PRA Proposes Amendments on Longevity Risk Transfers Under Solvency II
PRA published the consultation paper CP3/19, which sets out proposals to update the supervisory statement (SS18/16) on longevity risk transfers under Solvency II. PRA proposes to change its expectations for pre-notification of longevity risk transfers and hedge arrangements and to update the key risks arising from longevity risk transfers. Comments are requested by May 06, 2019. CP3/19 is relevant to PRA-authorized UK firms that fall within the scope of the Solvency II Directive and to the Society of Lloyd’s.
PRA proposes to update SS18/16 to change its expectations for how firms notify PRA of new longevity risk transfer arrangements and to highlight an additional key risk (basis risk) that should be included in firms’ assessments of the residual risks these transactions give rise to. The proposed changes differentiate between the level of pre-notification expected for large and/or complex transactions and other transactions. For large and/or complex transactions, which are defined in the updated SS18/16, PRA does not propose to change how firms engage with PRA in advance of their execution. However, for other transactions, PRA proposes to streamline the notification process by enabling firms to report these via a template. In addition to simplifying and standardizing the information firms are required to provide to PRA, this will also remove the need for the information to be reviewed by PRA in advance.
Related Links
Comment Due Date: May 06, 2019
Keywords: Europe, EU, Insurance, Solvency II, Longevity Risk Transfers, Proportionality, Pre-notification Expectation, CP3/19, SS18/16, PRA
Featured Experts
Adam Koursaris
Asset and liability management expert; capable modeler; risk and capital specialist
Cassandra Hannibal
Life insurance actuary; risk management and economic capital specialist
Jerome Ogrodzki
Insurance asset and liabilities modeling specialist; stochastic modeling expert
Previous Article
FDIC Finalizes Rules on Community Bank Leverage Ratio FrameworkRelated Articles
EBA Clarifies Use of COVID-19-Impacted Data for IRB Credit Risk Models
The European Banking Authority (EBA) published four draft principles to support supervisory efforts in assessing the representativeness of COVID-19-impacted data for banks using the internal ratings based (IRB) credit risk models.
EP Reaches Agreement on Corporate Sustainability Reporting Directive
The European Council and the European Parliament (EP) reached a provisional political agreement on the Corporate Sustainability Reporting Directive (CSRD).
PRA Consults on Model Risk Management Principles for Banks
The Prudential Regulation Authority (PRA) launched a consultation (CP6/22) that sets out proposal for a new Supervisory Statement on expectations for management of model risk by banks.
EC Regulation Amends Standards for Calculating Credit Risk Adjustments
The European Commission (EC) published the Delegated Regulation 2022/954, which amends regulatory technical standards on specification of the calculation of specific and general credit risk adjustments.
BIS Hub Updates Work Program for 2022, Announces New Projects
The Bank for International Settlements (BIS) Innovation Hub updated its work program, announcing a set of projects across various centers.
EIOPA Issues Cyber Underwriting Proposal, Statement on Open Insurance
The European Insurance and Occupational Pensions Authority (EIOPA) published two consultation papers—one on the supervisory statement on exclusions related to systemic events and the other on the supervisory statement on the management of non-affirmative cyber exposures.
US Senate Members Seek Details on SEC Proposed Climate Disclosure Rule
Certain members of the U.S. Senate Committee on Banking, Housing, and Urban Affairs issued a letter to the Securities and Exchange Commission (SEC)
EIOPA Consults on Review of Securitization Framework in Solvency II
The European Insurance and Occupational Pensions Authority (EIOPA) published a consultation paper on the advice on the review of the securitization prudential framework in Solvency II.
UK Authorities Issue Regulatory and Reporting Updates for Banks
The Prudential Regulation Authority (PRA) issued a statement on PRA buffer adjustment while the Bank of England (BoE) published a notice on the statistical reporting requirements for banks.
BCBS Issues Climate Risk Principles while HKMA Expresses Its Support
The Basel Committee on Banking Supervision (BCBS) issued principles for the effective management and supervision of climate-related financial risks.
