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  1. Point in time
    2006-07-07

LLD 21.3 Market risk in insurance

Application of PRU 4.2

LLD 21.3.1R

PRU 4.2 applies to managing agents and to the Society in accordance with:

  1. (1)

    for managing agents, LLD 16.3.3 R, subject to LLD 21.3.4 R below; and

  2. (2)

    for the Society, LLD 16.3.1 R.

Resilience capital requirement (applicable to long-term business only)

LLD 21.3.2R

Managing agents must calculate the amount of the resilience capital requirement for the long-term insurance business carried on through the syndicates they manage.

LLD 21.3.3R

The Society must determine the resilience capital requirement for the insurance business of each member under PRU 4.2.10 R as the member's proportionate share of the resilience capital requirement calculated by the managing agent for the long-term insurance business carried on through the syndicate.

Currency risk: matching of assets and liabilities

LLD 21.3.4R

For the purposes of PRU 4.2.53 R, a managing agent must ensure that:

  1. (1)

    syndicate liabilities are covered by matching syndicate assets as required by PRU 4.2.53 R; or that

  2. (2)

    it immediately notifies to the Society the nature and extent of any syndicate liabilities not covered by matching assets under (1).

LLD 21.3.5G

Notwithstanding the terms of PRU 4.2.53 R, a managing agent may comply with PRU 4.2.53 R by notifying unmatched currency liabilities to the Society.

LLD 21.3.6R

On receipt of a notification by a managing agent under LLD 21.3.4 R (2), the Society must ensure that the liabilities in respect of the insurance business of the members in aggregate are covered with matching assets complying with PRU 4.2.53 R.

LLD 21.3.7G

The Society should consider the need to cover the unmatched currency liabilities notified under LLD 21.3.4 R (2) with assets in the same currency held as funds at Lloyd's for any relevant member or, if necessary, with central assets meeting the currency matching requirements.