Letter
Please send any comments to IST.2022@bankofengland.co.uk. If you are a firm, please include your firm’s name and FRN in the subject of the email.
Update on 23 January 2023: We published the Insurance Stress Test 2022 letter to firms who participated. This letter sets out our findings on sector resilience and provides thematic observations that support improvements in risk management.
Published on
04 May 2022
IST 2022 scenario specifications, guidelines and instructions, data templates, and requirements for the Results and Basis of Preparation report
- Life Insurance Stress Test 2022 - Scenario Specification, Guidelines and Instructions Final (PDF 0.7MB)
- Life Insurance Stress Test 2022 V2.0 - Template (XLSX 0.6MB)
- General Insurance Stress Test 2022 - Scenario Specification, Guidelines and Instructions Final V2 (PDF 1.8MB)
- General Insurance Stress Test 2022 V2.0 - Template (XLSX 0.8MB)
- Requirements for the "Results and Basis of Preparation" report (PDF 0.4MB)
Solvency II Technical Information for use in the Life Insurance Stress Test 2022 scenario
- Risk-free curves as of 31 December 2021 - LIST Stage 1 (XLSX 0.5MB)
- Risk-free Volatility Adjustment portfolios as of 31 December 2021 - LIST Stage 1 (XLSX 0.2MB)
- Smith-Wilson extrapolation parameters as of 31 December 2021 - LIST Stage 1 (XLSX 0.5MB)
- Risk-free Fundamental Spreads, Probability of Default and Cost of Downgrade as of 31 December 2021 - LIST Stage 1 (XLSX 1.1MB)
- Risk-free curves as of 31 December 2021 - LIST Stages 2 to 4 (XLSX 0.5MB)
- Risk-free Volatility Adjustment portfolios as of 31 December 2021 - LIST Stages 2 to 4 (XLSX 0.2MB)
- Smith-Wilson extrapolation parameters as of 31 December 2021 - LIST Stages 2 to 4 (XLSX 0.5MB)
- Risk-free Fundamental Spreads, Probability of Default and Cost of Downgrade as of 31 December 2021 - LIST Stages 2 to 4 (XLSX 1.1MB)
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