The matching adjustment is a mechanism prescribed in the
Solvency II Directive
Solvency II Directive 20092009/138/EC is a Directive in European Union law that codifies and harmonises the EU insurance regulation. Primarily this concerns the amount of capital that EU insurance companies must hold to reduce the risk of insol ...
that allows insurance 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'.
[ Bank of England ‘Solvency II: Matching adjustment July 2018’ https://www.bankofengland.co.uk/-/media/boe/files/prudential-regulation/supervisory-statement/2018/ss718.pdf]
Notes
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