Prudential Regulation Authority Rulebook

16G.1

The basic SCR must be equal to the following:

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

where:

1. (1) P, S_s, k, n, Corr_(i,j) and SCR_int are defined as in 16F.1;
2. (2) S_i and S_j denote the capital requirements for modules i and j, respectively of the standard formula 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;
   2. (b) the module is calculated in accordance with 16G.2 provided that the module consists of sub-modules.

16G.2

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

1. (1) P , S_s, k , n , Corr_(i,j) and SCR_int are defined as in 16F.2;
2. (2) 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 16G.3 provided that the sub-module consists of other sub-modules.

16G.3

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

1. (1) P , S_s, k , n , Corr_(i,j) and SCR_int are defined as in 16F.3;
2. (2) 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 this paragraph provided that the sub-module consists of other sub-modules.