This supervisory statement sets out the Prudential Regulation Authority’s (PRA’s) expectations of firms in relation to the calculation of their solvency capital requirement under Solvency II. It is addressed to UK Solvency II firms and to Lloyd’s, and should be read alongside all relevant European legislation, as well as the Solvency Capital Requirement, and the Minimum Capital Requirement Parts of the PRA Rulebook.
SS4/15 expands on the following topics:
- undertaking specific parameters;
- significant deviations from the assumptions underlying the standard formula, internal models, or the system of governance;
- reversion to the standard formula;
- statistical quality standards; and
- calculation of the minimum capital requirement.
Supervisory Statement 4/15