Prudential Regulation Authority Rulebook

6.1

Firms are reminded of the disclosure requirements set out in the PRA Rulebook and Guidance. In particular:

1. (i) the impact of a change to zero of the VA on firms’ financial position must be disclosed in the Solvency and Financial Condition Report.^[11] No compensation should be included in this calculation, for example via switching off other model components, such as the modelling of sovereign risk; and
2. (ii) to further facilitate this, the disclosures should quantify the DVA benefit and provide an explanation of firms’ DVA methodology.