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European Insurance and Occupational Pensions Authority
News article13 December 2022

EIOPA updates representative portfolios to calculate volatility adjustments to the Solvency II risk-free interest rate term structures for 2023 and the RFR Technical Docu

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 2023, which will be published at the beginning of April 2023.

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-2021 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 some errata to the former version of the Technical Documentation.

EIOPA has used this opportunity to migrate the Technical Documentation to its new house style. Although EIOPA made every effort to avoid any mistake on the content of the ‘new’ Technical Documentation, users are kindly asked to submit a Q&A to EIOPA in case of any doubts on the ‘new’ content.

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 ‘new’ 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 and can be accessed under Background Material.


Publication date
13 December 2022