The PRA publishes technical information for UK insurance firms subject to Solvency II to calculate technical provisions. The information includes risk-free rate term structures, fundamental spreads for the calculation of the matching adjustment and, for each relevant national insurance market, the volatility adjustments. We also publish the symmetric adjustment to the equity capital charge (SAECC) that informs insurance firms’ capital calculations.
August 2024
Published 9 September 2024
-
Risk-free curves as of 31 August 2024 (XLSX 0.9MB)
-
Risk-free Volatility Adjustment portfolios as of 31 August 2024 (XLSX 0.1MB)
-
Smith-Wilson extrapolation parameters as of 31 August 2024 (XLSX 0.3MB)
-
Risk-free Fundamental Spreads, Probability of Default and Cost of Downgrade as of 31 August 2024 (XLSX 1.1MB)