Related links

Investments
Solvency Capital Requirement - General Provisions
Solvency Capital Requirement - Internal Models
Matching Adjustment
PS19/18 - Solvency II: Internal models – modelling of the matching adjustment https://www.bankofengland.co.uk/prudential-regulation/publication/2017/solvency-ii-internal-models-modelling-of-the-matching-adjustment
PS10/24 - Review of Solvency II: Reform of the Matching Adjustment https://www.bankofengland.co.uk/prudential-regulation/publication/2024/june/review-of-solvency-ii-reform-of-the-matching-adjustment-policy-statement

Chapters

  • 1 Introduction
  • 2 Allowing for an MA within the SCR calculation
  • 3 A framework for determining the MA used in the SCR calculation
  • 4 Impact of a one-year stress on the MA
  • 5 Maintaining compliance with the MA eligibility conditions in stress conditions
  • 6 Validation of the amount of MA assumed in the SCR calculation