EIOPA updates Solvency II risk-free rate parameters and narrows currency coverage from 30 January 2027

The European Insurance and Occupational Pensions Authority (EIOPA) has updated its Risk-Free Rate Technical Documentation, adding annual market and portfolio parameters and tightening currency coverage for application from 30 January 2027. The documentation supports insurers’ and reinsurers’ calculation of technical provisions under Solvency II. It supplements the May 2026 revision, which had already incorporated changes to interpolation, extrapolation and the volatility adjustment calculated for each undertaking, but deferred annual parameter updates pending data availability. The 2026 assessment of market depth, liquidity and transparency determines first smoothing points and weights for calculating last liquid forward rates. The residual volume threshold used to determine smoothing points is 9.5% for the euro and other relevant currencies with a last liquid point of at least 20 years on 29 January 2027. A 4.75% threshold applies to the remaining relevant currencies. Updated representative portfolios include frozen cash flows, which remain fixed alongside their durations until the next portfolio update. Recommended parameters for constructing curves for relevant currencies will now be supplied in a separate Excel file. For currencies outside the European Economic Area and the Group of Seven, the materiality threshold rises from 0.01% to 0.1% of total technical provisions. At least three undertakings or groups must also each have exposure amounting to at least 1% of their own technical provisions, with assessments conducted separately for undertakings and groups. The strengthened criterion removes the Colombian peso, Hong Kong dollar and New Taiwan dollar from the relevant currency list from 30 January 2027. Separate recommended parameters are available to help firms construct term structures for those three currencies.