European Insurance and Occupational Pensions Authority publishes revised Solvency II risk-free rate methodology documentation for application from 30 January 2027

The European Insurance and Occupational Pensions Authority has published an updated version of its Risk-Free Rate Technical Documentation, together with three spreadsheet examples, setting out how risk-free interest rate term structures will be calculated under the revised Solvency II framework from 30 January 2027. The update reflects amendments to the Solvency II Directive and Commission Delegated Regulation (EU) 2015/35 and is intended to improve transparency and help stakeholders replicate the calculations. The revised documentation incorporates changes to key elements of the methodology, particularly the interpolation and extrapolation techniques and the volatility adjustment, which has become undertaking-specific. It has also been restructured to move from a high-level explanation of principles and assumptions to more detailed methodological and mathematical descriptions. The accompanying examples illustrate selected calculations for inter- and extrapolation, risk-corrected spreads and the volatility adjustment. The current version does not yet include the results of this year’s depth, liquidity and transparency assessment or the annual update of representative portfolios, including newly introduced frozen cash flows. Those regular updates will be made later in the year once the underlying data is available. EIOPA has invited stakeholders to provide feedback, including on errors, omissions and points requiring clarification, by 15 June 2026.