Solvency II : treatment of sovereign debt in internal models
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<subfield code="a">The purpose of this statement is to ensure that firms using an internal model take into account material risks associated with sovereign debt. It is intended to support compliance with Solvency II regulations, thereby achieving the benefits of policyholder protection envisaged by the Directive. Some firms may need to hold additional capital as a result, although the PRA would not regard them as incremental to those costs of complying with Solvency II</subfield>
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