Correction made to PRA Rulebook: PS15/24

Sam Woods, CEO at the PRA

Context 

On 15 November 2024, the PRA published policy statement (PS) 15/24 – Review of Solvency II: Restatement of assimilated law. PRA has since identified an error in rule 3B6.6(1) in the Solvency Capital Requirement – Standard Formula (SCR-SF). 

Content 

On 20 December 2024 published a statement to notify firms of its correction of the error via publication of PRA Rulebook: SII Firms: Solvency II Amendment (No 1) Instrument 2024. This change will come into effect from 21 December 2024. 

The new rule deletes reference to RAO Schedule 1, Part II, class III in rule SCR-SF 3B6.6(1) published in Annex O of Appendix 6 of PS15/24. The correct restatement of CDR Article 142(6)(a) requires firms to apply a 70% stress for mass lapse life underwriting risk to RAO class VII(a) and class VII(b) business, where the additional requirements in the rule are met.

Businesses Affected 

The change is most relevant to UK Solvency II firms with Regulated Activities Order Opens in a new window Schedule 1 Part II class III (‘Linked long-term’) business and which use the SF to calculate their capital requirements for life underwriting risk.