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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


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.