6 April update: Upcoming Transitional Measure on Technical Provisions (TMTP) Roundtable
We would like to thank the advisory and industry participants for their valuable time and contributions at our latest roundtable session on Internal Model reforms, held on 16 March.
We will be hosting a roundtable event on TMTP, 10:30 - 12:00, Tuesday 19 April 2022. Specifically, we would like to discuss:
- Objectives of TMTP reform
- What we’ve heard from responses to the CfE and QIS on TMTP reform
- Participants’ views on potential reforms to the TMTP framework
- Any other views on TMTP reform
The event will be particularly relevant to firms benefiting from TMTP. The event will also be open to all other regulated firms, representatives from industry bodies, and advisors.
If you are interested in attending the TMTP Roundtable, please contact your relevant supervisor, alongside InsuranceData@bankofengland.co.uk. Dial in details will be sent to attendees prior to the event.
7 March update: Upcoming Internal Model Framework Roundtable
We would like to thank the advisory and industry participants for their valuable time and contributions at our latest roundtable session on Risk Margin reforms, held on 7 March.
We will be hosting a roundtable event on the internal model framework 09:30 - 11:00, Wednesday 16 March 2022. Specifically, we would like to discuss:
- Objectives of internal model framework reform
- Potential changes to internal model tests & standards
- Increased flexibility of the approval process
- Internal model application process
- On-going supervision of firms with approved internal models
The event will be particularly relevant to firms with an approved internal model. The event will also be open to all other regulated firms, representatives from industry bodies, and advisors.
If you are interested in attending the Internal Model Framework Roundtable, please contact your relevant supervisor, alongside InsuranceData@bankofengland.co.uk.Dial in details will be sent to attendees prior to the event.
25 February update: Upcoming Risk Margin Roundtable
We would like to thank the advisory and industry participants for their valuable time and contributions at our latest roundtable session on Fundamental Spread reforms, held on 16 February.
Continuing this series of multilateral engagement, we will be hosting a roundtable event on the Risk Margin 13:00-14:30, Monday 7 March 2022. The event will be relevant for all insurance firms. Representatives from industry bodies, as well as advisors to firms are welcome to attend. Please see the following agenda for the event:
- Overview of evidence provided to the PRA on appropriate level of risk margin for life and for non-life insurance liabilities
- Seeking views from firms on choosing between the CoC/lambda and Margin over current estimate (MOCE) designs
- Seeking views from firms on implementation of reform proposals
- Seeking views from firms on other areas
If you are interested in attending the Risk Margin Roundtable, please contact your relevant supervisor, alongside InsuranceData@bankofengland.co.uk. Dial-in details will be sent to attendees prior to the event.
Details of the Internal Models Roundtable event will be posted shortly. In the future, and to conclude this series of roundtables, a summary of the events will be published on the QIS webpage.
31 January update: Summary Slides from Solvency II firm meetings
During Q4 2021, the PRA met bilaterally with a number of large life insurers to discuss the reasons for the PRA’s focus on the matching adjustment as part of the Solvency II review and to encourage their constructive engagement in addressing the PRA’s concerns. We today publish the slide deck which can be found under Links to Supplementary Documents.
Please note, this slide deck was produced for insurance experts within insurance firms, alongside consultants and advisors. The slides were not produced for web publishing but in the interest of fairness and transparency, the slides have been made available to any interested individual.
20 December update: Fundamental Spread roundtable
During Q1 2022, as part of the PRA’s continued engagement with the insurance industry on the Solvency II review, we intend to host a series of roundtable events on topics including the Fundamental Spread (FS), risk margin, and internal model framework.
On 16 February 2022, we will be hosting the first of these roundtable events, on the FS. Specifically, we would like to discuss:
- What alternative designs to the FS could be considered to address the PRA’s concerns, specifically:
a) the FS appears low in most market conditions;
b) the FS may not be appropriate to firms’ actual asset holdings given the FS is calibrated for corporate bonds whilst firms’ portfolios contain significant proportions of other assets; and,
c) the FS does not respond to risk information in credit spreads.
- What other academic literature on the analysis of liquidity premia or credit spread decomposition is relevant to design and calibration of the FS and MA;
- How reforms to the design of the FS might impact the modelling of the SCR in internal models;
- Comments raised in responses to the PRA’s qualitative questionnaire around how the FS designs tested in the QIS might impact investment behaviour and insurers’ asset allocations.
The event will be relevant for all firms with a matching adjustment portfolio. But all firms, representatives from industry bodies, and advisors to firms are welcome to attend.
If you are interested in attending the FS roundtable, please contact your relevant supervisor, alongside InsuranceData@bankofengland.co.uk.
3 December update: Industry Roundtable Readout
We would like to thank all those that participated in the 30 November post-QIS roundtable. We are grateful for the engagement from attendees, helping to shape our understanding of industry feedback. Specifically, discussions were focussed around the following:
- The rationale for not seeking SCR data
- Our preliminary observations from analysing the QIS results
- Broad themes emerging from qualitative submission
- PRA-industry engagement
We are sending the roundtable slide pack to all those that participated. If you did not attend the roundtable event and would like to receive the pack, please contact InsuranceData@bankofengland.co.uk.
24 November update: Industry Roundtable Agenda
At the 30 November post-QIS roundtable we will discuss the following items:
- Statistics on the QIS submissions
- Recap on the PRA’s approach to designing the QIS, including:
a. The rationale behind the QIS scenarios
b. The rationale for not seeking SCR data
- Readout from the QIS:
a. Our preliminary observations from analysing the QIS results
b. Broad themes emerging from qualitative submissions
- Next steps, in terms of:
a. PRA-industry engagement
b. Delivery of the reform package
16 November update: Industry Roundtable
On Tuesday 30 November, we will be hosting a virtual roundtable between 13:30 and 15:00. The purpose of the roundtable will be to provide an update on the progress of the QIS as a data collection exercise.
We have sent invitations to all insurance firms for which we hold contact details centrally. Up to two representatives per firm will be able to attend. We encourage all firms that made a QIS submission to attend. If you have not received an invitation and would like to attend, please contact your relevant supervisor and InsuranceData@bankofengland.co.uk.
21 October update: Thank you and next steps
On Wednesday 20 October 2021, a significant number of insurance firms submitted completed QIS templates. We recognise the resources and effort dedicated to completing the QIS on time, and would like to thank all those that took part.
We will now begin to check and review this data and will contact individual firms where we have any questions. We are grateful for firms’ on-going involvement and engagement in the QIS. The InsuranceData@bankofengland.co.uk mailbox will remain open for any queries during this time.
We will look to organise a post-QIS submission industry roundtable before the end of the year. Further details will follow on this page.
1 October update: Qualitative Questionnaire Q&A and roundtable event
For clarification, we ask that firms complete the Main QIS template and Qualitative Questionnaire, and submit their return via the BEEDS portal by Wednesday 20 October 2021. For the name of the return, please use the full entity name and FRN of the firm followed by:
- “QIS template” for the Main QIS template
- “QIS Qualitative Questionnaire” for the Qualitative Questionnaire
On Monday 27 September, we published a Q&A document that captures content discussed in the Qualitative Questionnaire roundtable event held on Tuesday 14 September.
We have also updated the Qualitative Questionnaire template to cross-reference further information on potential policy design options, designed to complement the Q&A document.
Both the Qualitative Questionnaire Q&A and updated template can be found under ‘Links to QIS template(s) and instructions’.
We will hold a further roundtable event on Thursday 7 October. If your firm has not received an invitation and wishes to attend, please contact InsuranceData@bankofengland.co.uk with the contact details of the representative(s) from your firm that wish to attend. At this meeting we will:
- address questions on ambiguities in a small number of qualitative questions, that were raised at the Tuesday 14 September roundtable; and
- give a presentation on our concerns over the current design of the matching adjustment.
20 August Update: Quantitative Template Amendments or Corrections
On Friday 20 August, and as detailed in the QIS Q&As, we made some amendments or corrections to the main quantitative QIS template and the QIS instructions.
We also published an unlocked quantitative QIS template to allow firms to use the template for their own internal analysis. Please note, it is important that firms submit their completed QIS templates using the locked version only.
Both the updated quantitative QIS template and the unlocked version links can be found under Links to QIS template(s) and instructions.
13 August Update: Qualitative Questionnaire Launch
On Friday 13 August, we published the Qualitative Questionnaire. This aims to gather qualitative information to supplement the first part of the QIS launched on 20 July, and will support the policy development of other areas not included in the main QIS template. The deadline for submitting responses is Wednesday 20 October 2021.
The Qualitative Questionnaire will complement the QIS by allowing us to undertake a broader analysis of areas for reform, beyond quantitative balance sheet impacts. Specifically, the questionnaire will gather information for three key purposes:
i. To support the development of reforms to make the regime more streamlined and/or flexible – this includes Matching Adjustment (MA) requirements; the internal model approval framework; and the Transitional Measure on Technical Provisions (TMTP).
ii. To understand the business impacts of potential policy design options, particularly how firms might respond to regulatory changes to the Risk Margin, MA, and internal model approval framework; and how these changes might support the objectives of the review.
iii. To understand the costs of complying with the current regime, as well as the implementation costs of potential policy design options, for example the calculation of the Risk Margin and the MA.
A link to the qualitative questionnaire can be found under ‘Links to QIS template(s) and instructions’ below.
As before, we are writing to a number of firms through the Bank of England Electronic Data Submission (BEEDS) portal, inviting them to participate in the exercise to ensure that we have an appropriate breadth and level of coverage in the industry for our study. If you receive this invitation, we would ask that you prioritise resource to complete the exercise to the standard needed to inform policy making. We welcome responses from all other UK regulated firms should they wish to participate.
We encourage participants to engage with the Qualitative Questionnaire early and provide any feedback or queries within the first few weeks of this publication. Please raise these to your usual supervisory contact or InsuranceData@bankofengland.co.uk.
In early September, we will be hosting a roundtable event to cover general comments or questions regarding the Qualitative Questionnaire. Invitations will be sent to firms prior to the roundtable and details will be published on this webpage shortly.
30 July 2021: Second Roundtable Invitation
On Thursday 5 August, we will be hosting a virtual roundtable to discuss MA, VA and TMTP calculations within the QIS.
On Wednesday 28 July, we sent invitations to insurance firms with MA, VA or TMTP approvals, confirming that up to two representatives per firm would be able to attend. We encourage all invited firms to attend. If you have not received an invitation and believe it is in your firm’s interest to attend, please contact your relevant supervisor and InsuranceData@bankofengland.co.uk.
If you are an advisory firm that is currently or likely to be involved in completing the QIS exercise then up to two representatives from your firm would be welcome to attend both (3 & 5 August) roundtables. Please contact InsuranceData@bankofengland.co.uk to arrange this.
29 July 2021: First Roundtable Invitation
On Tuesday 3 August, we will be hosting a virtual roundtable discussion to cover general comments or questions regarding the QIS instructions and templates. This will be followed by a focussed discussion on the Risk Margin elements of the QIS.
On Tuesday 27 July, we sent invitations to all insurance firms where we held contact details centrally, confirming that up to two representatives per firm would be able to attend. We encourage all firms participating in the QIS to attend. If you have not received an invitation and would like to attend, please contact your relevant supervisor and InsuranceData@bankofengland.co.uk.
20 July 2021: QIS Launch (Quantitative Template)
On Tuesday 20 July 2021, we published the QIS for the Solvency II review – please see links to the materials below. The deadline for submitting responses is Wednesday 20 October 2021.
The QIS exercise will gather data to support the review of Solvency II. It should not be taken as an indication of the Government’s or our preferred courses of action.
We are writing to a number of firms through the Bank of England Electronic Data Submission (BEEDS) portal inviting them to participate in the exercise to ensure that we have an appropriate breadth and level of coverage in the industry for our study. If you receive this invitation, we would ask that you prioritise resource to complete the exercise to the standard needed to inform policy making. We welcome responses from all other UK regulated firms should they wish to participate.
We encourage participants to engage with the QIS early and provide any feedback or queries within the first few weeks of this publication. Please raise these to your usual supervisory contact or InsuranceData@bankofengland.co.uk. Please also refer to the QIS Q&A below for further information, which will be kept updated over the period.
In addition, we have published a Dear CEO letter that sets out our approach to the QIS, and the thinking on two key areas being assessed under it - the risk margin and the matching adjustment (MA).
In August, we will release a series of qualitative questions to inform our thinking about other aspects of Solvency II reform.
