First published on 21 September 2016
Overview
This Prudential Regulation Authority (PRA) supervisory statement is relevant to firms with an internal model approval under Solvency II. It may also be of interest to UK Solvency II firms seeking approval to use an internal model in the future and also to UK Solvency II firms that are part of EEA or non-EEA groups with a group internal model.
This supervisory statement sets out the PRA’s expectations in respect of firms applying for approval for a major change to their approved internal models (either an individual major change or major change triggered by an accumulation of minor changes) or an extension of scope to an approved internal model (eg to cover new business units or risks). This supervisory statement also sets outs the PRA’s expectations in respect of firms applying to alter their approved internal model change policy. Where the firm is part of an EEA or non-EEA group the college of supervisors may need to coordinate and agree the overall process for approving a major change application, which may differ to that set out in the supervisory statement.
In particular the supervisory statement covers the:
- interaction with the PRA before and during a model change application;
- quality of a model change application; and
- the information to be provided with a model change application.