##rts, pra analysis chart 4 : illiquid proportion of ma portfolio assets. source : qrts, pra analysis all speeches are available online at www. bankofengland. co. uk / news / speeches and @ boe _ pressoffice chart 5 : the impact of ma on the base balance sheet. source : pra analysis, solvency ii regulations chart 6 : credit spread on investment grade corporate bonds. source : bloomberg data, pra analysis all speeches are available online at www. bankofengland. co. uk / news / speeches and @ boe _ pressoffice chart 7 : decomposition of bond spread. source : pra analysis, solvency ii regulations chart 8 : fs components : non - financial cqs 3 ( bbb - rated ). source : pra analysis, ye20 all speeches are available online at www. bankofengland. co. uk / news / speeches and @ boe _ pressoffice chart 9 : fs – credit quality step 2 ( a - rated ). source : pra analysis, ye20 chart 10 : illustrative a - rated 10 year financial bond. source : bloomberg data, pra analysis all speeches are available online at www. bankofengland. co. uk / news / speeches and @ boe _ pressoffice chart 11 : 2020ye fs as % spread - illustrative a - rated 10 year financial bond. source : bloomberg data, pra analysis using ye20 fs all speeches are available online at www. bankofengland. co. uk / news / speeches and @ boe _ pressoffice

’ s call for evidence 2 in due course ; but today i would like to explore what we have learnt through our supervision of annuity writers since the inception of solvency ii. what we have learned will, as you would expect, inform our considerations of potential solvency ii reform. https : / / www. bankofengland. co. uk / speech / 2018 / david - rule - 2018 - conference - on - bulk - annuities - and - longevity - risk - transfer and https : / / www. bankofengland. co. uk / speech / 2019 / david - rule - westminster - and - city - programmes - 2019 - bulk - annuities - conference https : / / www. gov. uk / government / publications / solvency - ii - review - call - for - evidence all speeches are available online at www. bankofengland. co. uk / news / speeches and @ boe _ pressoffice 1. market developments since 2019 the annuity market largely bifurcates into bulk purchase annuities and the purchase of annuities from personal and occupational pensions. since david spoke to you in 2019 the growth in the bulk annuity market has continued, and is expected to continue [ chart 1 in the appendix ]. from our perspective, the additional capital that annuity firms bring to back these pension obligations provides increased security for scheme members, and gives pension scheme sponsors the opportunity to benefit from de - risking. for some insurers, annuities are part of a wider product set, diversifying with for example term assurance or general insurance products. but for specialist annuity firms the increase in annuity sales leads to concentration in both longevity and credit risk. chart 2 shows the composition of the solvency capital requirement ( scr ) across a range of specialist and mixed - line annuity firms : what this chart does not convey is that the longevity component would be notably larger were annuity writers retaining all of this risk. we are aware that the design of the risk margin has had a number of unwelcome effects such as adding excessive balance sheet volatility which has contributed to longevity risk being something many annuity writers continue to look to cede. our views on the risk margin have been set out previously, and we welcome its inclusion in hmt ’ s call for evidence on solvency ii reform. 2. implications for supervision context the growth of annuity lines through bulk purchase transfers from defined benefit pension