Prudential Regulation Authority Rulebook

16A.1

Unless 16A.2 or 16A.3 applies, a firm must use as a default integration technique the correlation matrices and formulae of the standard formula set out in the Solvency Capital Requirement - Standard Formula Part in order to fully integrate the capital requirement generated by a partial internal model into the standard formula SCR.

16A.2

Unless 16A.3 applies, where it would not be appropriate to use the default integration technique referred to in 16A.1 for any of the reasons referred to in 16A.5, a firm must use the most appropriate integration technique of those set out in 16B – 16G and be able to explain and justify its choice.

16A.3

If the default integration technique referred to in 16A.1 and all integration techniques set out in 16B - 16G are inappropriate for one or more reasons referred to in 16A.5, a firm may use an alternative integration technique that is appropriate and must be able to explain and justify its choice.

16A.4

The firm must ensure that the alternative integration technique referred to in 16A.3 that it uses results in an SCR that complies with the principles set out in the Solvency Capital Requirement - General Provisions Part and this Part and more appropriately reflects the risk profile of the firm.

16A.5

An integration technique shall not be appropriate where any of the following applies:

1. (1) the resulting SCR and, if the context requires, the firm would not comply with Solvency Capital Requirement - General Provisions 3.2 - 3.5;
2. (2) the resulting SCR would not appropriately reflect the risk profile of the firm;
3. (3) the design of the partial internal model is consistent with the principles set out in Solvency Capital Requirement - General Provisions 3.2 - 3.5 and 4 but it would not be possible to use the integration technique to fully integrate the capital requirement generated by the partial internal model into the standard formula SCR.