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.
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Keywords: Europe, UK, Insurance, Reporting, PS25/17, SS7/17, CP7/17, Solvency II, PRA
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