PRA Issues Statements on Data Collection for Market Risk Sensitivities
PRA issued a policy statement PS25/17 and supervisory statement SS7/17 on the Solvency II data collection of market risk sensitivities. SS7/17 includes a template and instructions for reporting market risk sensitivities, which are available on the Solvency II insurance firms’ regulatory reporting webpage. PS25/17 provides feedback to responses to the consultation paper CP7/17 on Solvency II data collection of market risk sensitivities and includes a link to the final Supervisory Statement SS7/17.
PS25/17 is relevant to PRA-regulated insurance or reinsurance firms that are most exposed to market risks. These are primarily Category 1 and 2 firms in the life sector, along with any other category life firm or general insurance firm, or composite insurance firm that demonstrates material market risk exposures. The associated SS7/17 sets out the PRA expectations in respect of the reporting of sensitivities of solvency position to various changes in market conditions by firms with material exposure to market risk. It is relevant to Solvency II insurance and reinsurance firms holding, or intending to hold, material quantities of assets exposed to market risk. Firms in scope can report sensitivities to various changes in market risks half-yearly using the provided template. SS7/17 refers to the year-end December 31, 2017: firms’ submissions of the completed templates will be the solo Quantitative Reporting Template reporting deadline plus four weeks, that is, March 18, 2018 for the first submission.
PRA had received ten responses to CP7/17. Overall, PRA considers that the responses require no material changes to its proposals. PRA has made amendments to the draft SS7/17 to provide further clarity to firms. The amendments concern the scope of firms, timeline of data submission (including the regularity of data requests), and date of the first formal data submission. Chapter 2 explains these changes and provides further minor clarifications in light of the feedback received.
Related Links
Keywords: Europe, UK, Insurance, Reporting, PS25/17, SS7/17, CP7/17, Solvency II, PRA
Featured Experts
David Fihrer
Skilled life insurance actuary; subject matter expert on IFRS 17 and source of earnings
Paul McCarney
Insurance product strategist; insurance domain expert; extensive experience developing risk assessment frameworks for insurers
Brian Robinson
Actuary; risk management specialist; corporate and capital modelling expert
Previous Article
U.S. Senate Committee Hearing on Combating Money LaunderingRelated Articles
SEC Finalizes Climate-Related Disclosures Rule
The U.S. Securities and Exchange Commission (SEC) has finalized the long-awaited rule that mandates climate-related disclosures for domestic and foreign publicly listed companies in the U.S.
US Regulators Release Stress Test Scenarios for Banks
The U.S. regulators recently released baseline and severely adverse scenarios, along with other details, for stress testing the banks in 2024. The relevant U.S. banking regulators are the Federal Reserve Bank (FED), the Federal Deposit Insurance Corporation (FDIC), and the Office of the Comptroller of the Currency (OCC).
Asian Governments Aim for Interoperability in AI Governance Frameworks
The regulatory landscape for artificial intelligence (AI), including the generative kind, is evolving rapidly, with governments and regulators aiming to address the challenges and opportunities presented by this transformative technology.
EBA Proposes Operational Risk Standards Under Final Basel III Package
The European Union (EU) has been working on the final elements of Basel III standards, with endorsement of the Banking Package and the publication of the European Banking Authority (EBA) roadmap on Basel III implementation in December 2023.
EFRAG Proposes XBRL Taxonomy and Standard for Listed SMEs Under ESRS
The European Financial Reporting Advisory Group (EFRAG), which plays a crucial role in shaping corporate reporting standards in European Union (EU), is seeking comments, until May 21, 2024, on the Exposure Draft ESRS for listed SMEs.
ECB to Expand Climate Change Work in 2024-2025
Banking regulators worldwide are increasingly focusing on addressing, monitoring, and supervising the institutions' exposure to climate and environmental risks.
BIS Bulletin Examines Cognitive Limits of Large Language Models
The use cases of generative AI in the banking sector are evolving fast, with many institutions adopting the technology to enhance customer service and operational efficiency.
ECB is Conducting First Cyber Risk Stress Test for Banks
As part of the increasing regulatory focus on operational resilience, cyber risk stress testing is also becoming a crucial aspect of ensuring bank resilience in the face of cyber threats.
EBA Continues Momentum Toward Strengthening Prudential Rules for Banks
A few years down the road from the last global financial crisis, regulators are still issuing rules and monitoring banks to ensure that they comply with the regulations.
EU and UK Agencies Issue Updates on Final Basel III Rules
The European Commission (EC) recently issued an update informing that the European Council and the Parliament have endorsed the Banking Package implementing the final elements of Basel III standards