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    PRA Published CP7/17 on Data Collection of Market Risk Sensitivities

    June 12, 2017

    PRA published the consultation paper CP7/17 that proposes expectations for the reporting of sensitivities of solvency positions to key market risks by firms with material exposure to market risk. The draft supervisory statement in the appendix contains a proposal to introduce half-yearly reporting of sensitivities in relation to solvency positions of firms.

    The PRA analyzed market sensitivity data to determine how a firm’s solvency position may move under key market stresses. The PRA proposed to request firms to submit half-yearly sensitivities to predetermined market stresses using the proposed template and instructions in the appendix to the draft supervisory statement. It proposed that the first submission of sensitivity results be at the effective date of June 30, 2017, depending on the outcome of this consultation. CP7/17 is relevant to Solvency II insurance and reinsurance firms holding, or intending to hold, material quantities of assets exposed to market risk.

     

    Related Link: CP7/17 Solvency II (PDF)

    Effective Date: August 07, 2017

    Keywords: PRA, Europe, UK, Solvency II, Insurance, Market Risk, Data Collection, Reporting

     


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