In November 2026, the European Insurance and Occupational Pensions Authority published updated technical documentation for constructing the risk-free interest rate term structures used under Solvency II. EIOPA issued the update on November 6 and said it would apply from January 30, 2027. The documentation incorporates revised market assessments and portfolio inputs. It also removes the Colombian peso, Hong Kong dollar and New Taiwan dollar from the list of relevant currencies, while providing recommended curve construction parameters for those currencies separately.
What changed in the documentation
The May version reflected amendments to the Solvency II framework but did not yet contain the annual assessment of market depth, liquidity and transparency or the refreshed representative portfolios. The November publication brings those inputs into the documentation, including frozen cash flows for the updated representative portfolios. It also sets out the applicable percentage for the euro as a reference for calculating the residual volume criterion and applies a stronger test for currency relevance.
EIOPA is making recommended parameters available in separate spreadsheets. The practical distinction is between currencies on the relevant list and the separate parameters for the three currencies leaving it. The change does not make the underlying liabilities or cash flows disappear. An undertaking with exposure in those currencies still needs to identify how it will build and validate the curves it uses, and document the basis for doing so. Applicability and local regulatory treatment should be checked for the specific entity and calculation.
Test the valuation impact before implementation
A discount curve converts projected future cash flows into a present value. A curve change can therefore affect the valuation of long duration liabilities even when the expected cash flows have not changed. The direction and size depend on the currency, timing of payments and shape of the change. The net effect on an insurer also depends on its assets and hedging, and cannot be inferred from the technical announcement alone.
A practical first test holds portfolio cash flows and other assumptions fixed, then compares the existing and revised methodology on the same exposure data. This isolates the effect of the curve change from portfolio movements or changes in claims assumptions. A second run can incorporate asset sensitivities and hedging where relevant. The actuarial and finance teams can then explain which portfolios moved, whether the results are consistent with their duration and currency exposures, and which differences warrant investigation.
Version control is part of the financial control. Parameter files need an identified owner, an approved source and a clear effective date. The same curve can feed actuarial valuations, capital calculations and management reports; changing one feed without checking downstream uses creates avoidable reconciliation problems. A parallel run and a documented fallback make it easier to identify whether unexpected results are economic, methodological or operational.
Keep the link to employee benefits precise
Multinational benefits sponsors should distinguish Solvency II valuation from benefit design or renewal pricing. Longer duration insured life or disability obligations may make curve changes more relevant to a carrier than short duration medical claims, depending on the book. The update does not change policy promises or imply a specific premium movement. If a provider cites regulatory valuation in a pricing discussion, buyers can ask how much of the proposed change is attributable to the curve, how much to claims or expenses, and how the impact was measured.
The issue is especially relevant when a group uses several insurance or reinsurance entities and looks at aggregated capital results. Entity level tests can show whether an apparently small group impact masks a material currency or portfolio movement. For a board or risk committee, the decision is whether the implementation has been tested and whether the movements can be explained. A concise comparison by entity and currency, supported by a record of approved inputs and unresolved exceptions, provides a useful basis for that review before January 30.
Sources
EIOPA technical documentation announcement and parameter files
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