The European Insurance and Occupational Pensions Authority (EIOPA) published updated representative portfolios that will be used for calculation of the volatility adjustments 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 volatility adjustments end of March 2022, which will be published at the beginning of April 2022. The updated portfolios are based on the end-of-2020 annual reporting templates as reported by European insurance and reinsurance 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 also updated the technical documentation of the methodology to derive risk-free interest rate term structures of EIOPA.
In a separate statement, EIOPA has announced that, as of November 2021, it will publish monthly calculations of the technical information related to the risk-free interest rate term structures in parallel to the current official published risk-free interest rate information. The dual run will be prior to the transition date as of January 2022, implementing the updated methodology for the calculation of the risk-free interest rates for the British pound, Swiss franc, and Japanese yen. This parallel publication will allow stakeholders to compare their own calculations with those conducted by EIOPA. It will be published in addition to the current official monthly technical information for the reference dates October 31, 2021, November 30, 2021, and December 31, 2021. Based on the updated technical documentation, these changes would be effective for calculations from January 01, 2022 onward and applied for the first time in the production of the technical information for the reference date January 31, 2022. Stakeholders are invited to submit comment on these publications by January 14, 2022.
- Press Release on Updated Representative Portfolios
- Updated Representative Portfolios (XLSX)
- Press Release on Updated Technical Documentation
- Technical Documentation (PDF)
- Press Release on Publication of Monthly Technical Information
Keywords: Europe, EU, Insurance, Reinsurance, Solvency II, Risk Free Interest Rate, Interest Rate Risk, Volatility Adjustment, Reporting, Representative Portfolios, EIOPA
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