15 June 2015

BoE: Solvency II: regulatory reporting, internal model outputs - SS25/15

This supervisory statement sets out the PRA’s expectations of firms, and provides further clarity on the information to be reported by firms using an internal model to calculate the solvency capital requirement (SCR).

It is of interest to UK insurance firms within the scope of Solvency II and to the Society of Lloyd’s in respect of each of their Syndicates and in respect of outputs of the Lloyd’s internal model.

Where a firm uses an internal model, the PRA is required to evaluate ongoing compliance with the Solvency II internal model requirements. To monitor the performance of the approved internal models over time, the PRA expects firms to report the outputs of their approved internal model on an ongoing basis.

The PRA expects firms using an approved internal or partial internal model to calculate their SCR to report the internal model outputs using the relevant templates provided in the Appendices. The template capture selected percentiles of the probability distributions for specific variables as well as some information relevant for the PRA to monitor internal models. These should be submitted at the same time firms submit their annual quantitative reporting template in accordance with the rules for deadlines set out in “PRA Rulebook Solvency II Firms: Reporting Instrument 2015”. Firms using an approved partial internal model should only complete the parts of the templates relevant to the scope of their partial internal model.

Where a firm uses an internal model the PRA is required to evaluate on-going compliance with the Solvency II internal model requirements. To monitor the performance of the approved internal models over time, the PRA expects firms with an approved internal model to report the outputs of the model so that the PRA can supervise internal models on an ongoing basis. The PRA has developed templates that allow firms to capture outputs of different structures of internal models recognising the differences in the structure of internal models and main risk drivers between life and non-life insurance activities. The PRA considers that these templates will make it easier and simpler for firms to supply the relevant information. The templates also allow the PRA to take a consistent view of the performance of approved internal models across firms.

The PRA will keep the content of the templates under review to assess the value of the information and take account of European Insurance and Occupational Pensions Authority (EIOPA) initiatives in this area.

Press release

Supervisory statement

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