EIOPA’s newly launched IORP Risk Dashboard highlights market and asset return risks as main concerns for occupational pension funds

The European Insurance and Occupational Pensions Authority (EIOPA) publishes today its first Risk Dashboard on Institutions for occupational retirement provisions (IORPs). Based on individual occupational pensions regulatory reporting, EIOPA’s IORP Risk Dashboard summarises the main risks and vulnerabilities in the IORPs sector of the European Economic Area (EEA) for the different schemes, i.e. defined contributions (DC) and defined benefits (DB). It includes a set of risk indicators covering traditional risk categories, such as market and credit risks, liquidity risks, reserve & funding risks, as well as emerging threats like ESG and cyber risks.

The risk dashboard was developed in cooperation with National Competent Authorities with the objective to systematically:

• monitor and assess the risks and evolution thereof in the IORP sector from a macroprudential perspective; and
• analyse the potential vulnerabilities of IORPs’ financial position and their implication to financial stability at the EEA level.

Results

The first edition shows that the IORPs’ exposure to market & asset return risks is currently at a high level, making this the most relevant risk category for the sector given the still high volatility in bond markets. Macro risks are at a medium level: there are positive developments related to a reduction in forecasted inflation, partially offset by a GDP growth outlook that remains weak by historical standards. Liquidity risks are at a medium level but show an increasing trend compared to the previous quarter, driven by developments in derivative positions. The net asset value of IORP's derivative positions went further into negative territory due to the continued increase of interest rates in Q3-2023.

All other risk categories are currently assessed at a medium level, with increases expected for credit risks as well as digitalisation and cyber risks over the next 12 months.

Discover the dashboard

Background

This IORP Risk Dashboard is based on the latest IORP reporting data with reference up to the third quarter of 2023. The data is based on regulatory reporting collected from 625 IORPs. The IORP reporting information is complemented with data from external sources with a cut-off date of end-December 2023. The risk dashboard will be updated on a quarterly basis.