In this Consultation Paper (CP), the Prudential Regulation Authority (PRA) sets out its proposals to update Supervisory Statement (SS) 18/16 ‘Solvency II: longevity risk transfers’. It proposes to change its expectations for pre-notification of longevity risk transfers and hedge arrangements, and update the key risks the PRA considers arise from longevity risk transfers.
This CP is relevant to PRA-authorised UK firms that fall within the scope of the Solvency II Directive and to the Society of Lloyd’s.
Summary of Proposals
The PRA proposes to update SS18/16 to change its expectations for how firms notify the PRA of new longevity risk transfer arrangements; and to highlight an additional key risk (basis risk) which should be included in firms’ assessments of the residual risks these transactions give rise to.
Responses and next steps
This consultation closed on Monday 6 May 2019. The PRA invites feedback on the proposals set out in this consultation. Please address any comments or enquiries to CP3_19@bankofengland.co.uk.