EIOPA has released an updated version of the Risk-Free Rate (RFR) Technical Documentation for the calculation of RFR term structures, which will apply from 30 January 2027. The announcement also sets out the removal of Colombian peso (COP), Hong Kong dollar (HKD) and New Taiwan dollar (TWD) from the list of relevant currencies as of 30 January 2027.
Background to the Update
According to the announcement, the May 2026 version of the RFR Technical Documentation that reflected the amendments to the Solvency II Directive and to Commission Delegated Regulation (EU) 2015/35 had not yet incorporated the results of the depth, liquidity and transparency (DLT) assessment or the annual update of the representative portfolios (including the newly introduced frozen cash flows).
Contents of the Updated Version
In its announcement, EIOPA states that the updated version contains these parameter updates and incorporates stakeholder feedback received on the previous version. In particular it includes:
- the results of the 2026 DLT assessment.
- the results of the 2026 update of the representative portfolios, including the newly introduced frozen cash flows (Excel file named EIOPA_RFR_2027_portfolios.xlsx).
- the applicable percentage for the euro as a reference for the calculation of the residual volume criterion.
- the strengthened criterion for assessing the relevance of currencies.
InsuraBeat has separate coverage of the risk margin changes under Solvency II.
Parameters Shared in a Separate File
In the announcement, EIOPA says that the recommended parameters for constructing the RFR term structures for all relevant currencies will be shared from now on via a separate Excel file named EIOPA_RFR_Parameters_2027.xlsx.
Removal of Currencies From the Relevant List
In the same announcement, EIOPA notes that the strengthened criterion for assessing the relevance of currencies has led to the removal of Colombian peso (COP), Hong Kong dollar (HKD) and New Taiwan dollar (TWD) from the list of relevant currencies as of 30 January 2027.
EIOPA also published a set of recommended parameters (separate Excel file named EIOPA_RFR_Parameters_COP_HKD_TWD_2027.xlsx) for constructing the corresponding term structures for these currencies.
InsuraBeat has separate coverage of EIOPA’s Solvency II reporting templates.
