Prudential Regulation Authority Rulebook

16F.1

The basic SCR must be equal to the following:

$$\mathrm{B}\mathrm{S}\mathrm{C}\mathrm{R}=\sqrt{P^2+S_S^2+\sum _{j=k+1}^{n}2S_j(\sum _{i=1}^l{\mathrm{C}\mathrm{o}\mathrm{r}\mathrm{r}}_{(i,j)}\cdot P_i+\sum _{i=l+1}^k{\mathrm{C}\mathrm{o}\mathrm{r}\mathrm{r}}_{(i,j)}\cdot S_i)}+{\mathrm{S}\mathrm{C}\mathrm{R}}_{\mathrm{i}\mathrm{n}\mathrm{t}}$$

where:

1. (1) P denotes the capital requirement reflecting the risks that are within the scope of the partial internal model, generated by the partial internal model;
2. (2) S_s denotes the capital requirement derived by applying the standard formula for the basic SCR only to the risks not covered by the partial internal model;
3. (3) k denotes the number of modules of the standard formula that are within the scope of the partial internal model;
4. (4) n denotes the number of modules of the standard formula;
5. (5) l denotes the number of modules of the standard formula for each of which the capital requirement can be generated by the partial internal model;
6. (6) Corr_(i,j) denotes the correlation parameter of the standard formula for the aggregation of modules i and j;
7. (7) P_i denotes the capital requirement for the module i of the standard formula, generated by the partial internal model;
8. (8) S_i and S_j denote the capital requirements for modules i and j of the standard formula, respectively, which are calculated in the following way:
   1. (a) the module is generated by the standard formula provided that the module does not consist of sub-modules; and
   2. (b) the module is calculated in accordance with 16F.2 provided that the module consists of sub-modules;
9. (9) SCR_int denotes the capital requirement for intangible asset risk as set out in Solvency Capital Requirement - Standard Formula 3F1.

16F.2

For all modules of the standard formula referred to in 16F.1(8)(b), the capital requirement of a particular module must be generated by the formula set out in 16F.1, applying the following specifications:

1. (1) P denotes the capital requirement reflecting the risks of the sub-modules of that particular module which are within the scope of the partial internal model, generated by the partial internal model;
2. (2) S_s denotes the capital requirement derived by applying that particular module only to the risks not covered by the partial internal model;
3. (3) k denotes the number of sub-modules of that particular module that are within the scope of the partial internal model;
4. (4) n denotes the number of sub-modules of that particular module;
5. (5) l denotes the number of sub-modules of that particular module for each of which the capital requirement can be generated by the partial internal model;
6. (6) Corr_(i,j) denotes the correlation parameter of the standard formula for the aggregation of sub-modules i and j of that particular module;
7. (7) P_i denotes the capital requirements for the sub-module i of that particular module, generated by the partial internal model;
8. (8) S_i and S_j denote the capital requirement for sub-modules i and j of that particular module, respectively, which are calculated in the following way:
   1. (a) the sub-module is generated by the standard formula provided that the sub-module does not consist of other sub-modules; and
   2. (b) the sub-module is calculated in accordance with 16F.3 provided that the sub-module consists of other sub-modules;
9. (9) SCR_int must be set to zero.

16F.3

For all sub-modules of the standard formula referred to in 16F.2(8)(b), the capital requirement of a particular sub-module must be generated by the formula set out in 16F.1, applying the following specifications:

1. (1) P denotes the capital requirement reflecting the risks of the sub-modules of that particular sub-module which are within the scope of the partial internal model, generated by the partial internal model;
2. (2) S_s denotes the capital requirement derived by applying that particular sub-module only to the risks not covered by the partial internal model;
3. (3) k denotes the number of sub-modules of that particular sub-module that are within the scope of the partial internal model;
4. (4) n denotes the number of sub-modules of that particular sub-module;
5. (5) l denotes the number of sub-modules of that particular sub-module for each of which the capital requirement can be generated by the partial internal model;
6. (6) Corr_(i,j) denotes the correlation parameter of the standard formula for the aggregation of sub-modules i and j of that particular sub-module;
7. (7) P_i denotes the capital requirement for the sub-module i of that particular sub-module, generated by the partial internal model;
8. (8) S_i and Sj denote the capital requirements for sub-modules i and j of that particular sub-module, respectively, which are calculated in the following way:
   1. (a) the sub-module is generated by the standard formula provided that the sub-module does not consist of other sub-modules; and
   2. (b) the sub-module is calculated in accordance with this paragraph provided that the sub-module consists of other sub-modules;
9. (9) SCR_int must be set to zero.