PRA Publishes Policy Statements on Internal Models Under Solvency II
PRA published the policy statements PS19/18 and PS20/18 related to internal models under Solvency II. PRA also published a letter from Sid Malik, Head of Division of Life Insurance and Pensions Risk Division, to Chief Actuaries of life insurers; the purpose of the letter is to share some of the observations and lessons learned from regulatory activities under the Solvency II regime. PRA also published the Quarterly Model Change reporting templates QMC01 and QMC01 LOG file in an update to SS17/16. PRA expects firms with an approved internal model to submit their quarterly minor model change reports via the BoE Electronic Data Submission (BEEDs) portal.
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
Related Insights
|
News
APRA Authorizes New Restricted Authorized Deposit Taking InstitutionAPRA announced that it has authorized Xinja Bank Limited as a restricted authorized deposit-taking institution (Restricted ADI) under the Banking Act 1959.
December 18, 2018
WebPage
Regulatory News
|
|
News
US Agencies Propose Derivative Counterparty Credit Exposure FrameworkUS Agencies (OCC, FED, and FDIC) proposed to implement a new approach for calculating the exposure amount of derivative contracts under the regulatory capital rule.
December 17, 2018
WebPage
Regulatory News
|
|
News
HKMA Announces Intention to Consult on Updated BCBS Disclosure RulesHKMA announced that it will consult the industry in due course on the relevant implementation proposal to give effect to the disclosure requirements of the December 2018 package by BCBS.
December 17, 2018
WebPage
Regulatory News
|
|
News
EBA Finalizes Guidelines on Disclosure of Non-Performing ExposuresEBA published the final guidelines on disclosure of non-performing and forborne exposures.
December 17, 2018
WebPage
Regulatory News
|
|
News
HKMA Issues and Revises Reporting Forms Under the IRRBB FrameworkHKMA issued a revised version of the Supervisory Policy Manual (SPM) IR-1, with an updated title “Interest Rate Risk in the Banking Book” (IRRBB).
December 14, 2018
WebPage
Regulatory News
|
|
News
EBA Single Rulebook Q&A: Second Update for December 2018EBA published answers to six questions under the Single Rulebook question and answer (Q&A) updates for this week.
December 14, 2018
WebPage
Regulatory News
|
|
News
EIOPA Publishes Results of the 2018 Insurance Stress TestEIOPA published the results of its 2018 and fourth stress test for the insurance sector in EU.
December 14, 2018
WebPage
Regulatory News
|
|
News
OSFI Proposes Changes to Guideline on Large Exposure LimitsOSFI proposed revisions to the Guideline B-2 on Large Exposure Limits, for implementation in the first quarter of 2020.
December 13, 2018
WebPage
Regulatory News
|
|
News
BCBS Consults on Disclosure Rules for Leverage Ratio Window-DressingBCBS published a consultative document on revisions to the leverage ratio disclosure requirements to address the leverage ratio window-dressing behavior.
December 13, 2018
WebPage
Regulatory News
|
|
News
PRA Updates the Policy on Approach to Systemic Risk BufferPRA published the final Statement of Policy on the PRA approach to the implementation of the systemic risk buffer (SRB), as proposed in the consultation paper CP29/18.
December 13, 2018
WebPage
Regulatory News
|
