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Application provision

1.1 Unless otherwise stated, this Part applies to:

  1. (1) a UK Solvency II firm;
  2. (2) the Society, in accordance with General Application 3
  3. (3) managing agents, in accordance with General Application 3; and
  4. (4) (in respect of 3.8 only) a UK ISPV.

5.1

01/01/2016

Notwithstanding Solvency Capital Requirement – General Provisions 2, 3.1, 3.3, 3.4 and Solvency Capital Requirement – Standard Formula 3.1 to 3.3, the standard parameters to be used when calculating the market risk concentrations sub-module and the spread risk sub-module in accordance with the standard formula must be adjusted as follows:

  1. (1) until 31 December 2017, the standard parameters shall be the same in relation to exposures to EEA States central governments or central banks denominated and funded in the domestic currency of any EEA State as the ones that would be applied to such exposures denominated and funded in their domestic currency;
  2. (2) from 1 January 2018 the standard parameters must be reduced by 80% in relation to exposures to EEA States central governments or central banks denominated and funded in the domestic currency of any other EEA State;
  3. (3) from 1 January 2019 the standard parameters must be reduced by 50% in relation to exposures to EEA States central governments or central banks denominated and funded in the domestic currency of any other EEA State;
  4. (4) from 1 January 2020 and onwards, the standard parameters must not be reduced in relation to exposures to EEA States central governments or central banks denominated and funded in the domestic currency of any other EEA State.

Additional Notes


[Note: Art. 308b (12) of the Solvency II Directive]

5.2

01/01/2016

Notwithstanding Solvency Capital Requirement – General Provisions 23.13.33.4 and Solvency Capital Requirement – Standard Formula 3.1 to 3.3, the standard parameters to be used for equities that a firm purchased on or before 1 January 2016, when calculating the equity risk sub-module in accordance with the standard formula, must be calculated as the weighted averages of:

  1. (1) the standard parameter to be used when calculating the equity risk sub-module in accordance with 5.4; and
  2. (2) the standard parameter to be used when calculating the equity risk sub-module in accordance with the standard formula.

Additional Notes


[Note: Art. 308b (13) of the Solvency II Directive]

5.3

01/01/2016

The weight for the parameter expressed in 5.2(2) must increase at least linearly at the end of each year from 0% during 2016 to 100% from 1 January 2023.

Additional Notes


[Note: Art. 308b (13) of the Solvency II Directive]

5.4

01/01/2016

The equity risk sub-module for the purpose of 5.2(1) must be calibrated using a Value-at-Risk measure, over a time period, which is consistent with the typical holding period of equity investments for the firm concerned, with a confidence level providing the policyholders with a level of protection equivalent to that set out in Solvency Capital Requirement – General Provisions 3.2 to 3.5.

Additional Notes


[Note: Art. 308b (13) of the Solvency II Directive]