Between 1 April 2013 and 15 February 2016, the PRA published a series of Solvency II Directors’ letters, Executive Directors’ letters, and Feedback Statements, so that everyone knew what its expectations were, as it developed its Solvency II thinking and policy over time. This was meant to help firms prepare for Solvency II compliance, but it created a library of documents that are often hard to find. So, the PRA is proposing to republish them as new Supervisory Statements, or amendments to existing Supervisory Statements.
In “Solvency II: Consolidation of Directors’ letters” (CP 20/16), the PRA proposes to consolidate its previous letters and Feedback Statements into Supervisory Statements on:
- Internal models – assessment, model change policies and the role of non-executive directors;
- Longevity risk transfers;
- The ORSA;
- Reinsurance – counterparts credit risk
- Recognition of deferred tax;
- Transitional measures on risk free interest rates and transitional measures; and
- The treatment of pension scheme risk.
The Consultation Paper also includes two maps. This first shows how 14 different letters and other documents have been converted into new, or embedded within existing, Supervisory Statements; and the second map lists 6 topics, before explaining why the PRA has not converted or embedded them on this occasion.
Supervisory Statements on the matching adjustment and groups will follow later in the year.
Perhaps surprisingly – given that no new rules or guidance are being introduced – the PRA is still running a 3 month consultation period on these proposals. Answers on a postcard by 5 August 2016.