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.
- PS19/18 and CP24/17
- PS20/18 and CP27/17
- 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
In a letter addressed to the industry, the Australian Prudential Regulation Authority (APRA) set out an updated schedule of policy priorities for the banking, insurance, and superannuation industries.
The European Commission (EC) adopted a comprehensive review package of Solvency II rules in the European Union.
The Office of the Comptroller of the Currency (OCC) issued Versions 1.0 of the "Earnings" and "Regulatory Reporting" booklets of the Comptroller's Handbook.
The European Central Bank (ECB) published results of its economy-wide climate stress test, which aimed to assess the resilience of non-financial corporates and euro area banks to climate risks.
The European Banking Authority (EBA) published a report on the use of digital platforms in the banking and payments sector in European Union.
The Hong Kong Monetary Authority (HKMA) published updates on the policy measures that were announced in context of the ongoing pandemic.
The International Swaps and Derivatives Association (ISDA), along with several other associations, submitted a joint response to the Basel Committee on Banking Supervision (BCBS) consultation on preliminary proposals for the prudential treatment of cryptoasset exposures.
BIS published the September issue of the Quarterly Review, which contains special features that analyze the rapid rise in equity funding for financial technology firms, the effectiveness of policy measures in response to pandemic, and the evolution of international banking.
The Basel Committee for Banking Supervision (BCBS) met in September 2021 and reviewed climate-related financial risks, discussed impact of digitalization, and welcomed efforts by the International Financial Reporting Standards (IFRS) Foundation to develop a common set of sustainability reporting standards
The Office of the Comptroller of the Currency (OCC) issued a Cease and Desist Order against MUFG Union Bank for deficiencies in technology and operational risk governance.