PRA published the policy statement PS20/20, which includes amendments to the PRA rules and supervisory statements, the National Specific Templates (NSTs) and associated LOG files, and the market risk sensitivities data item and associated instructions. PS20/20 also provides feedback to responses to Chapters 2 to 7 of the consultation paper CP3/20, which, among other changes, consulted on proposals to rectify errors identified within versions of PRA101 and Capital+ and to remove incorrect validations from Part 3 of the Branch Return Form template. These changes fall under the Solvency II Directive and the Capital Requirements Regulation (CRR).
Through PS20/20, PRA is updating the following:
- SS24/15 on the PRA approach to supervising liquidity and funding risks (Appendix 1 of PS20/20) and the instructions for completing PRA110 (Appendix 2). Chapter 2 of CP3/20 included proposals to remove redundant material, move certain expectations, align expectations with existing policy material, and make expectations of PRA clearer.
- Insurance Company—Mathematical Reserves Part of the PRA Rulebook (Appendix 3). Chapter 3 of CP3/20 included proposal to replace a reference to LIBOR with Sterling Overnight Index Average (SONIA) as the risk-free rate benchmark within Rule 18.4(2) of Insurance Company—Mathematical Reserves.
- Reporting Part of the PRA Rulebook, NSTs, and associated LOG files (Appendices 9 to 11), along with Market Risk Sensitivities (MRS) template and associated instructions (Appendices 12 and 13), and SS7/17 on data collection of market risk sensitivities under Solvency II (Appendix 14). Chapter 4 of CP3/20 included proposals to make minor amendments to NSTs NS.00, NS.07, and NS.10 (template and LOG file) as well as NST NS.09 (LOG file).
- Parts of the Senior Managers Regime, including Applications and Notifications Part of the PRA Rulebook (Appendix 15), Application Forms (Appendices 16 to 21), and the Statement of Responsibilities (Appendix 22). Chapter 5 of CP3/20 included proposals to make minor administrative changes and corrections to several Senior Managers & Certification Regime (SM&CR) forms.
- Regulatory Reporting Part of the PRA Rulebook (Appendix 23), Branch Return Form (Appendix 24), Branch Return Form validations (Appendix 25), and SS34/15 on guidelines for completing regulatory reports (Appendix 26). Chapter 6 of CP3/20 included proposals to remove incorrect validations from Part 3 of the Branch Return Form template.
- Regulatory Reporting Part of the PRA Rulebook to include rectification of errors identified within versions of PRA101 and Capital+, along with updates to PRA101 template (Appendix 28) and SS34/15 (Appendix 26). Chapter 7 of CP3/10 included proposals to rectify errors identified in versions of PRA101 and Capital+.
PRA received three responses to the proposals in Chapter 4 of CP3/20 (published in March 2020), which deals with the Market Risk Sensitivities (MRS) template and associated reporting instructions under Solvency II, among others. However, no feedback was received to the proposals in Chapters 2, 3, 5, 6, and 7 of CP3/20. After considering the feedback received on the market risk sensitivities template, PRA has updated the notes and instructions, allowing firms to provide further supplementary information in respect of sensitivities 6 and 7. PRA also re-labeled descriptions within the market risk sensitivities template and renamed a title row within the NS.07 template. The policy changes related to proposals set out in Chapters 2, 3, 6, and 7 of CP3/20 will be implemented on publication of the final policy. The final policy changes for proposals set out in Chapters 4 and 5 of CP3/20 will be implemented on November 30, 2020 and October 25, 2020, respectively. In addition, PRA has already published the final policy for Chapter 8 of the CP3/20 in PS17/20, which updated the supervisory statement SS9/13 on the significant risk transfer for securitization transactions.
The policy set out in PS20/20 has been designed in the context of withdrawal of UK from EU and entry into the transition period, during which time UK remains subject to European law. PRA will keep the policy under review to assess whether any changes would be required due to changes in the UK regulatory framework at the end of the transition period, including those arising once any new arrangements with EU take effect. At this time, PRA has assessed that the policy would not need to be amended under the EU (Withdrawal) Act 2018.
Keywords: Europe, UK, Banking, Insurance, PRA Rulebook, Solvency II, CRR, National Specific Templates, Branch Return Form, SM&CR, PRA 110, PRA101, Capital+, CP3/20, PS20/20, SONIA, LIBOR, Basel, Reporting, PRA
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