CP1/21 - Solvency II: Deep, liquid and transparent assessments, and GBP transition to SONIA

Consultation Paper 1/21
Published on 07 January 2021

Overview

This Consultation Paper (CP) sets out the Prudential Regulation Authority’s (PRA’s) proposed approach to deep, liquid and transparent (DLT) assessments and the transition of Solvency II technical information (TI) from the London Interbank Offered Rate (Libor) to the Sterling Overnight Index Average (SONIA) in 2021. 

The proposals in this CP would result in changes to the PRA Statement of Policy (SoP) ‘The PRA’s approach to the publication of Solvency II technical information’ (Appendix).

This CP is relevant to all UK Solvency II firms, including in respect of the Solvency II groups provisions, and to the Society of Lloyd’s and its managing agents. Non-Directive firms are out of the scope of this CP. 

Implementation

The PRA proposes to implement the transition for GBP TI to SONIA from and including Saturday 31 July 2021. 

Responses and next steps

This consultation closes on Wednesday 31 March 2021. The PRA invites feedback on the proposals set out in this consultation. Please address any comments or enquiries to CP01_21@bankofengland.co.uk

The proposals set out in this CP have been designed in the context of the UK having left the European Union and the transition period having come to an end. Unless otherwise stated, any references made to legislation, including that which is ‘retained EU law’, relate to the UK version. The PRA will keep the policy under review to assess whether any changes would be required due to changes in the UK regulatory framework. 

Consultation Paper 1/21

Consultation end date: 31 March 2021

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