PRA Publishes Policy Statements on Internal Models Under Solvency II

PS19/18 provides the final supervisory statement SS8/18 on modeling of the matching adjustment and an updated version of SS17/16 titled “Solvency II: internal models – assessment, model change and the role of non-executive directors.” It also provides feedback to responses to the consultation paper CP24/17 on modeling of the matching adjustment under Solvency II. PRA had received nine responses to CP24/17. The details of the responses, along with the PRA feedback and final decisions, have been set out in Chapter 2 of PS19/18. SS8/18 and the revised SS17/16 come into effect on July 13, 2018.

PS20/18 sets out the final updated expectations from firms in respect of the model change process set out in the supervisory statement SS12/16 (Appendix 1) and the internal model change policies set out in SS17/16 (Appendix 2). It also provides feedback to responses to the consultation paper CP27/17 on internal models update under Solvency II. PRA had received four responses to the proposals in CP27/17. Respondents welcomed the PRA proposals but also asked for further clarification, guidance, and alternative wording in some areas. The PRA feedback to responses, along with  its decisions, has been set out in Chapter 2 of PS20/18. SS12/16 is effective from July 13, 2018.

Related Links

• PS19/18 and CP24/17
• PS20/18 and CP27/17
• SS8/18
• SS12/16
• SS17/16
• QMC01 Template and LOG File
• Letter to Chief Actuaries of Life Insurers

Effective Date: July 13, 2018

Keywords: Europe, UK, Insurance, Solvency II, Matching Adjustment, Internal Models, PS19/18, PS20/18, SS8/18, SS17/16, SS12/16, Reporting, PRA