Prudential Regulation Authority Rulebook

4.1

The PRA’s model change application form can be found on the Bank of England website.^[7]

4.2

The application form should be used in respect of: individual major changes, major changes arising from an accumulation of minor changes, extensions of the scope of the internal model and alterations to the internal model change policy.

4.3

Firms’ major model change applications should also include the information specified in Articles 2 and 7 of the Commission Implementing Regulation EU 2015/460 for internal models^[8].

4.4

In order to assist the PRA with the review of the model change application and provide evidence that the internal model continues to meet the Solvency II internal model test and standards, the PRA expects firms to provide the following:

1. (a) justification for the model change(s);
2. (b) a description of the changes that have been made from the latest approved model;
3. (c) a log containing a record of planned and historical changes to the internal model;
4. (d) evidence that the model change application has been signed-off by the board;
5. (e) evidence that the model change(s) have been independently validated; and
6. (f) an updated Common Application Package (CAP) indicating clearly which items of evidence relevant to the model change have been altered since the version of the model most recently approved by the PRA.

4.5

An application to alter the internal model change policy should also include the information in Article 8 of the Commission Implementing Regulation EU 2015/460 for internal models. The PRA expects firms to back-test their new policy to justify any changes in the thresholds used to classify major changes.