On July 20, the Prudential Regulation Authority (PRA) launched its Quantitative Impact Study (QIS), covering the review of Solvency II in the United Kingdom. This briefing note gives an overview of what is expected of firms to completing the voluntary QIS exercises, due in October. The paper provides insight into the key considerations and potential challenges for firms, in areas such as sensitivity testing, scenario specifications, risk margin, matching adjustment, credit spread and downgrade sensitivity, the transition from the London Interbank Offered Rate (LIBOR) to Sterling Overnight Index Average (SONIA), and transitional measure on technical provisions (TMTP).
The PRA QIS Exercise: What does it cover and what will it mean for firms?
ByClaire Booth, Neil Christy, Jessica Crowson, Lewis Duffy, Florin Ginghina, Ian Humphries, Stuart Reynolds, Sarah Walker, and Sihong Zhu
29 July 2021
The PRA QIS Exercise: What does it cover and what will it mean for firms?