Solvency II: Updates to internal model output reporting

Policy Statement 24/18 | Consultation Paper 10/18

Published on 17 October 2018

Solvency II: Updates to internal model output reporting – PS24/18

Overview

This Prudential Regulation Authority (PRA) Policy Statement (PS) provides feedback to responses to Consultation Paper (CP) 10/18 ‘Solvency II: Updates to internal model output reporting’. It also contains the PRA’s final policy, as follows:

This PS is relevant to all UK Solvency II firms, and the Society of Lloyd’s in respect of each of their syndicates and in respect of outputs of the Lloyd’s internal model.

Summary of responses

After considering the responses, the PRA has made a number of minor amendments to the expectations and LOG files. The PRA considers that the changes continue to reduce the overall reporting burden on firms and provide further clarity on completion of the relevant templates. Chapter 2 of this PS summarises the issues raised by respondents and provides further details of the changes.

Implementation and next steps

The policy will take effect for all financial year-ends on, or after, Monday 31 December 2018.

PDF Policy Statement 24/18

Appendix 1: SS25/15 ‘Solvency II: regulatory reporting, internal model outputs’

Appendix 2: SS26/15 ‘Solvency II: ORSA and the ultimate time horizon – non-life firms’


Published on 20 April 2018

Solvency II: Updates to internal model output reporting – CP10/18

Overview

In this consultation paper (CP), the Prudential Regulation Authority (PRA) proposes updates to Supervisory Statement (SS) 25/15, ‘Solvency II: regulatory reporting, internal model outputs’, and SS26/15, ‘Solvency II: ORSA and the ultimate time horizon – non-life firms’. 

The CP is relevant to all UK Solvency II firms and the Society of Lloyd’s in respect of each of their syndicates and in respect of outputs of the Lloyd’s internal model. 

The PRA proposes to amend the life, counterparty and non-life templates and the associated instructions (LOG files) in SS25/15 and SS26/15 with the changes set out in the Appendices and as described below. These changes would take effect from 31 December 2018 for financial year-end 2018 reporting onwards. The proposals follow the analysis of the year-end 2016 PRA internal model output request, feedback from individual firms and the PRA’s package of insurance reporting reforms.

The PRA has also considered the areas recommended for reform made by the Association of British Insurers (ABI) and discussed with the Treasury Select Committee.

Summary of proposals

This CP proposes changes to reporting of internal model outputs for the following templates and LOG files (available under Appendices below):

  • Internal model risk outputs (life) (IM.01) (SS25/15);
  • Internal model counterparty risk (IM.02) (SS25/15 and SS26/15); and
  • Internal model outputs (non-life) (IM.03.01 to IM.03.11 and MO.03.01 to MO.03.11) (SS25/15 and SS26/15).

Responses and next steps

This consultation closes on Friday 13 July 2018. The PRA invites feedback on the proposals and discussion point set out in this consultation. Please address any comments or enquiries to CP10_18@bankofengland.co.uk.

Appendices

Internal model risk output (Life) – IM.01

ExcelTemplate

PDFLOG file

Internal model counterparty risk – IM.02

ExcelTemplate

PDFLOG file

Internal model outputs (Non-life) – IM.03

ExcelTemplate

PDFLOG file

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