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European Insurance and Occupational Pensions Authority
News article17 December 2019

EIOPA updates representative portfolios to calculate volatility adjustments to the Solvency II risk-free interest rate term structures


Today, the European Insurance and Occupational Pensions Authority (EIOPA) published 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 2020, which will be published at the beginning of April 2020.

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-2018 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.

EIOPA is revising the representative portfolios on a yearly basis with the next update being scheduled for the end of 2020 according to art. 194 of the Technical Documentation.  


Publication date
17 December 2019