Prudential Regulation Authority Rulebook

3.1

A firm must disclose publicly, on an annual basis, a SFCR.

[Note: Art. 51(1) of the Solvency II Directive]

3.2

The information which a firm discloses in its SFCR must include the information required in 2.3 and must comply with the principles in 2.4.

[Note: Art. 51(1) of the Solvency II Directive and the Solvency II Regulations]

3.3

A firm’s SFCR must contain the following information, either in full or by way of reference to equivalent information, both in nature and scope, disclosed publicly under other legal or regulatory requirements:

1. (1) a description of the business and performance of the firm;
2. (2) a description of the system of governance of the firm and an assessment of its adequacy for the risk profile of the firm;
3. (3) a description of the risk exposure, risk concentration, risk mitigation and risk sensitivity separately for each category of risk of the firm;
4. (4) a description, separately for assets, technical provisions and other liabilities, of the bases and methods used for their valuation, together with an explanation of any major differences in the bases and methods used for the valuation of those assets, technical provisions and other liabilities in financial statements of the firm; and
5. (5) a description of the capital management of the firm, including at least the following:
1. (a) the structure, amount and quality of own funds of the firm, together with the information specified in 3.5;
2. (b) the amount of the MCR and SCR of the firm, together with the information specified in 3.6;
3. (c) information showing and explaining the main differences between the underlying assumptions of the standard formula and the underlying assumptions of any internal model for which the firm has received internal model approval; and
4. (d) the amount of any non-compliance with the MCR or any significant non-compliance with the SCR during the reporting period, even if subsequently resolved, with an explanation of the origin of that non-compliance and its consequences, as well as any remedial measures taken in respect of that non-compliance.

[Note: Art. 51(1)(a)–(e) of the Solvency II Directive]

3.4

For the purposes of 3.3(4), where a firm applies:

1. (1) a matching adjustment in accordance with Technical Provisions 6, the firm must include in the description:
1. (a) a description of the matching adjustment and of the portfolio of obligations and assigned assets to which the matching adjustment is applied; and
2. (b) a quantification of the impact of a change to zero of the matching adjustment on the firm’s financial position;
2. (2) a volatility adjustment in accordance with Technical Provisions 8, the firm must include in the description:
1. (a) a statement on whether the volatility adjustment referred to in Technical Provisions 8 is used by the firm;
2. (b) quantification of the impact of a change to zero of the volatility adjustment on the firm’s financial position.

[Note: Art. 51(1a) of the Solvency II Directive and the Solvency II Regulations]

3.5

The disclosure required by 3.3(5)(a) must include the following:

1. (1) an analysis of any significant change in the structure, amount and quality of own funds of the firm as compared to the previous reporting period of the firm;
2. (2) an explanation of any major differences in relation to the value of elements of own funds items in the financial statements of the firm; and
3. (3) a brief description of the capital transferability of the own funds of the firm.

[Note: Art. 51(2) of the Solvency II Directive]

3.6

The disclosure required by 3.3(5)(b) must include the following:

1. (1) the amount of the SCR calculated by the firm using the standard formula or, where the firm has received internal model approval, the amount of the SCR calculated using its internal model and, where applicable in the case of a partial internal model, the standard formula;
2. (2) the amount of any capital add-on imposed upon the firm in accordance with Article 37 of the Solvency II Directive, together with concise information on the justification given by the PRA for its imposition; and
3. (3) the impact of any undertaking specific parameters the firm is required to use in calculating the standard formula in accordance with Article 110 of the Solvency II Directive, together with concise information on the justification given by the PRA for requiring the use of those undertaking specific parameters.

[Note: Art. 51(2) of the Solvency II Directive]

3.7

The disclosure of the SCR required by 3.3(5)(b) must be accompanied, where applicable, with a statement indicating that the final amount of the SCR is subject to supervisory assessment.

[Note: Art. 51(2) of the Solvency II Directive]

3.8

Where a firm, in its SFCR, makes use of, or refers to, public disclosures made by the firm under other legal or regulatory requirements, those disclosures must be equivalent to the information required to be disclosed under 3.3 to 3.7, in both their nature and scope.

[Note: Art. 53(3) of the Solvency II Directive]