PRA Proposes Amendments on Longevity Risk Transfers Under Solvency II

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

• Press Release
• CP3/19 (PDF)
• SS18/16

Comment Due Date: May 06, 2019

Keywords: Europe, EU, Insurance, Solvency II, Longevity Risk Transfers, Proportionality, Pre-notification Expectation, CP3/19, SS18/16, PRA