The European Insurance and Occupational Pensions Authority (EIOPA) has published updated reference portfolios used to calculate the volatility adjustment (VA) to the relevant risk-free interest rate term structures under Solvency II. EIOPA will apply the updated representative portfolios from the end-March 2026 VA calculation, which will be published at the beginning of April 2026. The portfolios are based on end-2024 annual reporting templates submitted by European (re)insurance undertakings to national supervisory authorities and are intended to better reflect the impact of market volatility within the Solvency II framework. The updates are reflected in EIOPA’s revised risk-free rate (RFR) Technical Documentation and were published three months in advance to give (re)insurers time to prepare; the next annual revision is scheduled for the end of 2026 in line with Article 11.1.3 of the RFR Technical Documentation.
European Insurance and Occupational Pensions Authority 2025-12-09
European Insurance and Occupational Pensions Authority updates Solvency II volatility adjustment reference portfolios for use from March 2026
The European Insurance and Occupational Pensions Authority (EIOPA) has updated reference portfolios for calculating the volatility adjustment to risk-free interest rate term structures under Solvency II, effective end-March 2026. Based on end-2024 data from European (re)insurance undertakings, these updates aim to better capture market volatility impacts. The revised risk-free rate Technical Documentation was published three months early for preparation, with the next update scheduled for end-2026.