Solvency II review updates

The PRA has launched the 2022 data collection exercise for the Solvency II review, primarily in support of the matching adjustment (MA) and fundamental spread (FS) calibration reforms. The exercise will cover three main areas:

• a qualitative view of firms’ current asset valuation methods (Part 1);
• valuation methods for each individual asset in the MA asset and liability data template (Part 2); and
• quantitative impacts of the proposed base FS methodology design, solvency capital requirement impacts (quantitative and qualitative) under various specifications, together with qualitative questions covering phasing-in considerations (Part 3).

Selected firms have been asked to respond to Part 1 by 21 July 2022, Part 2 by 1 August 2022, and Part 3 by 12 September 2022, and should do so via the data collection template.

Separately, ECON has published a draft report on the European Commission’s legislative proposal for amending the Solvency II Directive. The report sets out proposed amendments on issues including:

• proportionality;
• supporting the recovery and other EU policy objectives;
• the use of level 1 and level 2 legislation; and
• cooperation between supervisors.