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UK's Solvency II overhaul must include recalibrating risk sensitivities, regulator says

( May 26, 2022, 10:40 GMT | Official Statement) -- MLex Summary: The UK's post-Brexit reform of the Solvency II insurance regime must address two significant current deficiencies, the Bank of England's Prudential Regulation Authority said today: a risk margin calibration that is overly sensitive to interest rates, and an allowance for retained risk — the fundamental spread — that varies too little. “The PRA seeks a calibration package that is better able to capture how liability transfer values are likely to be impacted by the assets held to back the business,” executive director Charlotte Gerkin said in a speech. It should "also take account of different financial and economic conditions that might pertain at the point that a transfer became necessary, including times of stress."Speech attached. ...

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