Company: Standard Life Investments
Category: Interest Rate Derivatives
Published: 09 February 2016
In the UK a number of insurers have successfully applied to the Prudential Regulation Authority (PRA) to use the Matching Adjustment in respect of annuity business.
The construction and implementation of an optimal Solvency II Matching Adjustment asset portfolio is far from straightforward.
Key challenges include:
This white paper focuses on the cash flow matching approach to portfolio management; how interest rate derivatives can be used within that process; and where the investment manager can add value for its insurance clients.