On Dec. 10, 2024, EIOPA issued updated representative portfolios to calculate volatility adjustments to the solvency II RFR term structures, applicable from end of Mar. 2025.
EIOPA will start using these updated representative portfolios for the calculation of the VA end of March 2025, which will be published at the beginning of Apr. 2025.
Updated portfolios are based on the end-of-2023 annual reporting templates as reported by European (re)insurance companies to national supervisory authorities.
Updates enable more accurate reflection of the impact of market volatility under SLV2.
EIOPA updated representative portfolios to calculate volatility adjustments (VA) to the Solvency II RFR term structures for 2024 and the technical documentation.
EIOPA updated representative portfolios to be used for calculation of VA to relevant risk-free interest rate term structures for Solvency II.
EIOPA will start using these updated representative portfolios for VA calculation at the end of Mar. 2024; those will be published beginning of Apr. 2024.
It publishes updated representative portfolios three months in advance to allow (re)insurers sufficient time to prepare for the change.
Updated portfolios are based on end-of-2022 annual reporting templates as reported by EU (re)insurance companies to their national supervisory authorities.
Enable more accurate reflection of impact of market volatility under SLV II framework.
Updated representative portfolios are part of version of RFR Technical Documentation.
Latter also has errata to former version; EIOPA is revising representative portfolios yearly; next update scheduled for 2024 end per art 11.1.3 Technical Documentation.
Effectiveness
The change will apply as of Apr. 1, 2024.
Dec. 2024 Updated Representative Portfolios
On Dec. 10, 2024, EIOPA issued updated representative portfolios to calculate volatility adjustments to the solvency II RFR term structures, applicable from end of Mar. 2025.
EIOPA will start using these updated representative portfolios for the calculation of the VA end of March 2025, which will be published at the beginning of Apr. 2025.
Updated portfolios are based on the end-of-2023 annual reporting templates as reported by European (re)insurance companies to national supervisory authorities.
Updates enable more accurate reflection of the impact of market volatility under SLV2.
Regulators
EU EIOPA
Entity Types
Ins; Pension
Reference
Gd, PR, 12/10/2024; SLV2 Reg 2015/35, Dir 2009/138; Gd, PR, 12/6/2023; SLV2 Reg 2015/35, Dir 2009/138; RFR
