Skip to content

Matching Adjustment Impact

Calculate the Solvency Capital Requirement Coverage Ratio Impact from the Matching Adjustment instantly.

%
%
€
€
€
€
€
€

TP Impact

-€30 000 000

=

TP With MA

€470 000 000

−

TP Without MA

€500 000 000

Own Funds Impact

€30 000 000

=

Own Funds With MA

€150 000 000

−

Own Funds Without MA

€120 000 000

SCR Impact

-€5 000 000

=

SCR With MA

€75 000 000

−

SCR Without MA

€80 000 000

Ratio Without MA

150.00%

=

Own Funds Without MA

€120 000 000

÷

SCR Without MA

€80 000 000

Ratio With MA

200.00%

=

Own Funds With MA

€150 000 000

÷

SCR With MA

€75 000 000

Ratio Impact

50.00%

=

Ratio With MA

200.00%

−

Ratio Without MA

150.00%

Eligibility Buffer

10.00%

=

Asset-Liability Matching Ratio

95.00%

−

Minimum Matching Ratio

85.00%

1Step 1

TP impact (Art. 77b)

ΔTP=TPwith MA−TPwithout MA\Delta\mathrm{TP} = \mathrm{TP}_\mathrm{with\,MA} - \mathrm{TP}_\mathrm{without\,MA}
2Step 2

Own funds impact

ΔOF=OFwith MA−OFwithout MA\Delta\mathrm{OF} = \mathrm{OF}_\mathrm{with\,MA} - \mathrm{OF}_\mathrm{without\,MA}
3Step 3

SCR impact

ΔSCR=SCRwith MA−SCRwithout MA\Delta\mathrm{SCR} = \mathrm{SCR}_\mathrm{with\,MA} - \mathrm{SCR}_\mathrm{without\,MA}
4Step 4

Coverage ratio shift

ΔRatio=OFwithSCRwith−OFwithoutSCRwithout\Delta\mathrm{Ratio} = \frac{\mathrm{OF}_\mathrm{with}}{\mathrm{SCR}_\mathrm{with}} - \frac{\mathrm{OF}_\mathrm{without}}{\mathrm{SCR}_\mathrm{without}}
5Step 5

Eligibility buffer

Buffer=ALM Ratio−Min Ratio\mathrm{Buffer} = \mathrm{ALM\,Ratio} - \mathrm{Min\,Ratio}

Understand the Matching Adjustment Impact

Overview

This calculator implements the Matching Adjustment (MA) impact analysis within the Solvency II valuation framework.[1] This tool is used to monitor the reduction in technical provisions and the corresponding increase in basic own funds resulting from the application of the MA to a matched-portfolio of assets and liabilities.

Input Terms

  • Matching Adjustment (bp): The prescribed spread-adjustment applied to the risk-free rate curve for the matched portfolio.[1]
  • Matched Technical Provisions: The value of the technical provisions for the specific ring-fenced portfolio.
  • Economic Value of Equity Impact: The net increase in the undertaking’s basic own funds resulting from the MA.

Technical Rationale

The Matching Adjustment is a valuation driver intended to reflect the undertaking's long-term investment strategy. It ensures that the undertaking’s technical provisions are representative of its ability to hold assets to maturity, thereby avoiding capital volatility from short-term market spread movements.

The calculation assesses the difference between the Best Estimate Liability (BEL) valued using the standard risk-free rate curve and the BEL valued using the MA-augmented curve. This ensures the undertaking can quantify the specific capital-benefit derived from its matching strategy. The result represents the net impact on Basic Own Funds and the corresponding Solvency Ratio.[1]

Important Notes

  • Eligibility: The matching adjustment is subject to strict eligibility criteria, including the ring-fencing of assets and liabilities and the absence of discretionary policyholder options.
  • Reporting: The displayed result is intended to support the valuation and LTG-impact components feeding the S.22.01.01 reporting view.[2]

Sources

  1. Directive 2009/138/EC - Art. 77b (Matching adjustment to the relevant risk-free interest rate term structure) - EIOPA
  2. Commission Implementing Regulation (EU) 2023/894 - QRT S.22.01.01 (Impact of long-term guarantees and transitional measures) - EUR-Lex

Default values are illustrative sample inputs for navigation, training, and QA. Replace them with controlled data before using the result in capital analysis, governance, or reporting decisions.