info@padda-consulting.co.uk     |     0208 249 2407     
 Back to News

Solvency II: Data Collection of Market Risk Sensitivities - CP7/17

This CP sets out the PRA proposed expectations for the reporting of sensitivities of solvency positions to key market risks by firms with material exposure to market risk

http://www.bankofengland.co.uk/pra/Pages/publications/cp/2017/cp717.aspx

 

The draft supervisory statement (in the appendix) contains a proposal to introduce half-yearly reporting of sensitivities in relation to firms’ solvency positions. The timescales for submissions would be two weeks after the formal submission of Quarterly Reporting Templates for end-June and end-December, or following a significant change in the risk profile of the company (eg following a recalculation of transitional measure on technical provisions or a merger or acquisition). The PRA proposes that the first submission of sensitivity results be at the effective date of 30 June 2017, depending on the outcome of this consultation.