PRA Consults on Internal Model Output Reporting Under Solvency II
PRA published the consultation paper CP10/18, which proposes updates to the internal model output reporting by updating the supervisory statements SS25/15 and SS26/15. SS25/15 sets out the PRA expectations of firms and provides further clarity on the information to be reported by firms using an internal model to calculate the solvency capital requirement (SCR). SS26/15 sets out the PRA expectations on how non-life firms should identify and manage all risks to which their business could be exposed over the long and short term. Comment period for CP10/18 closes on July 13, 2018. PRA also published CP11/18, which proposes changes to the file type and reporting format for a number of insurance reporting submissions, to align with Solvency II Quantitative Reporting Templates and international data standards. Comments on CP11/18 must be received by June 01, 2018.
CP10/18. PRA proposes to amend the life, counterparty, and non-life templates, along with the associated instructions (LOG files) in SS25/15 and SS26/15 (with the changes set out in the appendices). The changes would take effect from the year-end 2018 reporting onward. The proposals follow the analysis of the year-end 2016 PRA internal model output request, feedback from individual firms, and the PRA package of insurance reporting reforms. PRA has also considered the areas recommended for reform made by the Association of British Insurers (ABI) and discussed with the Treasury Select Committee.
CP11/18. CP11/18 details the proposals to potentially change the reporting format from Microsoft Excel workbooks to XBRL standards for National Specific Templates, internal model outputs, market risk sensitivities, and standard formula reporting for firms with an approved internal model. PRA does not propose changes to the underlying content of the reports. In the policy statement PS2/15 titled "Solvency II: a new regime for insurers," PRA published the National Specific Templates and the accompanying LOG files. The templates are currently published in Excel format. In paragraph 12.13, PRA said it expected to consult on moving to XBRL reporting and would consult on any change in reporting format.
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Comment Due Date: July 13, 2018 (CP10/18); June 01, 2018 (CP11/18)
Keywords: Europe, UK, Insurance, Solvency II, CP10/18, CP11/18, SS25/15, SS26/15, PS2/15, Internal Model, Reporting, PRA
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