Solvency UK: Industry perspectives on matching adjustment attestation

The Prudential Regulation Authority’s (“PRA”) Consultation Paper 19/23 (“CP19/23”) was published on 28 September 2023 and provided detail on the PRA’s proposed reforms of the matching adjustment (“MA”). One of the key aspects of the proposals is MA attestation, which requires the senior manager who holds the responsibility for the production and integrity of the firm’s financial information, and its regulatory reporting, to attest to the PRA on the sufficiency of the fundamental spread (“FS”) and the quality of the resulting MA generated by the assets in their MA portfolio(s).

To further discuss MA attestation, we held a roundtable discussion on 15 November 2023 for firms with MA portfolios, with the majority of firms in that industry represented.

It was a lively debate covering firms’ top implementation challenges, areas that require further industry debate, the PRA’s 3-step process set out in the draft updates to Supervisory Statement 7/18 (“SS7/18”) and firms’ priorities for the coming months. In this note we have summarised the participants’ views expressed during the roundtable discussion.