Solvency II: Data collection of market risk sensitivities

Supervisory Statement 7/17

First published on 18 October 2017

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.

Current version

Published on 4 September 2020. Effective from 30 November 2020.

- Following PS20/20 ‘Responses to Chapters 2 to 7 of CP3/20 ‘Occasional Consultation Paper’’.

Future version

Published on 29 February 2024. Effective from 31 December 2024.

-Following PS3/24 – Review of Solvency II: Reporting and disclosure phase 2 near-final

Past updates