Prudential Regulation Authority Rulebook

5.1

Notwithstanding Solvency Capital Requirement – General Provisions 2, 3.1, 3.3, 3.4 and Solvency Capital Requirement – Standard Formula 3.1 to 3.3, the standard parameters to be used when calculating the market risk concentrations sub-module and the spread risk sub-module in accordance with the standard formula must be adjusted as follows:

1. (1) until 31 December 2017, the standard parameters shall be the same in relation to exposures to EEA States’ central governments or central banks denominated and funded in the domestic currency of any EEA State as the ones that would be applied to such exposures denominated and funded in their domestic currency;
2. (2) from 1 January 2018 the standard parameters must be reduced by 80% in relation to exposures to EEA States’ central governments or central banks denominated and funded in the domestic currency of any other EEA State;
3. (3) from 1 January 2019 the standard parameters must be reduced by 50% in relation to exposures to EEA States’ central governments or central banks denominated and funded in the domestic currency of an EEA State;
4. (4) from 1 January 2020 and onwards, the standard parameters must not be reduced in relation to exposures to EEA States’ central governments or central banks denominated and funded in the domestic currency of an EEA State.

[Note: Art. 308b (12) of the Solvency II Directive]

5.2

[Deleted]

5.3

[Deleted]

5.4

[Deleted]