EIOPA: Application of the updated representative portfolios in 2018

23 March 2018

As of the end of March 2018 the European Insurance and Occupational Pensions Authority will apply the updated representative portfolios for the calculation of the volatility adjustment to risk-free interest rates as announced on 18 December 2017.

Based on more up-to-date and granular data, the new portfolios enable more accurate reflection of the impact of market volatility under the Solvency II framework.

The application of the updated representative portfolios for the Danish krone and for the country portfolio of Denmark is provisionally scheduled for end of June 2018.

EIOPA is currently reviewing the calculation of the volatility adjustment for the Danish krone in particular with regard to the impact of optionality on the yields.

Any changes arising from the review will be implemented together with the application of the updated Danish representative portfolios.

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