August 2017. The PRA invites feedback on the proposal set out in this consultation.

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.

PDFConsultation Paper 7/17

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