Solvency II: matching adjustment

Consultation Paper 16/16
Published on 15 April 2016

In this consultation paper (CP) the Prudential Regulation Authority (PRA) proposes and seeks feedback on a draft supervisory statement setting out its expectations on firms in relation to the application of the matching adjustment (MA) for the purposes of calculating technical provisions, including in the context of applications for MA approval and the ongoing management of MA portfolios under Solvency II (the Directive).

Summary of proposals

The draft supervisory statement sets out the PRA’s proposed expectations of firms with regard to the MA in the following areas:

  • annuity assets purchased in a secondary annuity market;
  • ongoing MA compliance;
  • breach of MA requirements; and
  • changes to MA portfolios.

The PRA is consulting on this draft statement to allow firms the opportunity to provide feedback and highlight any issues of concern to them.

This consultation is relevant to all UK Solvency II firms and to Lloyd’s.

The proposals in this consultation contain the PRA’s expectations on firms in relation to applications for MA approval and in particular, on issues concerning the eligibility of annuity assets purchased in a secondary market. The proposals also contain the PRA’s expectations on issues to be considered once MA approval has been granted, such as the issues of ongoing MA compliance, dealing with MA breaches and what happens when there are changes to MA portfolios.

Response

The PRA welcomes views on this consultation by Friday 15 July 2016.

PDFConsultation Paper 16/16

 
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