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["Quarterly model change report QMC.01"]
[]
[null,"Basic Information"]
[null,null,null,"C0010"]
[null,"Undertaking name","R0010"]
[null,"Undertaking identification code","R0020"]
[null,"Reporting reference date","R0030"]
[null,"Reporting submission date","R0040"]
[null,"Type of undertaking","R0050"]
[]
[]
[null,"Model change information"]
[null,null,null,"Date change implemented ","Type of change",null,null,null,"Description of change",null,null,"Approval",null,"Qualitative / Quantiative change","Quantitative impact on SCR",null,null,null,null,null,null,"Risk modules impacted"]
[null,null,null,null,"Major/minor","Rationale for type of change","Solo  / group","Entity name and FRN of impacted entity","PRA categorisation","Firm categorisation and detailed description","Rationale for change","Person / committee by which the change was approved ","Date change approved internally",null,"Latest internal model approved SCR (£m)","Impact on SCR (£m)","Impact on SCR (%)","Other trigger","Impact (%)","Change accumulates?","Accumulation threshold (£m)","Market risk","Counterparty default risk","Life underwriting risk","Non-life underwriting risk","Health Underwriting","Operational risk","Pension risk","Other"]
[null,null,null,"C0100","C0110","C0120","C0130","C0140","C0150","C0160","C0170","C0180","C0190","C0200","C0210","C0220","C0230","C0240","C0250","C0260","C0270","C0280","C0290","C0300","C0310","C0320","C0330","C0340","C0350"]
[null,"Note: The worked example in this template should not be taken as guidance that changes of this nature should always be considered minor. The example is to support completion of the template and is for illustrative purposes only. ","Example","2018-06-25","Minor","The SCR impact is less than the major model change quantitative threshold, equity risk is not a material risk given our portfolio and there are no current plans to materially change this. The nature of the change satisfies the qualitative considerations of our Model Change Policy. ","Solo","ABC (FRN12345)","Risk profile","The ABC 100 equity index is currently used as the calibration data for the UK equity risk driver in the approved internal model. As a result of changes in investment strategy and equity exposures, we reviewed the appropriateness of this index as the benchmark for our UK equities portfolio. We concluded that the ABC 200 index better reflects the risk profile of the current portfolio and therefore, we have recalibrated the UK equity risk driver based on the ABC 200 index. This index will replace the ABC 100 index and its appropriateness will be reviewed again at the next validation cycle. No further methodological changes to the calibration approach were required. See document X for further details. ","A material change in risk profile of the UK equity portfolio from changes in investment strategy since model approval, such that the benchmark index used in the current calibration is no longer a good representation of this portfolio. ","Board","2018-06-15","Quantitative",100,-0.5,-5.0000000000000044E-3,"n/a",0,"Y",10,"Y","N","N","N","N","N","N","N"]
[null,null,"R0100"]

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["Major","Undertakings pursuing both life and non-life insurance activity","Market risk","Risk profile","Qualitative ","Solo"]
["Minor","Non-Life undertakings","Counterparty default risk ","Data","Quantitative","Group"]
[null,"Life undertakings","Life underwriting risk","Dependencies",null,"Both"]
[null,null,"Non-life underwriting risk","Expert judgement"]
[null,null,"Operational risk","External environment"]
[null,null,"Dependencies","Governance"]
[null,null,"Pensions risk","IT systems and modelling platforms"]
[null,null,"Out of model adjustment","Model methodology / design"]
[null,null,"Loss absorbing capacity of deferred tax","Adjustments to model output"]
[null,null,"Capital add-on","Model use"]
[null,null,"Other","Loss absorbing capacity of deferred tax"]
[null,null,null,"Non-IM changes which affect the SCR"]
[null,null,null,"Other"]

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