Solvency II: Matching adjustment

Published on 13 July 2018


In this Supervisory Statement (SS), the Prudential Regulation Authority (PRA) sets out its expectations of firms in respect of application of the matching adjustment (MA). The MA allows firms to adjust the relevant risk-free interest rate term structure for the calculation of a best estimate of a portfolio of eligible insurance obligations.

The scope of this SS includes the assessment of eligibility for assets and liabilities, demonstrating compliance with the matching conditions, calculation of the MA benefit, ongoing management and compliance of MA portfolios, applications for MA approval and subsequent changes to an MA portfolio, and the implication of changes to the MA portfolio that are outside the scope of an existing MA approval.

This SS is relevant to all UK Solvency II firms and to the Society of Lloyd’s and its managing agents, where they are applying or have applied to use the MA.

PDFSupervisory Statement 7/18