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[null,null,"Bank of England PRA"]
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[null,null,null,null,"Internal Model Application Template"]
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[null,null,null,null,"Firm Name:"]
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[null,null,null,null,"Firm Reference Number (FRN):"]
[]
[null,null,null,null,"Date of submission:"]
[]
[]
[null,null,null,null,"Instructions"]

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[null,null,"Summary:\n\nAs part of the Internal Model Application Process (IMAP) and your submission, please answer all the questions in the 'Questions' worksheet of this Internal Model Application Template (IMAT). Once all the questions have been answered two worksheets will automatically be generated for you, one entitled 'Self-Assessment Template’, and another entitled 'Documentation'. Please complete these two worksheets, in addition to the cover page, and then follow the submission instructions on the PRA website under ‘Internal Model Permissions’. Furthermore, please email the IMAT to your usual supervisory contacts.\n\nThe IMAT is relevant to all UK Solvency II firms, the Society of Lloyd’s, and its members and managing agents, referred to collectively as ‘firms’. It is most relevant to firms that have permission to use an IM to calculate their SCR or firms seeking permission to use an IM.\n\nThe notes below provide instructions on how to complete this template. If you have any questions about this, or about the scope and content of your submission, please contact your usual supervisory contact."]
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[null,null,"Cover Page:\n\nFirms should complete the worksheet titled 'Cover Page' in the IMAT. This includes providing the firm name, firm reference number (FRN) and the date the firm is submitting the IMAT to the PRA."]
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[null,null,"Generating the IMAT:\n\nFirms should provide answers to the series of questions in the 'Questions' worksheet. Once firms reach the end of the questions, a 'Self-Assessment template' and 'Documentation' worksheet specific to their application will automatically be generated.\n\nIf a firm enters an invalid combination of answers, error messages will appear, and a firm will be redirected to amend their answers. \n\nIf a firm wishes to change their answers or restart answering, they may do so by changing some of their answers or resetting the question list. Please note, this may regenerate their worksheets and any unsaved work may be lost.\t"]
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[null,null,"General Instructions for completing the IMAT:\t\n\nFor the worksheets titled ‘Self-Assessment Template’ and ‘Documentation’ please list all evidence relevant to each requirement / expectation. Please itemise your submitted documentation with a Unique Reference Number (URN). These cells will provide a registry of your documentation.\t\nAll worksheets in this file should be completed. A worksheet shall only be considered complete if all lines in the worksheet have been populated with a response. \n\nPlease ensure that for each piece of documentation submitted you complete all columns, including providing the following:\t\n\n1. URN (Unique Reference Number): Please assign a URN to each piece of documentation submitted as evidence. In cases where the same evidence applies to more than one requirement / expectation, please use the same URN. Where more than one document is submitted as evidence, please insert additional rows so that each row of information refers only to one URN. \n\n2. Version date: For each document (ie URN), if one or several versions have been sent to the PRA, the date of the version to be considered for the application should be filled. \n\n3. Evidence: name of the piece of evidence, and type of document (report, minutes of meetings, graphs, tables, organization chart, database, calculation worksheet, webpage, certification, checklist, screen print, medias, other...). No detailed explanation is expected here. When relevant, please provide the exact location of the information within the evidence (eg chapter/section/paragraph).\n\n4. Responsible: The department and/or person responsible for providing the evidence.\n\n5. Pages: Total number of pages contained in the document for each URN (estimation if necessary).\n\n6. Any other comments: Please provide any other relevant comments."]
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[null,null,"Self-Assessment Template (SAT):\n\nFirms are expected to fully complete the worksheet titled ‘Self-Assessment Template’.\n\nThe SAT contains the PRA rules which firms are expected to self-assess against in their application. For ease of reading and submission, rules have been split into their different rule parts. Firms are expected to attest to and justify their compliance with each one of the requirements listed the SAT, with clear reference to the relevant evidence using the URN and reference to specific chapters, sections and/or paragraphs whenever possible. \n\nFirms are to ensure they complete all sections, against each of the rules and/or rule parts listed, providing:\n\n1. Firm's own compliance assessment with this requirement: Firms should use the dropdown list to mark their compliance with each requirement. When submitting an application, firms are expected to comply with all requirements or, mitigate any non-compliance with the internal model requirements and/or ensure compliance with the calibration standards through the proposed use of safeguards or Model Limitation Adjustments.\n2. Firm's justification of its compliance assessment with this requirement: Firms should provide an explanation of their compliance with each individual requirement, including the use of any proposed safeguards, and include references to relevant documents. Firms should justify their submissions in part 1 of this section, by reference to parts 2 and 3, by providing suitable justification and support.’\t\t\n3. Documents that are relevant to this requirement - included within the submission: Firms should refer to the instruction in the ‘General Instructions for completing the IMAT’ section, including providing URN(s) for their relevant supporting documentation. When relevant, firms should state the precise location within the document the evidence is situated (eg chapter/section/paragraph). Firms should ensure that the submission clearly provides adequate demonstration of the requirement they are attesting against.\n\n4. Documents that are relevant to this requirement - not included within the submission: Firms should mention any additional documentation that may support their compliance with the requirement. The evidence referred in this column should be made available upon request of the PRA."]
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[null,null,"Documentation:\n\nFirms are expected to fully complete the worksheet titled ‘Documentation’.\n\nThe documentation worksheet provides relevant PRA Statement of Policy (SoP) references which state the PRA's expectations regarding the documentation contained in an internal model application. For ease of reading and submission, SoP references have been split into their different parts. Firms are expected to provide details of the documentation, submitted as part of their application, relevant to each expectation in the references listed the documentation list. \n\nPlease ensure that you complete all sections, against each of the references and/or reference parts listed, providing:\n\n1. Documents that are relevant to this requirement - included within the submission: Firms should refer to the instruction in the ‘General Instructions for completing the IMAT’ section, including providing URN(s) for their relevant supporting documentation. When relevant, firms should state the precise location within the document where the evidence is situated (eg chapter/section/paragraph). Firms should ensure that submissions clearly provide adequate demonstration of the expectation they are demonstrating against."]

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[null,"Bank of England PRA"]
[]
[null,"Instructions",null,null,null,"Reset"]
[]
[null,null,"Internal Model Application Template Questions:"]
[null,null,null,"Q1","Is this an initial application? "]
[null,null,null,"Q1.1","Is there a governance, SRPD CAO or group CAOs in place?"]
[null,null,null,"Q1.2","Has the PRA has indicated a timeline by which you are expected to remedy the deficiency underlying the CAO?"]
[null,null,null,"Q1.3","As per Solvency Capital Requirement - General Provisions 5.1A, has a progress plan been requested?",null,null,"Solvency Capital Requirement – General Provisions 5.1A: A firm must be able to, upon request by the PRA, submit a progress report to the PRA setting out the measures taken, and the progress made, to remedy the deficiencies that led to the imposition of a capital add-on arising as a result of an internal model significant risk profile deviation or a significant system of governance deviation.\n"]
[null,null,null,"Q2","Is this an application for a major model change? "]
[null,null,null,"Q3","Are there any safeguards / CAOs in place in the current model?"]
[null,null,null,"Q4","Is there an RML CAO or requirement safeguard in place? "]
[null,null,null,"Q6","Has a progress plan been requested?"]
[null,null,null,"Q5","Is there a governance or SRPD CAO in place?"]
[null,null,null,"Q5.5","Are there any other CAOs in place, including group CAOs?"]
[null,null,null,"Q5.6","Has the PRA has indicated a timeline by which you are expected to remedy the deficiency underlying the CAO?"]
[null,null,null,"Q5.7","As per Solvency Capital Requirement - General Provisions 5.1A, has a progress plan been requested?",null,null,"Solvency Capital Requirement – General Provisions 5.1A: A firm must be able to, upon request by the PRA, submit a progress report to the PRA setting out the measures taken, and the progress made, to remedy the deficiencies that led to the imposition of a capital add-on arising as a result of an internal model significant risk profile deviation or a significant system of governance deviation.\n"]
[null,null,null,"Q7","As per Solvency Capital Requirement - Internal Models 6.6, have any of the internal model requirements been modified in your current permission? ",null,null,"Solvency Capital Requirement – Internal Models 6.6: For the purpose of 6.5, if a firm applying to the PRA has an internal model permission that modifies any of the internal model requirements applicable to that firm, it must also submit documentary evidence for the purposes of 3.1(1) or (2) by reference to the unmodified internal model requirements, and the firm must also:\n(1) confirm, in accordance with 3.1(1); or\n(2) explain, in accordance with 3.1(2),\nby reference to the unmodified internal model requirements."]
[null,null,null,"Q8","Is the model change a reduction in scope?"]
[null,null,null,"Q9","As per Solvency Capital Requirement – Internal Models 5A.1, prior to this application, has the PRA asked for a transitional plan to reduce the scope of your current internal model?",null,null,"Solvency Capital Requirement – Internal Models 5A.1: Where a firm is failing or likely to fail to satisfy the requirements in 5B.1,10.3, or Solvency Capital Requirement - General Provisions 5.1, the firm must be able to, upon request by the PRA, submit a realistic transitional plan to reduce the scope of its internal model, such that the internal model no longer covers:\n(1) the risks contained in one or more major business units; or\n(2) certain sub-modules of a specific risk module, or some of the business units of the firm with respect to a specific risk module, or parts of both,\nin respect of which deficiencies arise."]
[null,null,null,"Q10","Does the application include a change to the model change policy? "]
[null,null,null,"Q11","Is the application for a full or partial internal model?"]
[null,null,null,"Q12","What integration technique are you using?"]
[null,null,null,"Q13","As per Solvency Capital Requirement - Internal Models 5.1, prior to this application, has the PRA requested a transitional plan to extend the scope of the model?",null,null,"Solvency Capital Requirement – Internal Models 5.1: A firm which has made an internal model permission application in respect of a partial internal model that only covers certain sub-modules of a specific risk module, or some of the business units of the firm with respect to a specific risk module, or parts of both, must be able to, upon request by the PRA, submit a realistic transitional plan to extend the scope of the proposed partial internal model."]
[null,null,null,"Q13.1","As per Solvency Capital Requirement – Internal Models 5A.1, prior to this application, has the PRA asked for a transitional plan to reduce the scope of your current internal model?",null,null,"Solvency Capital Requirement – Internal Models 5A.1: Where a firm is failing or likely to fail to satisfy the requirements in 5B.1,10.3, or Solvency Capital Requirement - General Provisions 5.1, the firm must be able to, upon request by the PRA, submit a realistic transitional plan to reduce the scope of its internal model, such that the internal model no longer covers:\n(1) the risks contained in one or more major business units; or\n(2) certain sub-modules of a specific risk module, or some of the business units of the firm with respect to a specific risk module, or parts of both,\nin respect of which deficiencies arise."]
[null,null,null,"Q14","Are you applying for an internal model to calculate a Group SCR? "]
[null,null,null,"Q15","Are you applying for an internal model to calculate an SCR for a solo entity? "]
[null,null,null,"Q16","Are you applying for an internal model to calculate an SCR for Lloyd's? "]
[null,null,null,"Q17","Is the application based on the assumption that all the internal model requirements and calibration standards applicable to the model in question have been met? "]
[null,null,null,"Q18","Does the internal model include the use of any external data or models?"]
[null,null,null,"Q19","As per Solvency Capital Requirement - Internal Models 10.10, do you use a simplified calculation of the SCR, in which it carries out only a part of the calculations usually necessary to determine the SCR?",null,null,"Solvency Capital Requirement – Internal Models 10.10: In order to meet the requirements in 10.2, a firm may use a simplified calculation of the SCR, in which it carries out only a part of the calculations usually necessary to determine the SCR, if and to the extent that the firm:\n(1) uses results from the previous calculation of the SCR for the remaining part of the calculation; \n(2) is able to demonstrate upon request by the PRA that the results taken from the previous calculation of the SCR would not be materially different from the results of a new calculation; and\n(3) does not use a simplified calculation of the SCR for the purposes of meeting Solvency Capital Requirements - General Provisions 4."]
[null,null,null,"Q20","As per Solvency Capital Requirement - Internal Models 12.1, do you use, for internal modelling purposes, a different time period or risk measure than that set out in Solvency Capital Requirement – General Provisions 3.4? ",null,null,"Solvency Capital Requirement – Internal Models 12.1: A firm may use, for internal modelling purposes, a different time period or risk measure than that set out in Solvency Capital Requirement – General Provisions 3.4 only where the outputs of the internal model can be used by the firm to calculate the SCR in a manner that provides policyholders with a level of protection equivalent to that set out in Solvency Capital Requirement – General Provisions 3.2 to 3.5."]
[null,null,null,"Q20.1","As per Solvency Capital Requirement - Internal Models 10.6, do you use the internal model as a part of the system of governance?",null,null,"Solvency Capital Requirement – Internal Models 10.6: Subject to 10.1, where a firm decides not to use the internal model for a part of the system of governance, the firm must notify the PRA and justify that decision."]
[null,null,null,"Q20.2","As per Solvency Capital Requirement - Internal Models 10.7, do you use the internal model for purposes other than calculating the SCR?",null,null,"Solvency Capital Requirement – Internal Models 10.7: Where the internal model is used for different purposes, a firm must ensure consistency between the different outputs of the internal model."]
[null,null,null,"Q21","As per Solvency Capital Requirement - Internal Models 3.4, has the PRA requested a comparison of the SCR produced by the IM to that produced by the SF?",null,null,"Solvency Capital Requirement – Internal Models 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."]
[null,null,null,"Q22","As per Solvency Capital Requirement - Internal Models 12.3, has the PRA requested benchmarks portfolios to be run?",null,null,"Solvency Capital Requirement – Internal Models 12.3: When required to do so by the PRA, a firm must run its internal model on relevant benchmark portfolios, using assumptions based on external rather than internal data in order to verify the calibration of the internal model and to check that its specification is in line with generally accepted market practice."]
[null,null,null,"Q23","As per Solvency II Internal Models: Permissions and ongoing monitoring SoP 5.6, has the PRA requested an AoC?",null,null,"Solvency II Internal Models: Permissions and ongoing monitoring SoP 5.6: As described in paragraph 2.12, the PRA may expect firms to carry out and submit to the PRA the results of an AoC exercise when applying for a new model permission. The PRA may also expect this of firms when applying for variation of an existing permission in relation to a major model change. It will notify firms where it expects them to do so."]
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[null,null,null,null,"The IMAT has now been generated. \nFirms are to complete the “Self-Assessment Template” and “Documentation” worksheets in-line with the instructions."]

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[]
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[]
[null,null,null,null,null,"SAT Column C - Firm's own compliance assessment with this requirement"," "]
[]
[null,null,"Yes","Full","Default","Met without the use of safeguards or MLAs"]
[null,null,"No","Partial","Technique 1","Met / non-compliance mitigated with the use of safeguards and/or MLAs"]
[null,null,null,null,"Technique 2","Not met"]
[null,null,null,null,"Technique 3"]
[null,null,null,null,"Technique 4"]
[null,null,null,null,"Technique 5"]
[null,null,null,null,"Alternative"]

{"sheet":"Decision tree","index":4,"n_rows":34,"n_cols":6,"rows_kept":34,"cut":false,"hidden":true,"merged":[]}
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[]
["Q1","Is this an initial application? ",null,null,"If yes go to Q1.1, if no go to Q2"]
["Q1.1","Is there a governance, SRPD CAO or group CAOs in place?",null,null,"If Q1.1 is yes, then go to 1.2. If no, then go to Q11-12 and Q14 to Q22"]
["Q1.2","Has the PRA has indicated a timeline by which you are expected to remedy the deficiency underlying the CAO?"]
["Q1.3","As per Solvency Capital Requirement - General Provisions 5.1A, has a progress plan been requested?",null,null,"If Q1.1 is yes, then ask this ","If get to Q1.3 then ask Q11-Q12 (Q12 only if Q11 is partial), then ask Q13-23"]
["Q2","Is this an application for a major model change? ",null,null,"If a yes go to Q3 if no go to Q10"]
["Q3","Are there any safeguards / CAOs in place in the current model?",null,null,"If yes ask Q4, Q5, Q6 and Q7, if no go to Q8"]
["Q4","Is there an RML CAO or requirement safeguard in place? ",null,null,"If Yes then go to 6 else if No then go to 5"]
["Q6","Has a progress plan been requested?",null,null,"Roy, I've moved this further up"]
["Q5","Is there a governance or SRPD CAO in place?"]
["Q5.5","Are there any other CAOs in place, including group CAOs?",null,null,"RA - If 5 and 5.5 are No then go to 7"]
["Q5.6","Has the PRA has indicated a timeline by which you are expected to remedy the deficiency underlying the CAO?",null,null,"If either 5 or 5.5 is yes, then bring this up"]
["Q5.7","As per Solvency Capital Requirement - General Provisions 5.1A, has a progress plan been requested?",null,null,"If either 5 or 5.5 is yes, then bring this up"]
["Q7","As per Solvency Capital Requirement - Internal Models 6.6, have any of the internal model requirements been modified in your current permission? ",null,null,"If Yes then go to Q8 else if No and Q3 = Yes And Q4 = No And Q5 = No And Q6 =  No then \"Error message\""]
["Q8","Is the model change a reduction in scope?",null,null,"If yes go to Q9 if no go to Q10"]
["Q9","As per Solvency Capital Requirement – Internal Models 5A.1, prior to this application, has the PRA asked for a transitional plan to reduce the scope of your current internal model?"]
["Q10","Does the application include a change to the model change policy? ",null,null,"If \"Yes\" and Q1 and Q2 are \"No\" end questions here, otherwise proceed to Q11 - RA STOP and copy the rules"]
["Q11","Is the application for a full or partial internal model?",null,null,"If Full go to Q14 if Partial go to Q12","If Full go to Q14 if Partial go to Q12"]
["Q12","What integration technique are you using?",null,null,"If Q2=yes and Q8 = no go to Q13 else go to Q14","If Q1 is yes and If Q12 comes up, then go to 13"]
["Q13","As per Solvency Capital Requirement - Internal Models 5.1, prior to this application, has the PRA requested a transitional plan to extend the scope of the model?",null,null,"If Q1=Yes AND Q13=No THEN show Q13.1"]
["Q13.1","As per Solvency Capital Requirement – Internal Models 5A.1, prior to this application, has the PRA asked for a transitional plan to reduce the scope of your current internal model?"]
["Q14","Are you applying for an internal model to calculate a Group SCR? ",null,null,"If yes go to Q17 if no go to Q15"]
["Q15","Are you applying for an internal model to calculate an SCR for a solo entity? ",null,null,"If yes go to Q17 if no go to Q16"]
["Q16","Are you applying for an internal model to calculate an SCR for Lloyd's? "]
["Q17","Is the application based on the assumption that all the internal model requirements and calibration standards applicable to the model in question have been met? "]
["Q18","Does the internal model include the use of any external data or models?"]
["Q19","As per Solvency Capital Requirement - Internal Models 10.10, do you use a simplified calculation of the SCR, in which it carries out only a part of the calculations usually necessary to determine the SCR?"]
["Q20","As per Solvency Capital Requirement - Internal Models 12.1, do you use, for internal modelling purposes, a different time period or risk measure than that set out in Solvency Capital Requirement – General Provisions 3.4? "]
["Q20.1","As per Solvency Capital Requirement - Internal Models 10.6, do you use the internal model as a part of the system of governance?"]
["Q20.2","As per Solvency Capital Requirement - Internal Models 10.7, do you use the internal model for purposes other than calculating the SCR?"]
["Q21","As per Solvency Capital Requirement - Internal Models 3.4, has the PRA requested a comparison of the SCR produced by the IM to that produced by the SF?"]
["Q22","As per Solvency Capital Requirement - Internal Models 12.3, has the PRA requested benchmarks portfolios to be run?",null,null,"RA - STOP and copy the rules only if Q1 is yes"]
["Q23","As per Solvency II Internal Models: Permissions and ongoing monitoring SoP 5.6, has the PRA requested an AoC?",null,null,"RA - STOP and copy the rules"]

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["Reference","Rule ","Firm's own compliance assessment with this requirement","Documents that are relevant to this requirement - included within the submission","Documents that are related to this requirement - not included within the submission","Firm's justification of its compliance assessment with this requirement",null,"Logic","Core?",null,"Yes","Logic","Yes","Logic","Yes","Logic","No","Logic","No","Logic","No","Logic","Full","Logic","Partial","Logic","Default","Logic","Technique 1","Logic","Technique 2","Logic","Technique 3","Logic","Technique 4","Logic","Technique 5","Logic","Alternative"]
["Solvency Capital Requirement - Internal Models 3.1(1)","A firm making an internal model permission application must 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.",null,null,null,null,null,"Q17=Yes","Yes",null,"Q17"]
["Solvency Capital Requirement - Internal Models 3.1(2)","A firm making an internal model permission application must 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.",null,null,null,null,null,"If Q17 = No","Yes",null,null,null,null,null,null,null,"Q17"]
["Solvency Capital Requirement - Internal Models 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.",null,null,null,null,null,"All applications","Yes",null,"Q1","or","Q2","or","Q10"]
["Solvency Capital Requirement - Internal Models 3.3","When making an internal model permission application, a firm must submit its internal model change policy to the PRA.",null,null,null,null,null,"If Q1  =Yes","Yes",null,"Q1"]
["Solvency Capital Requirement - Internal Models 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.",null,null,null,null,null,"If Q21=Yes","No",null,"Q21"]
["Solvency Capital Requirement - Internal Models 4.2","A firm making an internal model permission application to use a partial internal model must:\n(1) explain, and properly justify, the reason for the limited scope of the internal model.",null,null,null,null,null,"If Q11=partial","Yes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Q11"]
["Solvency Capital Requirement - Internal Models 4.2","A firm making an internal model permission application to use a partial internal model must:\n(2) explain how the resulting SCR reflects more appropriately the risk profile of the firm and complies with Solvency Capital Requirement - General Provisions 2 to 4.",null,null,null,null,null,"If Q11=partial","Yes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Q11"]
["Solvency Capital Requirement - Internal Models 4.2","A firm making an internal model permission application to use a partial internal model must:\n(3) demonstrate that the design of its partial internal model is consistent with the principles in Solvency Capital Requirement - General Provisions 2 to 4 so as to allow the capital requirement generated by the partial internal model to be fully integrated into the standard formula SCR.",null,null,null,null,null,"If Q11=partial","Yes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Q11"]
["Solvency Capital Requirement - Internal Models 5.1","A firm which has made an internal model permission application in respect of a partial internal model that only covers certain sub-modules of a specific risk module, or some of the business units of the firm with respect to a specific risk module, or parts of both, must be able to, upon request by the PRA, submit a realistic transitional plan to extend the scope of the proposed partial internal model.",null,null,null,null,null,"If Q13 = yes","No",null,"Q13"]
["Solvency Capital Requirement - Internal Models 5.2","The realistic transitional plan referred to in 5.1 must set out the manner in which the firm plans to extend the scope of the proposed partial internal model to other sub-modules or business units of the firm, in order to ensure that the internal model covers a predominant part of the firm’s insurance business with respect to that specific risk module.",null,null,null,null,null,"If Q13 = yes","No",null,"Q13"]
["Solvency Capital Requirement - Internal Models 6.2","A firm’s internal model change policy must include a specification of minor and major changes to the internal model and, to the extent a firm applies model limitation adjustments within the internal model for which it has internal model permission, an explanation of governance arrangements for their application, including where they are specified as minor and major changes and the reasons they are specified as such.",null,null,null,null,null,"If Q1=yes or Q10=yes","Yes",null,"Q1","or","Q10"]
["Solvency Capital Requirement - Internal Models 6.6","For the purpose of 6.5, if a firm applying to the PRA has an internal model permission that modifies any of the internal model requirements applicable to that firm, it must also submit documentary evidence for the purposes of 3.1(1) or (2) by reference to the unmodified internal model requirements, and the firm must also confirm, in accordance with 3.1(1), by reference to the unmodified internal model requirements.",null,null,null,null,null,"If Q7=yes and Q17 = yes","Yes",null,"Q7","and","Q17"]
["Solvency Capital Requirement - Internal Models 6.6","For the purpose of 6.5, if a firm applying to the PRA has an internal model permission that modifies any of the internal model requirements applicable to that firm, it must also submit documentary evidence for the purposes of 3.1(1) or (2) by reference to the unmodified internal model requirements, and the firm must also explain, in accordance with 3.1(2), by reference to the unmodified internal model requirements.",null,null,null,null,null,"If Q7=yes and Q17=No","Yes",null,null,null,null,null,"Q7","and","Q17"]
["Solvency Capital Requirement - Internal Models 7.1","A firm's: \n(1) internal model permission application;\nmust be approved by the firm’s governing body.",null,null,null,null,null,"Always pull this rule through","Yes",null,"Q1","or","Q2","or","Q10"]
["Solvency Capital Requirement - Internal Models 7.1","A firm's:\n(2) application to the PRA for approval to vary its internal model permission in order to make a \nmajor change to its internal model;\nmust be approved by the firm’s governing body.",null,null,null,null,null,"If Q2=yes","Yes",null,"Q2"]
["Solvency Capital Requirement - Internal Models 7.2","A firm must have in place systems which ensure that its internal model operates properly on a continuous basis.",null,null,null,null,null,"Always pull this rule through","Yes",null,"Q1","or","Q2","or","Q10"]
["Solvency Capital Requirement - Internal Models 10.1","A firm must demonstrate to the PRA that its internal model is widely used, and plays an important role in its system of governance (referred to in Conditions Governing Business 2 – 7, Insurance - Fitness and Propriety 2.1 to 2.3, 4.1, 4.3 and 4.4 and Insurance – Allocation of Responsibilities 4) and particularly in its:\n(1) risk-management system, as set out in Conditions Governing Business 3.1 to 3.7, and decision-making processes.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 10.1","A firm must demonstrate to the PRA that its internal model is widely used, and plays an important role in its system of governance (referred to in Conditions Governing Business 2 – 7, Insurance - Fitness and Propriety 2.1 to 2.3, 4.1, 4.3 and 4.4 and Insurance – Allocation of Responsibilities 4) and particularly in its:\n(2) economic and solvency capital assessment and allocation processes, including its ORSA, as set out in Conditions Governing Business 3.8 to 3.11.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 10.1A","An internal model shall not be considered to be widely used in or to play an important role in the system of governance of a firm where the quantifications of risks and the risk ranking produced by the internal model do not trigger timely and appropriate risk management actions, where relevant.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 10.2","A firm must also demonstrate to the PRA that the frequency of calculation of its SCR using the internal model is consistent with the frequency with which it uses its internal model for the purposes set out in 10.1.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 10.3","A firm must ensure the ongoing appropriateness of the design and operations of its internal model, and that the internal model continues to appropriately reflect the risk profile of the firm.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 10.4","A firm must ensure that the design of the internal model is aligned with its activities, including by ensuring:\n(1) the internal model is capable of producing outputs that are sufficiently granular to play an important role in the relevant management decisions of the firm.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 10.4","A firm must ensure that the design of the internal model is aligned with its activities, including by ensuring:\n(2) that, as a minimum, the outputs of the internal model differentiate between lines of business, between risk categories and between major business units.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 10.5","A firm must ensure that the internal model change policy provides that the internal model is to be adjusted for changes in the scope or nature of the activities of the firm.",null,null,null,null,null,"If Q1=Yes or if Q10=yes","Yes",null,"Q1","or","Q10"]
["Solvency Capital Requirement - Internal Models 10.6","Subject to 10.1, where a firm decides not to use the internal model for a part of the system of governance, the firm must notify the PRA and justify that decision.",null,null,null,null,null,"If Q20.1=No","Yes",null,null,null,null,null,null,null,"Q20.1"]
["Solvency Capital Requirement - Internal Models 10.7","Where the internal model is used for different purposes, a firm must ensure consistency between the different outputs of the internal model.",null,null,null,null,null,"If Q20.2=yes","No",null,"Q20.2"]
["Solvency Capital Requirement - Internal Models 10.8","A firm must ensure that its governing body and any other persons who effectively run the firm have a sufficient understanding of the internal model which comprises knowledge about:\n(1) the structure of the internal model and the way the internal model fits to the business and is integrated in the risk-management system of the firm.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 10.8","A firm must ensure that its governing body and any other persons who effectively run the firm have a sufficient understanding of the internal model which comprises knowledge about:\n(2) the scope and purposes of the internal model and the risks that are or are not included in the coverage of the internal model.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 10.8","A firm must ensure that its governing body and any other persons who effectively run the firm have a sufficient understanding of the internal model which comprises knowledge about:\n(3) the general methodology applied in the internal model calculations.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 10.8","A firm must ensure that its governing body and any other persons who effectively run the firm have a sufficient understanding of the internal model which comprises knowledge about:\n(4) the limitations of the internal model.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 10.8","A firm must ensure that its governing body and any other persons who effectively run the firm have a sufficient understanding of the internal model which comprises knowledge about:\n(5) the diversification effects taken into account in the internal model.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 10.8","A firm must ensure that its governing body and any other persons who effectively run the firm have a sufficient understanding of the internal model which comprises knowledge about:\n(6) the material expert judgements used to set assumptions underlying the internal model.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 10.9","A firm must ensure that the persons who effectively run the firm have a sufficiently detailed understanding of the parts of the internal model used in the area for which they are responsible.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 10.10","In order to meet the requirements in 10.2, a firm may use a simplified calculation of the SCR, in which it carries out only a part of the calculations usually necessary to determine the SCR, if and to the extent that the firm:\n(1) uses results from the previous calculation of the SCR for the remaining part of the calculation.",null,null,null,null,null,"If Q19=Yes","Yes",null,"Q19"]
["Solvency Capital Requirement - Internal Models 10.10","In order to meet the requirements in 10.2, a firm may use a simplified calculation of the SCR, in which it carries out only a part of the calculations usually necessary to determine the SCR, if and to the extent that the firm:\n(2) is able to demonstrate upon request by the PRA that the results taken from the previous calculation of the SCR would not be materially different from the results of a new calculation.",null,null,null,null,null,"If Q19=Yes","Yes",null,"Q19"]
["Solvency Capital Requirement - Internal Models 10.10","In order to meet the requirements in 10.2, a firm may use a simplified calculation of the SCR, in which it carries out only a part of the calculations usually necessary to determine the SCR, if and to the extent that the firm:\n(3) does not use a simplified calculation of the SCR for the purposes of meeting Solvency Capital Requirements - General Provisions 4.",null,null,null,null,null,"If Q19=Yes","Yes",null,"Q19"]
["Solvency Capital Requirement - Internal Models 11.1","A firm must ensure that its internal model and, in particular, the calculation of the probability distribution forecast generated by, complies with 11.2 to 11.13.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.2","The methods used to calculate the probability distribution forecast must be:\n(1) based on adequate, applicable and relevant actuarial and statistical techniques.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.2","The methods used to calculate the probability distribution forecast must be:\n(2) based upon current and credible information and realistic assumptions that make adequate allowance for uncertainty.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.2","The methods used to calculate the probability distribution forecast must be:\n(3) consistent with the methods used to calculate technical provisions, except where this would result in the firm failing to comply with 11.6.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.3","A firm must be able to justify the assumptions underlying its internal model to the PRA.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.4","(1) Data used for the internal model must be accurate, complete and appropriate.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.4","(1A) Data used in the internal model shall only be deemed complete for the purposes of 11.4(1) where data are available for all relevant internal model parameters and no such relevant data are excluded from use in the internal model without justification. ",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.4","(2) A firm must update the data sets used in the calculation of the probability distribution forecast at least annually, and collect, process and apply data in a transparent and structured manner.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.5","Without limiting the operation of 11.2, irrespective of the method chosen to calculate the probability distribution forecast, the ability of the internal model to rank risk must be sufficient to ensure that it is widely used and plays an important role in the system of governance of the firm, in particular in its risk-management system and decision-making processes, and capital allocation in accordance with 10.1.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.6","The internal model must cover all of the material risks to which the firm is exposed, including at least the risks set out in Solvency Capital Requirement – General Provisions 3.3(1).",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.6A","For the purposes of 11.6, a firm must assess, at least on a quarterly basis, whether the internal model covers all material quantifiable risks within its scope. The assessment must take into account an appropriate set of qualitative and quantitative indicators.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.6B","The qualitative indicators referred to in 11.6A must include any risks identified in the ORSA that are not included in the coverage of the internal model.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.7","In its internal model, a firm must:\n(1) accurately assess:\n(a) the particular risks associated with financial guarantees and any contractual options, where material, taking into account the impact that future changes in financial and non-financial conditions may have on the exercise of those options.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.7","In its internal model, a firm must:\n(1) accurately assess:\n(b) the risks associated with both policyholder options and the firm’s contractual options, taking into account the impact that future changes in financial and non-financial conditions may have on the exercise of those options.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.7","In its internal model, a firm must:\n(2) take account of all payments to policyholders which it expects to make, whether or not those payments are contractually guaranteed.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.8","A firm’s internal model must only take into account:\n(1) as regards diversification effects, dependencies within and across risk categories, if the firm’s system for measuring those diversification effects is adequate.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.8","A firm’s internal model must only take into account:\n(2) the effect of risk-mitigation techniques, if and to the extent that credit risk and other risks arising from the use of risk-mitigation techniques are properly reflected (in accordance with 11.10) in the internal model.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.8","A firm’s internal model must only take into account:\n(3) future management actions, if and to the extent that:\n(a) they are future management actions that the firm would, in a manner consistent with [Article 23 of the Commission Delegated Regulation (Solvency II) 2015/35], applied in the context of this Part, reasonably expect to carry out in specific circumstances.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.8","A firm’s internal model must only take into account:\n(3) future management actions, if and to the extent that:\n(b) the firm makes allowance in its internal model for the time and expenses necessary to implement those actions.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.9","A firm’s system used for measuring diversification effects referred to in 11.8(1) shall only be considered adequate where it:\n(1) identifies the key variables driving dependencies.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.9","A firm’s system used for measuring diversification effects referred to in 11.8(1) shall only be considered adequate where it: \n(2) takes into account the following:\n(a) any non-linear dependence and any lack of diversification under extreme scenarios.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.9","A firm’s system used for measuring diversification effects referred to in 11.8(1) shall only be considered adequate where it: \n(2) takes into account the following:\n(b) any restrictions of diversification which arise from the existence of a ring-fenced fund or matching adjustment portfolio.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.9","A firm’s system used for measuring diversification effects referred to in 11.8(1) shall only be considered adequate where it: \n(2) takes into account the following:\n(c) the characteristics of the risk measure used in the internal model.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.10","In order to comply with 11.8(2), a firm must not include risks arising from the situation whereby:\n(1) the contractual arrangements relating to the risk-mitigation technique are, in any relevant jurisdiction, not legally effective and enforceable or do not ensure that the transfer of risk is clearly defined and incontrovertible.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.10","In order to comply with 11.8(2), a firm must not include risks arising from the situation whereby:\n(2) the firm does not have a direct claim on the counterparty in the event of the default, insolvency or bankruptcy of the counterparty or other credit event set out in the transaction documentation to the arrangements relating to the risk-mitigation technique.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.10","In order to comply with 11.8(2), a firm must not include risks arising from the situation whereby:\n(3) the legal arrangements underlying the risk-mitigation technique do not contain an explicit reference to a specific risk exposure clearly defining the extent of the cover provided by the risk-mitigation technique.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.11","Where the risk-mitigation technique referred to in 11.10(3) does not cover the risk exposure of the firm in all cases, a firm must ensure that its internal model takes into account the reduced effectiveness of the risk-mitigation technique resulting from this deviation of risk exposures, in order to comply with 11.8(2)",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.12","Where a risk-mitigation technique is subject to a condition, the fulfilment of which is outside the direct control of the firm and which could undermine the effective transfer of risk, a firm must ensure that its internal model takes into account the effect of the condition and any reduced effectiveness of that risk-mitigation technique, in order to comply with 11.8(2).",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 11.13","(1) Where a firm uses in its internal model parts obtained from a third party, in order for the internal model to be considered adequate the firm must be able to demonstrate a sufficient understanding of those parts, including their limitations, such that the firm can:\n(a) provide meaningful challenge in order to ensure that those parts operate to achieve the overall purpose for which they were developed.",null,null,null,null,null,"If Q18 = yes","Yes",null,"Q18"]
["Solvency Capital Requirement - Internal Models 11.13","(1) Where a firm uses in its internal model parts obtained from a third party, in order for the internal model to be considered adequate the firm must be able to demonstrate a sufficient understanding of those parts, including their limitations, such that the firm can:\n(b) explain how the operation of those parts enables the internal model and, if the context requires, the firm to comply with the internal model requirements and Solvency Capital Requirement – General Provisions 3.3 and 3.4.",null,null,null,null,null,"If Q18 = yes","Yes",null,"Q18"]
["Solvency Capital Requirement - Internal Models 11.13","(2) Where a firm uses in its internal model data obtained from a third party, in order for those data to be considered to be appropriate, a firm must be able to demonstrate a sufficient understanding of those data, including their limitations.",null,null,null,null,null,"If Q18 = yes","Yes",null,"Q18"]
["Solvency Capital Requirement - Internal Models 12.1","A firm may use, for internal modelling purposes, a different time period or risk measure than that set out in Solvency Capital Requirement – General Provisions 3.4 only where the outputs of the internal model can be used by the firm to calculate the SCR in a manner that provides policyholders with a level of protection equivalent to that set out in Solvency Capital Requirement – General Provisions 3.2 to 3.5.",null,null,null,null,null,"If Q20=Yes","Yes",null,"Q20"]
["Solvency Capital Requirement - Internal Models 12.2","A firm must derive the SCR directly from the probability distribution forecast generated by its internal model, using the Value-at-Risk risk measure set out in Solvency Capital Requirement – General Provisions 3.4.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 12.3","When required to do so by the PRA, a firm must run its internal model on relevant benchmark portfolios, using assumptions based on external rather than internal data in order to verify the calibration of the internal model and to check that its specification is in line with generally accepted market practice.",null,null,null,null,null,"If Q22=Yes","No",null,"Q22"]
["Solvency Capital Requirement - Internal Models 14.1","(1) A firm must have in place a regular cycle of internal model validation which includes:\n(a) monitoring the performance of the internal model, reviewing the ongoing appropriateness of its specification and testing its results against experience.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 14.1","(1) A firm must have in place a regular cycle of internal model validation which includes:\n(b) an effective statistical process for validating the internal model which enables the firm to demonstrate to the PRA that the resulting capital requirements are appropriate.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 14.1","(1) A firm must have in place a regular cycle of internal model validation which includes:\n(c) an analysis of the stability of the internal model and, in particular, the testing of the sensitivity of the results of the internal model to changes in key underlying assumptions.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 14.1","(1) A firm must have in place a regular cycle of internal model validation which includes:\n(d) an assessment of the accuracy, completeness and appropriateness of the data used by the internal model.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 14.1","(2) The statistical methods applied for the purposes of (1)(b) must test the appropriateness of the probability distribution forecast compared to loss experience, all material new data and information relating thereto.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 14.1","(3) In order to be able to demonstrate to the PRA that the resulting capital requirements are appropriate, a firm must: \n(a) compare the coverage of the internal model with the scope of the internal model.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 14.1","(3) In order to be able to demonstrate to the PRA that the resulting capital requirements are appropriate, a firm must: \n(b) ensure that the statistical process for validating the internal model includes stress tests, including a reverse stress test, identifying the most probable stresses that would threaten the viability of the firm.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 14.1","(4) Where a firm observes in accordance with 14.1(1)(c) and (d) that changes in a key underlying assumption have a significant impact on the SCR, it must be able to explain the reasons for this sensitivity and how the sensitivity is taken into account in its decision\u0002making process. For the purposes of 14.1(1)(c) and (d) the key assumptions shall include assumptions on future management actions and assumptions set using expert judgements.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 14.2","In order to ensure independence of the internal model validation process from the development and operation of the internal model, a firm must ensure that the persons or organisational unit shall, when carrying out the internal model validation process, be free from influence from those responsible for the development and operation of the internal model.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 15.1","A firm must document the design and operational details of its internal model.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 15.2","The documentation referred to in 15.1 must:\n(1) demonstrate compliance with 10 to 14, 16 and 16A.",null,null,null,null,null,"If Q1=Yes or Q2=Yes or if Q11 = Partial","Yes",null,"Q1","or","Q2",null,null,null,null,null,null,null,null,null,null,"or","Q11"]
["Solvency Capital Requirement - Internal Models 15.2","The documentation referred to in 15.1 must:\n(2) provide a detailed outline of the theory, assumptions, and mathematical and empirical bases underlying the internal model.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 15.2","The documentation referred to in 15.1 must:\n(3) indicate any circumstances under which the internal model does not work effectively.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 15.2","The documentation referred to in 15.1 must:\n(4) include all major changes to the internal model, as referred to in 6.",null,null,null,null,null,"If Q1=Yes or Q2=Yes","Yes",null,"Q1","or","Q2"]
["Solvency Capital Requirement - Internal Models 15.2","The documentation referred to in 15.1 must:\n(5) in the case of a partial internal model, in addition to the requirements in 15.2(1) to 15.2(4):\n(a) include the justification for the limited scope of the internal model.",null,null,null,null,null,"If Q11=partial","Yes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Q11"]
["Solvency Capital Requirement - Internal Models 15.2","The documentation referred to in 15.1 must:\n(5) in the case of a partial internal model, in addition to the requirements in 15.2(1) to 15.2(4):\n(b) include a description of the integration technique used to fully integrate the capital requirement generated by the partial internal model into the standard formula SCR.",null,null,null,null,null,"If Q11=partial","Yes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Q11"]
["Solvency Capital Requirement - Internal Models 15.2","The documentation referred to in 15.1 must:\n(5) in the case of a partial internal model, in addition to the requirements in 15.2(1) to 15.2(4):\n(c) demonstrate compliance with 4.2(2) and (3).",null,null,null,null,null,"If Q11=partial","Yes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Q11"]
["Solvency Capital Requirement - Internal Models 16.1","The internal model requirements apply regardless whether a firm uses, in its internal model, a model or data obtained from a third party.",null,null,null,null,null,"If Q18=Yes","Yes",null,"Q18"]
["Solvency Capital Requirement - Internal Models 16.2","A firm must monitor any potential limitations arising from the use of external models or external data in the internal model to ensure the ongoing fulfilment of Solvency Capital Requirement – General Provisions 3.2 – 3.5, the internal model requirements, and Solvency Capital Requirement – Internal Models 4.2 and 5 in respect of a partial internal model.",null,null,null,null,null,"If Q18=Yes","Yes",null,"Q18"]
["Solvency Capital Requirement - Internal Models 16A.1","Unless 16A.2 or 16A.3 applies, a firm must use as a default integration technique the correlation matrices and formulae of the standard formula set out in Solvency Capital Requirement - Standard Formula 3.1 and in [Articles 83 to 221 of the Commission Delegated Regulation (Solvency II) 2015/35] in order to fully integrate the capital requirement generated by a partial internal model into the standard formula SCR.",null,null,null,null,null,"If Q12 = Default","Yes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Q12"]
["Solvency Capital Requirement - Internal Models 16A.2","Unless 16A.3 applies, where it would not be appropriate to use the default integration technique referred to in 16A.1 for any of the reasons referred to in 16A.5, the firm must use the most appropriate integration technique of those set out in 16B – 16G and be able to explain and justify its choice.",null,null,null,null,null,"If Q12= Technique 1,2,3,4 or 5","Yes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Q12"]
["Solvency Capital Requirement - Internal Models 16A.2","Unless 16A.3 applies, where it would not be appropriate to use the default integration technique referred to in 16A.1 for any of the reasons referred to in 16A.5, the firm must use the most appropriate integration technique of those set out in 16B – 16G and be able to explain and justify its choice.",null,null,null,null,null,"If Q12= Technique 1,2,3,4 or 5","Yes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Q12"]
["Solvency Capital Requirement - Internal Models 16A.2","Unless 16A.3 applies, where it would not be appropriate to use the default integration technique referred to in 16A.1 for any of the reasons referred to in 16A.5, the firm must use the most appropriate integration technique of those set out in 16B – 16G and be able to explain and justify its choice.",null,null,null,null,null,"If Q12= Technique 1,2,3,4 or 5","Yes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Q12"]
["Solvency Capital Requirement - Internal Models 16A.2","Unless 16A.3 applies, where it would not be appropriate to use the default integration technique referred to in 16A.1 for any of the reasons referred to in 16A.5, the firm must use the most appropriate integration technique of those set out in 16B – 16G and be able to explain and justify its choice.",null,null,null,null,null,"If Q12= Technique 1,2,3,4 or 5","Yes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Q12"]
["Solvency Capital Requirement - Internal Models 16A.2","Unless 16A.3 applies, where it would not be appropriate to use the default integration technique referred to in 16A.1 for any of the reasons referred to in 16A.5, the firm must use the most appropriate integration technique of those set out in 16B – 16G and be able to explain and justify its choice.",null,null,null,null,null,"If Q12= Technique 1,2,3,4 or 5","Yes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Q12"]
["Solvency Capital Requirement - Internal Models 16A.3","If the default integration technique referred to in 16A.1 and all integration techniques set out in 16B - 16G are inappropriate for one or more reasons referred to in 16A.5, the firm may use an alternative integration technique that is appropriate and must be able to explain and justify its choice.",null,null,null,null,null,"If Q12 = Alternative","Yes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Q12"]
["Solvency Capital Requirement - Internal Models 16A.4","The firm must ensure that the alternative integration technique referred to in 16A.3 that it uses results in an SCR that complies with the principles set out in the Solvency Capital Requirement - General Provisions Part and this Part and more appropriately reflects the risk profile of the firm.",null,null,null,null,null,"If Q12 = Alternative","Yes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Q12"]
["Solvency Capital Requirement - Internal Models 16A.5","An integration technique shall not be appropriate where the following applies:\n(1) the resulting SCR and, if the context requires, the firm would not comply with Solvency Capital Requirement - General Provisions 3.2 - 3.5.",null,null,null,null,null,"If Q11=partial","Yes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Q11"]
["Solvency Capital Requirement - Internal Models 16A.5","An integration technique shall not be appropriate where the following applies:\n(2) the resulting SCR would not appropriately reflect the risk profile of the firm.",null,null,null,null,null,"If Q11=partial","Yes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Q11"]
["Solvency Capital Requirement - Internal Models 16A.5","An integration technique shall not be appropriate where the following applies:\n(3) the design of the partial internal model is consistent with the principles set out in Solvency Capital Requirement - General Provisions 3.2 - 3.5 and 4 but it would not be possible to use the integration technique to fully integrate the capital requirement generated by the partial internal model into the standard formula SCR.",null,null,null,null,null,"If Q11=partial","Yes",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Q11"]
["Group Supervision 11.5","Where an internal model is used to calculate the consolidated group SCR in accordance with 11.2, the requirements set out in Solvency Capital Requirement – Internal Models 10 shall be complied with by:\n(1) the participating undertaking which calculates the consolidated group SCR on the basis of the internal model.",null,null,null,null,null,"If Q14=Yes","Yes",null,"Q14"]
["Group Supervision 11.5","Where an internal model is used to calculate the consolidated group SCR in accordance with 11.2, the requirements set out in Solvency Capital Requirement – Internal Models 10 shall be complied with by:\n(2) each related Solvency II undertaking whose business is fully or partly in the scope of the internal model, only in relation to the output of the internal model at group level.",null,null,null,null,null,"If Q14=Yes","Yes",null,"Q14"]
["Group Supervision 11.5","Where an internal model is used to calculate the consolidated group SCR in accordance with 11.2, the requirements set out in Solvency Capital Requirement – Internal Models 10 shall be complied with by:\n(3) each related undertaking that is an insurance holding company or a mixed financial holding company whose business is fully or partly in the scope of the internal model, only in relation to the output of the internal model at group level.",null,null,null,null,null,"If Q14=Yes","Yes",null,"Q14"]
["Group Supervision 11.6","Where a group internal model is used, in addition to 11.5, the requirements set out in Solvency Capital Requirement – Internal Models 10 shall be complied with by:\n(1) each participating Solvency II undertaking in relation to the output of the internal model at the level of that undertaking.",null,null,null,null,null,"If Q14=Yes","Yes",null,"Q14"]
["Group Supervision 11.6","Where a group internal model is used, in addition to 11.5, the requirements set out in Solvency Capital Requirement – Internal Models 10 shall be complied with by:\n(2) each related Solvency II undertaking which calculates its SCR on the basis of the group internal model, at the level of the undertaking.",null,null,null,null,null,"If Q14=Yes","Yes",null,"Q14"]
["Group Supervision 11.7","For the purposes of 11.5 and 11.6, a Solvency II undertaking or insurance holding company or mixed financial holding company shall only comply with the requirements set out in Solvency Capital Requirement – Internal Models 10.8 and 10.9 in relation to the parts of the internal model which cover the risks of that undertaking and the risks of its related undertakings.",null,null,null,null,null,"If Q14=Yes","Yes",null,"Q14"]

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["Reference","Requirement","Documents that are relevant to this requirement - included within the submission",null,"Logic","Core?",null,null,null,null,"Yes","Logic","Yes","Logic","Yes","Logic","No","Logic","No","Logic","No","Logic","Full","Logic","Partial","Logic","Default","Logic","Technique 1","Logic","Technique 2","Logic","Technique 3","Logic","Technique 4","Logic","Technique 5","Logic","Alternative"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(a) a cover letter including:\ni. a request for permission to use a full or partial IM for the purpose of calculating the SCR, starting from a specified date, and a general explanation of the IM including a brief description of the proposed structure and scope of the IM.\n",null,null,"If Q1=Yes OR Q2=yes","Yes",null,null,null,null,"Q1","or","Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(a) a cover letter including:\nii. a confirmation of the period prior to the application for which the IM has been used in the firm’s risk management system and decision-making processes in accordance with the requirements set out in Solvency Capital Requirement – Internal Models 10.",null,null,"If Q1=Yes OR Q2=yes","Yes",null,null,null,null,"Q1","or","Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(a) a cover letter including:\niii. a confirmation that the application is complete and includes an accurate description of the IM, and that no relevant facts have been knowingly omitted.",null,null,"If Q1=Yes OR Q2=yes","Yes",null,null,null,null,"Q1","or","Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(a) a cover letter including:\niv. a confirmation whether the firm is part of a group using an IM for the calculation of the consolidated group SCR, or whether an application to use any IM for calculating the consolidated group SCR is currently under consideration and awaiting a decision.",null,null,"If Q1=Yes OR Q2=yes","Yes",null,null,null,null,"Q1","or","Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(a) a cover letter including:\nv. a list of any other applications to the PRA related to Solvency II requirements submitted by the firm or currently anticipated within the next 6 months under s138BA of FSMA and of special purpose vehicles to be established to carry out the regulated activity specified in article 13A of the Regulated Activities Order, together with the corresponding application dates.",null,null,"If Q1=Yes OR Q2=yes","Yes",null,null,null,null,"Q1","or","Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(a) a cover letter including:\nvi. contact information of the relevant personnel within the firm involved in the activities related to the IM, as well as of the relevant personnel within the firm to whom the requests for supplementary information can be submitted.",null,null,"If Q1=Yes OR Q2=yes","Yes",null,null,null,null,"Q1","or","Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(b) an explanation of how the IM covers all the material quantifiable risks to which the firm, or where the firm is part of a group, is exposed. Where the application for the permission relates to a partial IM, the explanation should be limited to the material and quantifiable risks within the scope of the partial IM, and the firm should also provide an explanation of how the additional requirements set out in Solvency Capital Requirement – Internal Models 4.2, 5, and 16A have been satisfied.",null,null,"If Q1=Yes OR Q2=yes","Yes",null,null,null,null,"Q1","or","Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(c) an explanation of the adequacy and effectiveness of the integration of the IM into the firm’s risk management system and the role it plays in the firm’s system of governance, including how the IM allows the firm to identify, measure, monitor, manage, and report risks on a continuous basis; for this purpose, the application should include the relevant extracts of the firm’s risk management policy referred to in Conditions Governing Business 2.5.",null,null,"If Q1=Yes OR Q2=yes","Yes",null,null,null,null,"Q1","or","Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(d) an assessment and a justification by the firm of the material strengths, weaknesses, and limitations of the IM, including a self-assessment of the extent to which the firm complies with the calibration standards and internal model requirements; the firm should also outline its plan for the future improvement of the IM in order to address identified weaknesses, limitations, or to develop or extend the IM.",null,null,"If Q1=Yes OR Q2=yes","Yes",null,null,null,null,"Q1","or","Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(e) where the firm is part of a group using an IM for the calculation of the consolidated SCR, or where an application to use any IM for calculating the consolidated group SCR is currently under consideration and awaiting a decision, a justification of why the group IM is not fit for the risk profile of the firm, and a description of the differences between the IM to be used by the firm and the group IM.",null,null,"If Q14=yes AND Q1=yes","Yes",null,null,null,null,"Q1","and","Q14"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(e) where the firm is part of a group using an IM for the calculation of the consolidated SCR, or where an application to use any IM for calculating the consolidated group SCR is currently under consideration and awaiting a decision, a justification of why the group IM is not fit for the risk profile of the firm, and a description of the differences between the IM to be used by the firm and the group IM.",null,null,"If Q14=yes AND Q2=yes","Yes",null,null,null,null,"Q2","and","Q14"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(f) the technical specifications of the IM, including a detailed description of the structure of the IM, together with a list and justification of the assumptions underlying the IM, where adjustments to those assumptions would have a material impact on the SCR.",null,null,"If Q1=Yes OR Q2=yes","Yes",null,null,null,null,"Q1","or","Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(g) an explanation of the adequacy of the resources, skills, and objectivity of the personnel responsible for the development and validation of the IM.",null,null,"If Q1=Yes OR Q2=yes","Yes",null,null,null,null,"Q1","or","Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(h) the IM change policy referred to in Solvency Capital Requirement – Internal Models 3.3.",null,null,"If Q1=Yes OR Q2=yes","Yes",null,null,null,null,"Q1","or","Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(i) a description of the process which ensures the consistency between the methods used to calculate the probability distribution forecast with the methods used to calculate technical provisions, in accordance with Solvency Capital Requirement – Internal Models 11.2(3).",null,null,"If Q1=Yes OR Q2=yes","Yes",null,null,null,null,"Q1","or","Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(j) a description of the independent validation process of the IM and a report of the results of the last validation in accordance with Solvency Capital Requirement – Internal Models 14.1, including what recommendations were made and how they were acted upon.",null,null,"If Q1=Yes OR Q2=yes","Yes",null,null,null,null,"Q1","or","Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(k) the inventory of the documents that form part of the documentation of the IM set out in Solvency Capital Requirement – Internal Models 15.1 to 15.2.",null,null,"If Q1=Yes OR Q2=yes","Yes",null,null,null,null,"Q1","or","Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(l) a demonstration that the use of external models or data obtained from a third party does not impair the firm’s ability to meet the calibration standards and internal model requirements, the suitability for the use of that model or data within the IM and an explanation of the preference of external models or data to internal models or data.",null,null,"If Q1=Yes AND Q18=yes","Yes",null,null,null,null,"Q1","and","Q18"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(l) a demonstration that the use of external models or data obtained from a third party does not impair the firm’s ability to meet the calibration standards and internal model requirements, the suitability for the use of that model or data within the IM and an explanation of the preference of external models or data to internal models or data.",null,null,"If Q2=Yes AND Q18=yes","Yes",null,null,null,null,"Q2","and","Q18"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(m) an estimation of the SCR calculated with the IM at the most granular level according to the firm’s risk categorisation, and an estimation of the SCR calculated with the Standard Formula (SF) at the most granular level for the last point in time prior to the date of submission of the application where the firm calculated the SCR with the SF.",null,null,"If Q1=Yes OR Q2=yes","Yes",null,null,null,null,"Q1","or","Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(n) an identification of those parts of the business of the firm or group which have been classified as a major business unit and a justification for that classification.",null,null,"If Q1=Yes OR Q2=yes","Yes",null,null,null,null,"Q1","or","Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(o) in the case of a partial IM, an explanation of how the proposed integration technique fulfils the requirements set out in Solvency Capital Requirement – Internal Models 4.2, and, in case of a technique different from the default one set out in Solvency Capital Requirement – Internal Models 16A.1, a justification of the integration technique proposed.",null,null,"If Q1=Yes AND Q11=partial","Yes",null,null,null,null,"Q1",null,null,null,null,null,null,null,null,null,null,null,null,"and","Q11"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.10","The documentary evidence referred to in Solvency Capital Requirement – Internal Models 3.1 should include:\n(o) in the case of a partial IM, an explanation of how the proposed integration technique fulfils the requirements set out in Solvency Capital Requirement – Internal Models 4.2, and, in case of a technique different from the default one set out in Solvency Capital Requirement – Internal Models 16A.1, a justification of the integration technique proposed.",null,null,"If Q2=Yes AND Q11=partial","Yes",null,null,null,null,"Q2",null,null,null,null,null,null,null,null,null,null,null,null,"and","Q11"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.11","A firm should also submit evidence of the approval of the application by its governing body as set out in Solvency Capital Requirement – Internal Models 7.1.",null,null,"All","Yes",null,null,null,null,"Q1","or","Q2","or","Q10"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.13","A firm should provide an inventory of all the documents and evidence included in the application. Where the content of a document is relevant for other documents, the firm should highlight the relevance and include cross-references.",null,null,"All","Yes",null,null,null,null,"Q1","or","Q2","or","Q10"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.14","In addition to the documents and information specified in paragraphs 2.10 to 2.13, an application to use an IM or partial IM to calculate the consolidated group SCR should include the following documents and information:\n(a) the proposed scope of the model:\ni. a list of the related undertakings that are included in the scope of the IM for the calculation of the consolidated group SCR; for each related undertaking, the list should include a reference to its supervisory authority, the lines of business written by the related undertaking, the method used for the purposes of determining the consolidated data in accordance with Group Supervision 11.1A-C and the proportional share applied in accordance with Group Supervision 8.2(1).",null,null,"If Q14=Yes","Yes",null,null,null,null,"Q14"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.14","In addition to the documents and information specified in paragraphs 2.10 to 2.13, an application to use an IM or partial IM to calculate the consolidated group SCR should include the following documents and information:\n(a) the proposed scope of the model:\nii. the legal and organisational structure of the group, with a description of all subsidiaries, material related undertakings and significant branches, and information on relevant operations and transactions within the group, unless this information has not changed since the last group supervisory report submitted pursuant to Reporting 2.5B.",null,null,"If Q14=Yes","Yes",null,null,null,null,"Q14"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.14","In addition to the documents and information specified in paragraphs 2.10 to 2.13, an application to use an IM or partial IM to calculate the consolidated group SCR should include the following documents and information:\n(a) the proposed scope of the model:\niii. where applicable, a list of the related undertakings excluded from the scope of a partial IM for the calculation of the consolidated group SCR, together with an explanation of the reasons for their exclusion; a description of the methods used to assess the risks in these excluded related undertakings in order to demonstrate that the exclusion does not lead to an underestimation of the overall risks to which the group is exposed; and evidence that the consolidated group SCR calculated using a combination of the partial IM and the SF will adequately reflect the overall risk profile of the group.",null,null,"If Q14=Yes","Yes",null,null,null,null,"Q14"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.14","In addition to the documents and information specified in paragraphs 2.10 to 2.13, an application to use an IM or partial IM to calculate the consolidated group SCR should include the following documents and information:\n(a) the proposed scope of the model:\niv. for each related firm included in the scope of the IM for the calculation of the consolidated group SCR, where applicable, a justification of the reasons why the IM covers that related firm for the calculation of the consolidated group SCR, but it is not used to calculate the SCR of that firm; an explanation of how the full or partial IM used to calculate the consolidated group SCR differs from and interacts with the full or partial IM used for the calculation of the SCR of any of the related firms for which the PRA has previously granted permission, and information on any future plans to extend the use of the full or partial IM to calculate the SCR of any related firm.",null,null,"If Q14=Yes","Yes",null,null,null,null,"Q14"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.14","In addition to the documents and information specified in paragraphs 2.10 to 2.13, an application to use an IM or partial IM to calculate the consolidated group SCR should include the following documents and information:\n(b) the group’s consolidated group SCR:\ni. an estimation of the consolidated group SCR calculated using the IM and the SF for the most recent reporting period prior to submission of the application when the consolidated group SCR was calculated using the SF.",null,null,"If Q14=Yes","Yes",null,null,null,null,"Q14"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.14","In addition to the documents and information specified in paragraphs 2.10 to 2.13, an application to use an IM or partial IM to calculate the consolidated group SCR should include the following documents and information:\n(b) the group’s consolidated group SCR:\nii. for each related undertaking, the SCR calculated using the SF for the most recent reporting period prior to submission of the application.",null,null,"If Q14=Yes","Yes",null,null,null,null,"Q14"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.14","In addition to the documents and information specified in paragraphs 2.10 to 2.13, an application to use an IM or partial IM to calculate the consolidated group SCR should include the following documents and information:\n(b) the group’s consolidated group SCR:\niii. where applicable, the regulatory capital requirement for related undertakings that are also regulated entities other than Solvency II undertakings and third country insurance and reinsurance undertakings, included in the scope of the IM, for the most recent reporting period prior to submission of the application when the consolidated group SCR was calculated with the SF.",null,null,"If Q14=Yes","Yes",null,null,null,null,"Q14"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.14","In addition to the documents and information specified in paragraphs 2.10 to 2.13, an application to use an IM or partial IM to calculate the consolidated group SCR should include the following documents and information:\n(b) the group’s consolidated group SCR:\niv. an explanation of the difference between the sum of the SCR of all the related insurance and reinsurance undertakings of the group and the consolidated group SCR calculated with the IM.",null,null,"If Q14=Yes","Yes",null,null,null,null,"Q14"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.15","An application to use a group IM should also include the following documents and / or information, in addition to those referred to in paragraph 2.14, where applicable:\n(a) in relation to paragraph 2.14(a)(i), a list of all the firms applying to use the group IM to calculate their SCRs.",null,null,"If Q14=Yes","Yes",null,null,null,null,"Q14"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.15","An application to use a group IM should also include the following documents and / or information, in addition to those referred to in paragraph 2.14, where applicable:\n(b) the documents referred to in paragraph 2.10(o) in relation to the use of a partial IM for the calculation of the SCR of each firm in the group applying for the use of the group IM to calculate its SCR. For this purpose, the firm may restrict these documents to those with content that is not already covered in the documents submitted in accordance with point (a).",null,null,"If Q11=Partial and Q14=Yes","Yes",null,null,null,null,"Q14",null,null,null,null,null,null,null,null,null,null,null,null,"and","Q11"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.33 (a)","As required by Solvency Capital Requirement – Internal Models 3.1 and 6.5, in an application for the variation of an existing permission to calculate the SCR using a full or partial IM, a firm should:\n(a) confirm to the PRA in writing and submit documentary evidence to demonstrate that the calibration standards and internal model requirements (as waived or modified by the written notice issued to it by the PRA), would be complied with after applying the major change.",null,null,"If Q2=yes and Q17=yes","Yes",null,null,null,null,"Q2","and","Q17"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.33 (b)","As required by Solvency Capital Requirement – Internal Models 3.1 and 6.5, in an application for the variation of an existing permission to calculate the SCR using a full or partial IM, a firm should:\n(b) where some of the calibration standards and internal model requirements would not be complied with after applying the major change, identify those requirements, and explain to the PRA in writing why and in what way they are not satisfied, and submit documentary evidence demonstrating that all other requirements (in the calibration standards and internal model requirements) are satisfied. Where this is the case, the firm or the PRA may propose the use of one or more safeguards in order to mitigate any non-compliance with the internal model requirements and/or to ensure compliance with the calibration standards.",null,null,"If Q2=yes and Q17=no","Yes",null,null,null,null,null,null,null,null,"Q2","and","Q17"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.34","In addition to the requirements described in 2.33, where a firm applying to the PRA has been granted a waiver or modification of any of the internal model requirements by the PRA, the firm must also either confirm as described in 2.33(a) or explain as described in 2.33(b) (and in both cases submit documentary evidence) by reference to the unmodified internal model requirements (as required by Solvency Capital Requirement – Internal Models 6.6).",null,null,"If Q7=yes","Yes",null,null,null,null,"Q7"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.35","Additionally, in the case of a partial IM, a firm should submit documentary evidence setting out how it would fulfil Solvency Capital Requirement – Internal Models 4.2 and 5 after applying the major change.",null,null,"If Q2=yes and Q11=partial","Yes",null,null,null,null,"Q2",null,null,null,null,null,null,null,null,null,null,null,null,"and","Q11"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.39","A firm should include in its application the documents set out above in paragraphs 2.10 to 2.11 and 2.14 to 2.15, where their content would be affected by the major change to the full or partial IM. The firm should also include a detailed description of the qualitative and quantitative impacts of the major change compared with its existing model permission. To ease the administrative and operational burden on both firms and the PRA, the PRA expects a firm to update the application documents that the firm provided to support its most recent permission or variation of permission application, for each subsequent application for a variation of that permission. Applications for a variation of permission should therefore cover a short description of the proposed changes together with an updated suite of documentary evidence, where the changes to this evidence from that submitted to the PRA to support the existing permission are clearly signposted, for example using ‘track changes’. The firm should also provide a ‘clean’ version of the full application.",null,null,"If Q2=yes","Yes",null,null,null,null,"Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.40","The PRA expects to be able to assess the following from a firm’s documentation:\n(a) justification for the model change(s).",null,null,"If Q2=yes","Yes",null,null,null,null,"Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.40","The PRA expects to be able to assess the following from a firm’s documentation:\n(b) a description of the changes that are proposed to be made to the version of the IM for which permission has been granted by the PRA.",null,null,"If Q2=yes","Yes",null,null,null,null,"Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.40","The PRA expects to be able to assess the following from a firm’s documentation:\n(c) the historical changes and any additional, future planned changes to the IM.",null,null,"If Q2=yes","Yes",null,null,null,null,"Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.40","The PRA expects to be able to assess the following from a firm’s documentation:\n(d) evidence that the model change application has been approved by the firm’s governing body.",null,null,"If Q2=yes","Yes",null,null,null,null,"Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.40","The PRA expects to be able to assess the following from a firm’s documentation:\n(e) evidence that the model change(s) have been independently validated.",null,null,"If Q2=yes","Yes",null,null,null,null,"Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.40","The PRA expects to be able to assess the following from a firm’s documentation:\n(f) evidence in the form of an updated self-assessment application template indicating which items have been altered since the version of the IM for which permission has been granted by the PRA.",null,null,"If Q2=yes","Yes",null,null,null,null,"Q2"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.49","Firms that apply MLAs must document governance procedures for doing so in their IM change policies and must consider whether and explain why their use of MLAs constitutes minor or major model changes as required by Solvency Capital Requirement – Internal Models 6.2. These governance procedures should include the procedures for applying, reviewing, and removing MLAs.",null,null,"If Q1=yes or Q10=yes","Yes",null,null,null,null,"Q1","or","Q10"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 2.52","A firm should include in its application for the variation of an existing permission for changes to its IM change policy the reason for the proposed change and evidence that, after applying the changes, the calibration standards and internal model requirements would be complied with (see Solvency Capital Requirement – Internal Models 6.1 to 6.6). Additionally, in the case of a partial IM, a firm should submit documentary evidence setting out how it would fulfil Solvency Capital Requirement – Internal Models 4.2 and 5 after changing its IM change policy.",null,null,"If Q10=yes","Yes",null,null,null,null,"Q10"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 3.19","Firms are required to make all reasonable efforts to remedy the deficiency that led to the imposition of a safeguard (as required by Solvency Capital Requirement – Internal Models 5B and which applies to groups through Group Supervision 13.1A and 11.2). What constitutes ‘reasonable efforts’ will depend on the underlying model deficiency. The PRA will specify any requirement safeguards needed to mitigate non-compliance with the internal model requirements within a written notice issued to the firm. The PRA will also explain in writing its expectations of what the firm needs to do in order to remediate the RML so that a safeguard can be removed.",null,null,"If Q4=yes or Q7=yes","Yes",null,null,null,null,null,null,"Q4","or","Q7"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 3.37","A realistic transitional plan to reduce the scope of its model, as required by Solvency Capital Requirement – Internal Models 5A.1.",null,null,"If Q9=yes or Q13.1 = yes","No",null,null,null,null,"Q9","or","Q13.1"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 5.6","As described in paragraph 2.12, the PRA may expect firms to carry out and submit to the PRA the results of an AoC exercise when applying for a new model permission. The PRA may also expect this of firms when applying for variation of an existing permission in relation to a major model change. It will notify firms where it expects them to do so.",null,null,"Q23=yes",null,null,null,null,null,"Q23"]
["Statement of policy - Solvency II internal models: Permissions and ongoing monitoring 5.12","The PRA will monitor any safeguards it imposes at the time of granting or varying a \nfirm’s IM permission, or as part of the ongoing assessment of the IM and the SCR. Where \nappropriate, this could result in:\n(a) request by the PRA for submission of a progress report setting out the measures taken, \nand progress made on remedying the RML that led to the imposition of an IM safeguard.23\nThe PRA will discuss the timing and frequency of such progress reports with a firm. The \nPRA will evaluate a progress report submitted by a firm and provide feedback where \nrelevant. Where necessary, the PRA may request a firm to submit additional information \nor an amended progress report.",null,null,"If Q6 = yes","No",null,null,null,null,null,null,null,null,"Q6"]
["Statement of policy - Solvency II: Capital add-ons 5.9","In providing its decision referred to in paragraph 5.8, the PRA will inform the entity or entities of the following:\n(d) where relevant, the deadline by which the entity or entities are expected to remedy the deficiencies that led to setting of the CAO.",null,null,"If Q1.2=yes or Q5.6=yes",null,null,null,null,null,null,null,"Q1.2","or","Q5.6"]
["Statement of policy - Solvency II: Capital add-ons 6.2","In the cases set out in paragraphs 2.1(a) to (d) and (f), the PRA may request that the entity or entities provide an update on the progress made towards remedying the deficiencies that led to the setting of the CAO and the relevant measures taken.",null,null,"If Q1.3=yes or Q5.7=yes",null,null,null,null,null,null,null,"Q1.3","or","Q5.7"]

{"sheet":"Self-Assessment Template","index":7,"n_rows":1,"n_cols":12,"rows_kept":1,"cut":false,"hidden":false,"merged":[]}
["Reference","Rule ","Firm's own compliance assessment with this requirement","Firm's justification of its compliance assessment with this requirement","Documents that are relevant to this requirement - included within the submission","URN:","Version Date:","Evidence:","Responsible:","Pages:","Other Comments:","Documents that are related to this requirement - not included within the submission"]

{"sheet":"Documentation","index":8,"n_rows":1,"n_cols":9,"rows_kept":1,"cut":false,"hidden":false,"merged":[]}
["Reference","SoP Paragraph","Documents that are relevant to this expectation - included within the submission","URN:","Version Date:","Evidence:","Responsible:","Pages:","Other Comments:"]