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Home > Prudential Regulation Authority > Solvency II: matching adjustment - illiquid unrated assets and equity release mortgages – PS14/17
 

Solvency II: matching adjustment - illiquid unrated assets and equity release mortgages – PS14/17

05 July 2017

​Overview

This Policy Statement (PS) provides feedback to responses to Consultation Paper (CP) 48/16, ‘Solvency II: matching adjustment – illiquid unrated assets and equity release mortgages’  (the CP) and provides the final Supervisory Statement (SS) 3/17 ‘Solvency II: matching adjustment – illiquid unrated assets and equity release mortgages’ (see Appendix), which sets out the PRA’s expectations in respect of firms investing in illiquid, unrated assets within their Solvency II matching adjustment (MA) portfolios.

This PS is relevant to life insurance and reinsurance companies holding or intending to hold unrated assets (including restructured equity release mortgages (ERMs)) in an MA portfolio.

Feedback on consultation responses

The PRA received twelve responses to the CP. Responses focused on the impact on ERMs. The PRA has made changes to the draft SS after considering responses to the consultation and further analysis. Details of the changes are included in Chapter 2.

Policy statement

Solvency II: matching adjustment - illiquid unrated assets and equity release mortgages – PS14/17

Appendix

Solvency II: matching adjustment - illiquid unrated assets and equity release mortgages – SS3/17

 
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