EIOPA updates reference portfolios used to calculate the volatility adjustment to the Solvency II risk-free rate term structures

Today, the European Insurance and Occupational Pensions Authority (EIOPA) published updated reference portfolios that will be used in the calculation of the volatility adjustment (VA) to the relevant risk-free interest rate term structures under Solvency II.

EIOPA will begin using these updated representative portfolios for the end-March 2026 VA calculation, which will be published at the beginning of April 2026. The changes are also reflected in the updated RFR Technical Documentation.

The updated representative portfolios are being published three months in advance to provide (re)insurers with sufficient time to prepare for this change.

The portfolios are based on the end-2024 annual reporting templates submitted by European (re)insurance undertakings to their national supervisory authorities. They enable a more accurate reflection of the impact of market volatility within the Solvency II framework.

EIOPA updates the representative portfolios on an annual basis, with the next revision scheduled for the end of 2026 in accordance with Article 11.1.3 of the RFR Technical Documentation.