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.
October 2024
Published 8 November 2024
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Risk-free curves as of 31 October 2024 (XLSX 0.9MB)
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Risk-free Volatility Adjustment portfolios as of 31 October 2024 (XLSX 0.1MB)
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Smith-Wilson extrapolation parameters as of 31 October 2024 (XLSX 0.3MB)
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Risk-free Fundamental Spreads, Probability of Default and Cost of Downgrade as of 31 October 2024 (XLSX 1.1MB)