PRA issues policy statement and supervisory statement on Solvency 2: Data collection of market risk sensitivities

PRA has published a policy statement and supervisory statement 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, and any other category life firm or general insurance firm, or composite insurance firm that demonstrates material market risk exposures.

The supervisory statement  sets out PRA’s expectations in respect of the reporting of sensitivities of solvency position to various changes in market conditions. The policy includes feedback on the responses to its earlier consultation (CP7/17). Overall, the PRA considers that the responses require no material changes to its proposals.

PRA will keep the policy under review to assess whether any changes may be required in connection with Brexit.