The Prudential Regulatory Authority (PRA) has published templates for firms using an internal or partial internal model to calculate solvency capital requirement.
In a statement Solvency II: regulatory reporting, internal model outputs, the PRA explains the templates capture relevant information such as risk drivers and lines of business to enable the PRA to monitor internal models.
The authority said the templates should be submitted at the same time firms submit their annual quantitative reporting template.
It added firms using an approved partial internal model should only complete the parts of the templates relevant to the scope of their model. Life firms should use templates IM01 and IM02 while general insurance firms should use templates NL.IMS.01 to NL.IMS.10 and IM02, all of which can be found in the statement.
For composite insurers - firms that offer a full range of services - the PRA said they should contact their usual supervisory contact to agree the templates they should use.
The templates are also available on the PRA website.
The PRA has also set out 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.
According to its supervisory statement Solvency II: ORSA and the ultimate time horizon — non-life firms, the PRA requires firms to demonstrate they can 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 12 months, and to meet those obligations in stressed conditions.
The PRA expects firms to demonstrate they have done this as part of their Own Risk and Solvency Assessment (ORSA).