PRA consults on Solvency II

The PRA has today published two consultation papers relating to Solvency II.

The first consultation paper “Solvency II: External audit of the public disclosure requirement” sets out the PRA’s proposals rule that requires the external audit of parts of the Solvency and Financial Condition Report, under Rule 2 of the External Audit part of the PRA Rulebook.

The second consultation paper, “Solvency II: Internal models – modelling of the volatility adjustment”, sets out the PRA’s proposal to consider applications from internal model firms that include a dynamic volatility adjustment (DVA). It also sets out the PRA’s draft expectations of internal model firms when determining the risks that might arise from the DVA when calculating the solvency capital requirement.

Both consultations close on 11 July 2018.