The RFR is published by the client monthly across 26 different currencies for every duration from 1 year up to 50 years (The duration of the bonds, loans and securitizations included in the portfolio being valued), using a complex model. If the client were to get some of the numbers wrong by just 1 basis point that would equal about 1 billion Euros of liabilities different across the whole market so it is very important for them to get it right! They had also had some challenges from the industry about how the model was working.
Meet PwC’s FS Risk and
The PwC team reviewed the client’s own controls and governance and re-built their
PwC demonstrated how the firm can work together across competencies to deliver an innovative solution to a complex challenge.
As part of our service, the team also provided advice to the Client as to how they could enhance their own governance and controls.
The regulator was able to demonstrate to government and the Insurance Industry that all of the work that it had been doing to oversee the new Solvency II regulation was fit for purpose and that it had emerged stronger with a framework of continuing good governance for the future.