PRA published an occasional consultation paper (CP13/19) that proposes minor amendments to the PRA Rulebook Parts, supervisory statements, and bank and insurer reporting templates. The proposed changes fall under the Solvency II and Capital Requirements Regulation (CRR). Among other changes, CP13/19 consults on corrections and clarifications to National Specific Templates (NSTs), internal model output templates, and associated LOG files, along with the discontinuation of the FSA006 return, which provides PRA with Value at Risk (VaR) back-testing data for banks. The consultation closes on August 07, 2019.
The proposals in CP13/19 are included in five chapters as follows:
- In Chapter 2, PRA sets out proposals to update SS3/15 on the quality of capital instruments under Solvency II to reflect changes in the Solvency II regulations that were approved by European Parliament on April 16, 2019. The draft amendments to SS3/15 are set out in Appendix 1
- In Chapter 3, PRA sets out proposals to delete extraneous and historical material from SS8/14 and SS2/15 to align with the current format and bring the supervisory statements up to date. SS8/14 provides information on subordinated guarantees and the quality of capital for insurers. SS2/15 covers the topic of own funds under Solvency II. The draft amendments to SS8/14 and SS2/15 have been set out in appendices 2 and 3, respectively.
- Chapter 4 sets out proposals to discontinue the FSA006 return. FSA006 return provides PRA with VaR back-testing data. PRA proposes discontinuing FSA006 and updating the Regulatory Reporting Part of the PRA Rulebook. PRA proposes deleting all references to FSA006 from SS34/15 on guidelines for completing regulatory reports. The draft instrument removing FSA006 from PRA rules and the draft amendments to SS34/15 have been set out in appendices 4 and 5, respectively. This chapter is relevant to the UK banks and UK designated investment firms with CRR Internal Model Approach permissions.
- Chapter 5 sets out the PRA proposals to make minor updates, corrections, and clarifications to National Specific Templates (NSTs), NST LOG files, internal model output templates and LOG files, and related SS25/15 on regulatory reporting internal model outputs. PRA proposes to amend NSTs including NS.07 and NS.08 (template and LOG file); NS.10 and NS.11 (LOG file); and Reporting Part of the PRA Rulebook. Internal model outputs to be amended include IM.00 and IM.03 (template and LOG file). The proposed changes have been set out in appendices 6-9. This chapter is relevant to all Solvency II firms, including the Society of Lloyd’s.
During the consultation period, PRA will be issuing a Public Working Draft (PWD) of the taxonomy update to support collection of the proposed changes to NSTs, internal model output, market risk sensitivities and standard formula reporting. The PWD will include the interaction of these changes with the draft EIOPA Taxonomy 2.4 changes. PRA plans to give firms no less than three weeks to review the PWD. Pending consideration of the responses to the consultation, the proposed implementation date for Chapter 5 is November 30, 2019 whereas proposed implementation date for chapters 2-4 will be the publication date of the final policy.
Comment Due Date: August 07, 2019
Effective Date: November 30, 2019 (Chapter 5) and Publication Date of Final Policy (Chapter 2-4)
Keywords: Europe, UK, Banking, Insurance, Reporting, PRA rulebook, CP13/19, Solvency II, CRR, National Specific Templates, FSA006, Internal Model, PRA
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