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European Insurance and Occupational Pensions Authority
News article6 December 20231 min read

EIOPA updates representative portfolios to calculate volatility adjustments to the Solvency II RFR term structures for 2024 and the Technical Documentation

Today, the European Insurance and Occupational Pensions Authority (EIOPA) published the 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 2024, which will be published at the beginning of April 2024.

EIOPA publishes the updated representative portfolios now, i.e. three months in advance in order to allow (re)insurers sufficient time to prepare for this change.

The updated portfolios are based on the end-of-2022 annual reporting templates as reported by European (re)insurance companies to their national supervisory authorities. The updated portfolios enable more accurate reflection of the impact of market volatility under the Solvency II framework.

The updated representative portfolios are included in an updated version of the RFR Technical Documentation. The updated version of the Technical Documentation also contains errata to the former version of the Technical Documentation.

EIOPA is revising the representative portfolios on a yearly basis with the next update being scheduled for the end of 2024 according to art. 11.1.3 of the Technical Documentation.

See the documents


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 and can be accessed under Background Material.


Publication date
6 December 2023