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European Insurance and Occupational Pensions Authority
News article9 March 20231 min read

EIOPA publishes corrected updated representative portfolios to calculate volatility adjustments to the Solvency II risk-free interest rate term structures for 2023


Today, the European Insurance and Occupational Pensions Authority (EIOPA) published corrected updated representative portfolios that will be used for calculation of the volatility adjustments (VA) to the relevant risk-free interest rate term structures for Solvency II.

EIOPA will start using these updated representative portfolios for the calculation of the VA end of March 2023, which will be published at the beginning of April 2023.

After publication of this year’s update in December 2022, EIOPA has been made aware of a possible data issue in the Danish bond data underlying the derivation of the representative portfolios.

The issue has been analysed and solved in close cooperation with the Danish NCA and has led to minor changes in the representative portfolios, mainly in the Danish currency and country portfolios.

The updated portfolios are based on the end-of-2021 annual reporting templates as reported by European (re)insurance companies to their national supervisory authorities, including the re-submissions from the affected Danish companies necessary to address the data issue identified. The updated portfolios enable more accurate reflection of the impact of market volatility under the Solvency II framework.

EIOPA is revising the representative portfolios on a yearly basis with the next update being scheduled for the end of 2023 according to art. 11.1.3 of the Technical Documentation. 


The volatility adjustments are derived from spreads of representative portfolios of assets. The representative portfolios are derived in accordance with Article 49 of Commission Delegated Regulation (EU) 2015/35.

The volatility adjustment is a measure to ensure the appropriate treatment of insurance products with long-term guarantees under Solvency II. (Re)insurers are allowed to adjust the RFR to mitigate the effect of short-term volatility of bond spreads on their solvency position. In that way, the volatility adjustment prevents pro-cyclical investment behaviour of (re)insurers.

All the documents are available on EIOPA's website. In particular, the updated representative portfolios file can be accessed under Background Material.

8 MARCH 2023
08.03.2023 Corrected updated representative portfolios applicable end of March_2023



Publication date
9 March 2023