Update 17 October 2018
Following publication of Policy Statement 24/18 ‘Solvency II: Updates to internal model output reporting’, the links to the templates and LOG files were updated and are available on the ‘Regulatory reporting – Insurance sector’ page.
Update 26 July 2018
Following publication of Policy Statement (PS) 21/18 ‘Solvency II: Changes to reporting format’, this SS was updated to amend paragraph 1.7 (e) to reflect that firms are expected to submit information in XBRL format via Bank of England’s Electronic Data Submission (BEEDS) portal.
Update 16 February 2017
Response to feedback to Consultation Paper (CP) 31/16
The updates to this statement and accompanying templates and LOG file was consulted on in Consultation Paper (CP) 31/16 ‘Updates to SS25/15 and SS26/15’.
The PRA received two responses. The responses were not directly in relation to the specific proposals outlined within the CP. However, the PRA has made the following amendments to the updates to the supervisory statements.
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- Clarify within the LOG file:
- A conflict between the template and instructions on business plan loss ratios by Solvency II line of business (LoB), now clearly stating that this information is requested.
- That kurtosis information within the market risk tab is not required.
- All premium measures should be gross of acquisition costs and exclude insurance premium tax.
- The instructions for PRE101, PRE102 and RES101, RES102 for columns C201 to C300 apply to template IM.03.02.01 only.
- The instructions for business plan loss ratio - gross and net for premium risk apply to PRE209 / C101, C201 to C300 and C401 to C416.
- The general comments for market risk apply to rows MKT101 to MK110, columns C201 to C201, C205 to C221, C301.
- The output distribution to be reported for MKT301 is of the modelled annual return on a portfolio of equities (as opposed to an individual equity).
- The risk-free rate referred to within MKT401 to MKT466 is the basic risk-free rate curves used in the calculation of the best estimate of the technical provisions.
- A small number of inconsistencies with template IDs.
- Amend the template to:
- Remove ‘currency used for reporting’ as the LOG file specifically states reporting currency to be GBP.
- Address a number of minor formatting issues within the template, including cell protection, column widths and the number of decimal points to display.
The changes made did not result in a change to PRA policy and therefore do not represent any additional burden to firms.
Published on 15 June 2015
Background
This supervisory statement is of interest to UK solo insurance firms within the scope of Solvency II that carry out non-life business, 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.
It sets out the PRA’s expectations of how non-life firms should identify and manage all risks to which their business could be exposed over the long and short term. This enables firms to assess their ability to meet obligations to policyholders in the event that the firm decides to cease writing business beyond that which it plans to write over the next twelve months, and to meet those obligations in stressed conditions.
SS26/15 was consulted on in CP24/14 'Solvency II: further measures for implementation', appendix 6.
Current version
Published: 17 October 2018
This SS was updated following PS24/18 ‘Solvency II: Updates to internal model output reporting’.
Effective from: 31 December 2018
Past versions
Published: 26 July 2018
- Supervisory Statement 26/15 - July 2018 (PDF)
- This SS was updated following PS21/18 ‘Solvency II: Changes to reporting format’.
Effective from: 26 July 2018 (superseded on 31 December 2018 by October 2018 version).
Published: 16 February 2017
See above for details of updates made to this SS following Consultation Paper (CP) 31/16 ‘Updates to SS25/15 and SS26/15’.
Effective from: 16 February 2017 (superseded on 26 July 2018 by July 2018 version).
Published: 15 June 2015
- Supervisory Statement 26/15 (PDF)
- See above for details – this SS was consulted on in Appendix 6 of CP24/14 ‘Solvency II: further measures for implementation’.
- Effective from: 1 January 2016 (superseded on 16 February 2017 by February 2017 version).