In line with Supervisory Statement (SS) 6/16 ‘Maintenance of the transitional measure on technical provisions’ under Solvency II’, the PRA has been monitoring market conditions since the previous biennial TMTP recalculation in December 2021. The PRA also considers whether any changes in market conditions since previous recalculation points can reasonably be considered to have been sustained. In the PRA’s view, movements in risk free rates during the first half of 2023 meet the threshold for a material change in market conditions as set out in SS6/16, potentially leading to a change in risk profile for firms.
The PRA would be willing to accept applications from firms to recalculate TMTP as at Friday 30 June 2023. In any application, the PRA expects firms to be able to demonstrate that a material change in risk profile has occurred.
Firms should note that in order to expedite the application process, the PRA would expect applications at this time to use firms’ existing TMTP calculation methodologies.