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
APRA has concluded its review of the comprehensive plans of authorized deposit-taking institutions for the assessment and management of loans with repayment deferrals.
ESAs (EBA, EIOPA, and ESMA) published the first joint report that assesses risks in the financial sector since the outbreak of the COVID-19 pandemic.
BoE and HM Treasury confirmed that the COVID Corporate Financing Facility (CCFF) will close for new purchases of commercial paper, with effect from March 23, 2021.
ECB published a decision allowing the euro area banks under its direct supervision to exclude certain central bank exposures from the leverage ratio.
ESAs launched a survey seeking feedback on the presentational aspects of product templates under the Sustainable Finance Disclosure Regulation (SFDR or Regulation 2019/2088).
ECB published input of the European System of Central Banks (ESCB) into the EBA feasibility report on reducing the reporting burden for banks in EU.
EC adopted a decision determining, for a limited period of time, that the regulatory framework applicable to central counterparties, or CCPs, in the UK and Northern Ireland is equivalent to the requirements laid down in the European Market Infrastructure Regulation (EMIR or Regulation 648/2012).
EBA has decided to phase out the guidelines on legislative and non-legislative moratoria of loan repayments, in accordance with the earlier specified end of September deadline.
EBA published an Opinion addressed to EC to raise awareness about the opportunity to clarify certain issues related to the definition of credit institution in the upcoming review of the Capital Requirements Directive and Regulation (CRD and CRR).
ECB finalized the guide on assessment methodology for the internal model method for calculating exposure to counterparty credit risk (CCR) and the advanced method for own funds requirements for credit valuation adjustment (A-CVA) risk.