Internal models

Policies relating to Internal models for the calculation of the Solvency Capital Requirement for Solvency 2 insurers.

PRA Rules

UK legislation

  • Internal Models - Commission Delegated Regulation (EU) 2015/35 (Title I, Chapter VI)
  • Internal Models for the calculation of the consolidated group Solvency Capital Requirement - Commission Delegated Regulation (EU) 2015/35 (Title II, Chapter II)
  • Integration Techniques for Partial Internal Models - Commission Delegated Regulation (EU) 2015/35 (Annex XVIII)
  • Models – The Solvency 2 Regulations 2015 (SI 2015/575) (Regulation 48)
 

UK technical standards

  • Procedure concerning the approval of an internal model - Commission Implementing Regulation (EU) 2015/460, as amended, including by the Technical Standards  (Solvency II Directive & Institutions for Occupational Retirement Provision Directive) (EU Exit) Instrument 2019, Annex B
  • Process to reach a joint decision on the application to use a group internal model - Commission Implementing Regulation (EU) 2015/461, as amended, including by the Technical Standards  (Solvency II Directive & Institutions for Occupational Retirement Provision Directive) (EU Exit) Instrument 2019, Annex N

Supervisory Statements

  • Solvency II: treatment of sovereign risk in the internal model (SS30/15)
  • Solvency II: the treatment of pension scheme risk (SS5/15)
  • Solvency II: Monitoring model drift and standard formula SCR reporting for firms with an approved internal model (SS15/16)
  • Solvency II: the internal model treatment of participations (SS6/15)
  • Solvency II: Internal models – modelling of the matching adjustment (SS8/18)
  • Solvency II: calculation of technical provisions and the use of internal models for general insurers (SS5/14)
  • Solvency II: approvals (SS15/15)
  • Solvency II: Illiquid unrated assets (SS3/17)
  • Solvency II: Regulatory reporting, internal model outputs (SS25/15)
  • Solvency II: Internal models – modelling of the volatility adjustment (SS9/18)
  • Dealing with a market turning event in the general insurance sector (SS5/17) 
  • Solvency II: internal models - assessment, model change and the role of non-executive directors (SS17/16)   
  • Solvency II: Changes to internal models used by UK insurance firms (SS12/16)
  • Solvency II: internal model reporting codes and components (SS37/15)

Other relevant material

Guidelines originally issued by European Supervisory Authorities should be read in conjunction with "Interpretation of EU Guidelines and Recommendations: Bank of England and PRA approach after the UK’s withdrawal from the EU" (Statement of Policy)

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This page was last updated 31 January 2023