PRA publishes CP7/17 on data collection of market risk sensitivities

The Prudential Regulation Authority today published consultation paper CP7/17, setting out proposed expectations for Solvency II data collection on market risk sensitivities from selected insurers.

• Scope of consultation: CP7/17, titled ‘Solvency II: Data collection of market risk sensitivities’, outlines how the Prudential Regulation Authority plans to gather information on insurers’ exposure to movements in key market risk factors under the Solvency II regime.

• Frequency of submissions: Under the Prudential Regulation Authority’s expectations, in-scope firms would report these market risk sensitivities on a half-yearly basis, creating a recurring dataset on how their solvency positions respond to market shocks.

• Definition of market risks: The Prudential Regulation Authority states that market risks for this purpose cover a range of exposures linked to various market risk factors, indicating that the data collection will extend across multiple asset and liability drivers rather than a single risk type.

• Consultation timetable: The consultation on CP7/17 is scheduled to close on 7 August 2017, after which the Prudential Regulation Authority will review feedback before finalising its approach to ongoing market risk sensitivity reporting.

• Transition to supervisory statement: The Prudential Regulation Authority plans to embed its final expectations in Supervisory Statement SS7/17, ‘Solvency II: Data collection of market risk sensitivities’, which will formalise the reporting framework for firms once the consultation process is complete.

• Link to Solvency II framework: The proposed data collection sits within the existing Solvency II regime, focusing on how insurers’ solvency metrics respond to market risk movements rather than introducing new capital requirements.