Solvency II: Internal models – modelling of the matching adjustment

Published on 13 July 2018


This supervisory statement (SS) sets out the Prudential Regulation Authority’s (PRA) expectations of firms regarding the application of the Solvency II matching adjustment (MA) within the calculation of the Solvency Capital Requirement (SCR). 

The SS is addressed to UK Solvency II firms and to the Society of Lloyd’s and its managing agents. It is most relevant to firms with or seeking MA approval and which use a full or partial internal model to determine the SCR, together with UK Solvency II firms making an assessment as to the appropriateness of the standard formula for their risk profile.

This statement should be read in conjunction with the following Parts of the PRA Rulebook:

  • Technical Provisions (Chapters 6 and 7); 
  • Solvency Capital Requirement – General Provisions (Chapter 3); 
  • Solvency Capital Requirement – Internal Models (Chapters 10 to 16); and
  • Investments (Chapter 2).

It should also be read in conjunction with the document ‘The PRA’s approach to insurance supervision’. 

PDF Supervisory Statement 8/18