UK regulator outlines wish list for Solvency II review

Risk margin “highly pro-cyclical” and ultimate forward rate “completely unrealistic”, says financial policy director

The PRA has several criticisms of Solvency II. Photo: Shutterstock/Gustavo Frazao

The UK’s Prudential Regulation Authority (PRA) has criticised key aspects of Solvency II, including the ultimate forward rate (UFR) at 4.2%, the dynamic version of the volatility adjustment (VA) allowed in most European countries, and the sensitivity of the risk margin to changes in interest rates, hinting at where the regulator might push for change in the 2018 review of the directive.

Victoria Saporta, financial policy director at the PRA, who spoke at a Solvency II conference hosted by

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