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The matching adjustment is a mechanism prescribed in the Solvency II Directive 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'.
Notes
- Bank of England ‘Solvency II: Matching adjustment July 2018’ https://www.bankofengland.co.uk/-/media/boe/files/prudential-regulation/supervisory-statement/2018/ss718.pdf
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