Prudential Regulation Authority Rulebook

3.1

A firm making an internal model permission application must either:

1. (1) confirm to the PRA in writing and submit, as a minimum, documentary evidence that demonstrates that the internal model and, if the context requires, the firm satisfies Solvency Capital Requirement – General Provisions 3.3 to 3.4 and the internal model requirements; or
2. (2) identify any of the requirements in Solvency Capital Requirement – General Provisions 3.3 to 3.4 and any internal model requirements that are not satisfied by the internal model or, if the context requires, the firm, explain to the PRA in writing why and in what way they are not satisfied and submit, as a minimum, documentary evidence demonstrating that the internal model or, if the context requires, the firm satisfies all other requirements in Solvency Capital Requirement – General Provisions 3.3 to 3.4 and internal model requirements.

3.2

A firm making an internal model permission application must demonstrate to the PRA that its systems for identifying, measuring, monitoring, managing and reporting risk are adequate.

[Note: Art. 112(5) of the Solvency II Directive]

3.3

When making an internal model permission application, a firm must submit its internal model change policy to the PRA.

[Note: Art. 115 of the Solvency II Directive]

3.4

A firm with an internal model permission must be able to, upon request by the PRA, provide the PRA with an estimate of the SCR determined in accordance with the standard formula.

[Note: Art. 112(7) of the Solvency II Directive]