Prudential Regulation Authority Rulebook

1.

A firm must calculate the capital requirement for disability-morbidity risk as equal to the loss in its basic own funds that would result from the combination of the following instantaneous permanent changes:

1. (1) an increase of 35% in the disability and morbidity rates that are used in the calculation of technical provisions to reflect the disability and morbidity experience in the following 12 months;
2. (2) an increase of 25% in the disability and morbidity rates that are used in the calculation of technical provisions to reflect the disability and morbidity experience for all months after the following 12 months; and
3. (3) a decrease of 20% in the disability and morbidity recovery rates used in the calculation of technical provisions in respect of the following 12 months and for all years thereafter.