Responses to CP3/20 ‘Occasional Consultation Paper’

Published on 4 September 2020

Responses to Chapters 2 to 7 of CP3/20 ‘Occasional Consultation Paper’ – PS20/20

Overview

This Prudential Regulation Authority (PRA) Policy Statement (PS) provides feedback to responses to Chapters 2 to 7 of Consultation Paper (CP) 3/20 ‘Occasional Consultation Paper’. It also includes the final rules, updated supervisory statements (SS), forms, relevant templates, and associated LOG files and instructions.

This PS is relevant to different firms, as follows:

• Chapters 2 and 7: PRA-authorised Capital Requirements Regulation (CRR) firms;
• Chapter 3: non-Solvency II insurance firms;
• Chapter 4: all Solvency II firms, including the Society of Lloyd’s;
• Chapter 5: all PRA-authorised firms; and
• Chapter 6: PRA-supervised firms that operate in the UK but are not UK-headquartered firms.

The appendices to this PS provide links to the final policy material as set out in the table below.

CP3/20 chapter	Policy Material	Appendix
2. Liquidity: Minor updates and amendments to instructions for completing PRA110	SS24/15 ‘The PRA’s approach to supervising liquidity and funding risks’	1
	Instructions for completing PRA110	2
3. Non-Solvency II: London interbank offered rate (LIBOR) updates for small insurers	The Insurance Company – Mathematical Reserves Part of the PRA Rulebook	3
4. Solvency II Reporting: Minor updates, corrections, and clarifications	The Reporting Part of the PRA Rulebook	4
	NS.00 Template	5
	NS.07 Template	6
	NS.10 Template	7
	NS.00 LOG File	8
	NS.07 LOG File	9
	NS.09 LOG File	10
	NS.10 LOG File	11
	Market risk sensitivities template	12
	Instructions to firms when completing the market risk sensitivities data item	13
	SS7/17 ‘Solvency II: Data collection of market risk sensitivities’	14
5. Senior Managers Regime: Application form updates	The Senior Managers Regime – Applications and Notifications Part of the PRA Rulebook	15
	Senior Managers Regime – Application Forms	16–21
	Statement of Responsibilities	22
6. Regulatory Reporting: Amendments to the Branch Return	The Regulatory Reporting Part of the PRA Rulebook	23
	The Branch Return Form	24
	The Branch Return Form validations	25
	SS34/15 ‘Guidelines for completing regulatory reports’	26
7. Regulatory Reporting: Updates to SS34/15 and minor amendments to the PRA101 template	The Regulatory Reporting Part of the PRA Rulebook	27
	PRA101 template	28
	SS34/15 ‘Guidelines for completing regulatory reports’	26

Feedback to responses

The PRA received no responses to Chapters 1 to 3 and 7, and will therefore publish the policy as proposed. The PRA also received no responses to Chapters 5 or 6, but has made some changes to the proposed policy.

The PRA received 3 responses to Chapter 4. The responses requested clarity on several aspects of the market risk sensitivities template. 

Full details of the responses, the PRA’s feedback, and changes to the draft policy are set out in the PS.

Implementation

The implementation dates for the policy changes set out in this PS are:

• Chapters 2, 3, 6, and 7, upon publication of the final policy on Friday 4 September 2020;
• Chapter 4, Monday 30 November 2020; and
• Chapter 5, Sunday 25 October 2020.

The policy set out in this PS has been designed in the context of the UK’s withdrawal from the European Union and entry into the transition period, during which time the UK remains subject to European law. The PRA will keep the policy under review to assess whether any changes would be required due to changes in the UK regulatory framework at the end of the transition period, including those arising once any new arrangements with the European Union take effect.

The PRA has assessed that the policy would not need to be amended under the EU (Withdrawal) Act 2018 (EUWA). Please see PS5/19 ‘The Bank of England’s amendments to financial services legislation under the European Union (Withdrawal) Act 2018’ for further details.

Policy Statement 20/20

Appendices

• Appendix 1: SS24/15 ‘The PRA’s approach to supervising liquidity and funding risks
• Appendix 2: Instructions for completing PRA110 (pdf 1.2MB) 
• Appendix 3: PRA RULEBOOK: NON SOLVENCY II FIRMS INSURANCE COMPANY – MATHEMATICAL RESERVES INSTRUMENT 2020 (pdf 0.2MB)
• Appendix 4: PRA RULEBOOK: SOLVENCY II: REPORTING (AMENDMENT) INSTRUMENT 2020 (pdf 0.4MB)
• Appendix 5: National Specific Template NS.00 (xlsx 0.1MB)
• Appendix 6: National Specific Template NS.07 (xlsx 0.4MB)
• Appendix 7: National Specific Template NS.10 (xlsx 0.1MB)
• Appendix 8: National Specific Template NS.00 LOG File (pdf 1MB)
• Appendix 9: National Specific Template NS.07 LOG File (pdf 0.8MB)
• Appendix 10: National Specific Template NS.09 LOG File (pdf 1.2MB)
• Appendix 11: National Specific Template NS.10 LOG File (pdf 1.2MB)
• Appendix 12: Market risk sensitivities template (xlsx 0.1MB)
• Appendix 13: Instructions to firms when completing the market risk sensitivities data item (pdf 1MB)
• Appendix 14: SS7/17 ‘Solvency II: Data collection of market risk sensitivities’
• Appendix 15: PRA RULEBOOK: SENIOR MANAGERS REGIME – APPLICATIONS AND NOTIFICATIONS AMENDMENT INSTRUMENT 2020 (pdf 0.5MB)
• (pdf 2.5MB)Appendix 16: Senior Managers Regime – Applications and notifications: Form A
• (pdf 1.7MB)Appendix 17: Senior Managers Regime – Applications and notifications: Short Form A
• Appendix 18: Senior Managers Regime – Applications and notifications: Form B (pdf 1MB)
• Appendix 19: Senior Managers Regime – Applications and notifications: Form C (pdf 1.5MB)
• Appendix 20: Senior Managers Regime – Applications and notifications: Form D (pdf 1.7MB)
• Appendix 21: Senior Managers Regime – Applications and notifications: Form E (pdf 1.7MB)
• Appendix 22: Statement of Responsibilities form (pdf 2MB)
• Appendix 23: PRA RULEBOOK: CRR FIRMS: NON CRR FIRMS: BRANCH RULES (AMENDMENT) INSTRUMENT 2020 (pdf 0.4MB)
• Appendix 24: Branch Return Form (xlsx 0.1MB)
• Appendix 25: Branch Return Form validations (xlsx 0.1MB)
• Appendix 26: SS34/15 ‘Guidelines for completing Regulatory Reports
• Appendix 27: PRA RULEBOOK: CRR FIRMS: REGULATORY REPORTING (CAPITAL+) AMENDMENT INSTRUMENT 2020 (pdf 0.4MB)
• Appendix 28: PRA101 template (xls 0.3MB)

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Published on 22 July 2020

Responses to Occasional Consultation Paper 3/20 – Chapter 8: Securitisation: Updates to Significant Risk Transfer – PS17/20

Introduction  

This Prudential Regulation Authority (PRA) Policy Statement (PS) provides the final policy for Chapter 8 of Consultation Paper (CP) 3/20 ‘Occasional Consultation Paper – March 2020’ (see page 2 of 2). The PRA received no responses to this chapter of the consultation, and has made no changes to draft policy. However, it is taking the opportunity to update a footnote reference to include the date this SS is being updated.

This PS provides updates to Supervisory Statement 9/13 ‘Securitisation: Significant Risk Transfer’ (see Appendix).

This PS is relevant to Capital Requirements Regulation (CRR) firms.

The PRA will publish feedback and final policy for Chapters 2 to 7 of CP3/20 at a later date, as responses are still being considered.

Background

In CP3/20, the PRA proposed to clarify that non-sequential amortisation features constitute complex features in Significant Risk Transfer (SRT) transactions. 

This PS updates the SS to include the proposed changes (see Appendix).  

Implementation

The policy presented in this PS will take effect upon publication of this PS on Wednesday 22 July 2020.

The policy set out in this PS has been designed in the context of the UK’s withdrawal from the European Union and entry into the transition period, during which time the UK remains subject to European law. The PRA will keep the policy under review to assess whether any changes would be required due to changes in the UK regulatory framework at the end of the transition period, including those arising once any new arrangements with the European Union take effect.

The PRA has assessed that the policy would not need to be amended under the EU (Withdrawal) Act 2018 (EUWA). Please see PS5/19 ‘The Bank of England’s amendments to financial services legislation under the European Union (Withdrawal) Act 2018’ for further details.

Appendix

• Appendix: Update to SS9/13 ‘Securitisation: Significant Risk Transfer’

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Published on 26 March 2020

Occasional Consultation Paper - CP3/20

Overview

In this Consultation Paper (CP), the Prudential Regulation Authority (PRA) sets out its proposals to make minor amendments to PRA rules, supervisory statements (SS), National Specific Templates (NSTs) and associated LOG files, and the market risk sensitivities data item and associated instructions.

The chapters in this CP are relevant to different types of firms, as follows:

• Chapters 2, 7 and 8 – PRA-authorised Capital Requirements Regulation (CRR) firms; 
• Chapter 3 – non-Solvency II insurance firms;
• Chapter 4 – all Solvency II firms, including the Society of Lloyd’s;
• Chapter 5 – all PRA-authorised firms; and 
• Chapter 6 – PRA-supervised firms that operate in the UK but are not UK-headquartered firms.

The chapters contained in this CP, the policy material they propose to change, and the appendices containing the draft amended policy are listed in the table below.

CP3/20 Chapter	Policy material	Appendix
2. Liquidity: Minor updates and amendments to instructions for completing PRA110	SS24/15 ‘The PRA’s approach to supervising liquidity and funding risks’	1
	Instructions for completing PRA110	2
3. Non-Solvency II: London interbank offered rate (LIBOR) updates for small insurers	The Insurance Company – Mathematical Reserves Part of the PRA Rulebook	3
4. Solvency II Reporting: Minor updates, corrections and clarifications	The Reporting Part of the PRA Rulebook	4
	NS.00 Template	5
	NS.07 Template	6
	NS.10 Template	7
	National Specific Templates LOG files	8
	Market risk sensitivities template	9
	Instructions to firms when completing the market risk sensitivities data item	10
5. Senior Managers Regime: Application form updates	The Senior Managers Regime – Applications and notifications Part of the PRA Rulebook	11
	Senior Managers Regime – Application Forms	12
	Statement of Responsibilities Form	13
6. Regulatory Reporting: Amendments to the Branch Return	The Regulatory Reporting Part of the PRA Rulebook	14
	The Branch Return form	15
	The Branch Return form validations	16
	SS34/15 ‘Guidelines for completing regulatory reports’	17
7. Regulatory Reporting: Updates to SS34/15 and minor amendments to PRA101 template	The Regulatory Reporting Part of the PRA Rulebook	18
	PRA101 template	19
	SS34/15 ‘Guidelines for completing regulatory reports’	20
8.Securitisation: Updates to Significant Risk Transfer	SS9/13 ‘Securitisation: Significant Risk Transfer’	21

Implementation

Pending consideration of the responses to this consultation, the proposed implementation dates are on publication of the final policy.

Responses and next steps

The consultation closes on Friday 26 June 2020.

The PRA invites feedback on the proposals set out in this consultation. Please address any comments or enquiries to OCP.responses@bankofengland.co.uk.

The proposals set out in this CP have been designed in the context of the UK’s withdrawal from the European Union and entry into the transition period, during which time the UK remains subject to European law. The PRA will keep the policy under review to assess whether any changes would be required due to changes in the UK regulatory framework at the end of the transition period, including those arising once any new arrangements with the European Union take effect.

The PRA has assessed that the proposals would not need to be amended under the EU (Withdrawal) Act 2018 (EUWA). Please see PS5/19 ‘The Bank of England’s amendments to financial services legislation under the European Union (Withdrawal) Act 2018’  for further details. 

Consultation Paper 3/20

• Appendix 5: Draft amendments to National Specific Template NS.00 (XLS)
• Appendix 6: Draft amendments to National Specific Template NS.07 (XLS)
• Appendix 7: Draft amendments to National Specific Template NS.10 (XLS)
• Appendix 9: Draft amendments to market risk sensitivities template (XLS)
• Appendix 15: Draft amendments to the Branch Return Form (XLS)
• Appendix 19: Draft amendments to PRA101 Template (XLS)