Solvency II: Data collection of market risk sensitivities

Supervisory Statement 7/17

Update 26 July 2018

Following publication of Policy Statement (PS) 21/18 ‘Solvency II: Changes to reporting format’, this SS was updated to amend paragraph 4.3 to reflect that firms are expected to submit in XBRL format via Bank of England’s Electronic Data Submission (BEEDS) portal.

Published on 18 October 2017

Background

This supervisory statement sets out the Prudential Regulation Authority’s (PRA) expectations in respect of the reporting of sensitivities of solvency position to various changes in market conditions.

The firms in scope are those insurance or reinsurance firms 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. The PRA will inform firms individually through their usual supervisory contacts whether they fall within the scope outlined above. A firm that has not been contacted but would like to submit the information may do so after discussion with its usual supervisory contact. 

The information requested will enable the PRA to understand how a firm’s financial situation, and through extrapolation that of the sector as a whole, might alter in a stressed scenario.

The PRA expects firms in scope to report sensitivities to various changes in market risks half-yearly, four weeks after the formal submission of solo quarterly Quantitative Reporting Templates for end June and end December.

The appendices to the statement include links to a template and instructions, available on the Regulatory reporting: insurance firms webpage.

Date of publication  Supervisory Statement  Update detail  Effective from 
Current version 
18 October 2017  PDFSupervisory Statement 7/17   Initial publication, October 2017  18 October 2017 
Future version 
26 July 2018  PDFSupervisory Statement 7/17 UPDATE - July 2018   This SS was updated following PS21/18 ‘Solvency II: Changes to reporting format’ This SS will come into effect on 31 December 2018. 

 

 
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