Overview
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.
Current version
Published on 6 June 2024. Effective from 30 June 2024.
- following PS10/24 – Review of Solvency II: Reform of the Matching Adjustment
Future version
Published on 15 November 2024. Effective from 31 December 2024.
Past version
Published in July 2018. Effective from July 2018.
- following PS18/18 – Solvency II: Matching adjustment