EIOPA RFR Technical Documentation: The 30 January 2027 Parameter Set
On 6 November 2026 EIOPA published an updated version of its RFR technical documentation, reference EIOPA-BoS-26-479, applying from 30 January 2027. That is the date from which Member States apply the measures transposing Directive (EU) 2025/2, which amends Solvency II, so the EIOPA RFR technical documentation now describes the curves behind the first technical provisions valued under the reviewed regime.
For reporting teams the release is mostly about parameters. The May 2026 version (EIOPA-BoS-26-198) already carried the review’s new interpolation and extrapolation and the undertaking-specific volatility adjustment (VA). It lacked the 2026 deep, liquid and transparent (DLT) assessment and representative portfolio update, which run once the year’s data is available. The November text adds them, tightens the test for which currencies EIOPA covers, and drops three currencies.
Related reading: EIOPA Private Equity Insurers: The Evidence Supervisors Should Request
Dates that frame the January 2027 changeover
| Date | What happens |
|---|---|
| 30 March 2026 | EIOPA report on the UFR for 2027 (EIOPA-BoS-26-137): euro UFR unchanged at 3.30%; renminbi-yuan down 15bp to 4.05% |
| 26 May 2026 | RFR technical documentation EIOPA-BoS-26-198 reflecting the Solvency II review |
| 6 November 2026 | EIOPA-BoS-26-479 published with the 2027 portfolio and parameter files |
| 1 January 2027 | 2027 UFRs apply. Although EIOPA’s phasing-in parameter table labels the first calendar-year interval from 1 January, the revised extrapolation regime and any approved phasing-in mechanism apply from 30 January 2027 |
| 29 January 2027 | Transposition deadline for Directive (EU) 2025/2; last day of the current euro instrument set |
| 30 January 2027 | Updated documentation and transposed national measures apply; COP, HKD and TWD leave the relevant currency list |
The two January dates differ in kind: the UFR moves on 1 January, while the documentation follows the date from which Member States apply their transposing measures, 30 January 2027. Legally, the curves are technical information under Article 77e(1) of the Solvency II Directive, binding on undertakings once the Commission includes them in an implementing act under Article 77e(2) (paragraph 1.2.2).
What the November EIOPA RFR technical documentation adds to the May text
The note on changes in EIOPA-BoS-26-479 (cover dated October 2026) lists five additions:
- the 2026 DLT assessment results, including first smoothing points and last liquid forward rate weights (5.2.8);
- Annex E’s portfolio construction description, completed for the treatment of missing data;
- the 2026 representative portfolios, including the newly introduced frozen cash flows, in a separate Excel file;
- the euro percentage for the residual volume criterion (B.4.2);
- a strengthened currency relevance criterion (4.2.2), which cuts the number of relevant currencies and changes the credit risk adjustment calculation (Section 6).
Recommended parameters for every relevant currency now come in a separate workbook, EIOPA_RFR_Parameters_2027.xlsx.
First smoothing points and LLFR weights for 2027
The first smoothing point (FSP), where extrapolation towards the ultimate forward rate (UFR) begins, is the longest DLT maturity at which the share of outstanding bonds of that or longer maturity is sufficiently high, the residual volume criterion (8.2.1). EIOPA has calculated the euro percentage at 9.5%. Currencies whose last liquid point was 20 years or longer on 29 January 2027 use 9.5% too; the rest use 4.75% (B.4.2).
The last liquid forward rate (LLFR) sets the forward at the FSP as a weighted average of the forward just before it and forwards to DLT maturities beyond it, weighted by traded swap notional (8.3). Table 2 gives the 2027 result:
| Currency | FSP | LLFR weights by tenor |
|---|---|---|
| EUR | 20 years | 20Y 29%, 25Y 7%, 30Y 57%, 40Y 4%, 50Y 3% |
| GBP | 30 years | 30Y 100% |
| USD | 20 years | 20Y 25%, 25Y 5%, 30Y 70% |
| JPY | 20 years | 20Y 63%, 25Y 6%, 30Y 31% |
| AUD | 10 years | 10Y 87%, 12Y 3%, 15Y 4%, 20Y 3%, 25Y 1%, 30Y 2% |
| CAD | 10 years | 10Y 89%, 30Y 11% |
| CNY | 5 years | 5Y 100% |
| CHF, CZK, HUF, NOK, PLN, RON, SEK | 10 years | 10Y 100% |
| ISK | 9 years | 9Y 100% |
HUF, ISK and RON curves are built from government bonds. The euro row carries the narrow change: the history table shows euro swaps at 1 to 15 and 20 years in use until 29 January 2027, and from 30 January the 25, 30, 40 and 50-year points enter as LLFR inputs, so extrapolation beyond 20 years starts from a forward that draws on market rates past 20 years.
Convergence speed, alpha, is 11% for all currencies except the Swedish krona at 40% (8.1.8). Undertakings allowed to apply the phasing-in mechanism of Article 77a(2), which sets the initial parameters on 30 January 2027 subject to prior supervisory approval, use Table 4: 20.0% (krona 70.0%) for the 2027 interval, stepping down yearly to 11.0% (krona 40.0%) from 1 January 2032.
Sixteen relevant currencies, and the fate of COP, HKD and TWD
Annex A now lists ten EEA currencies (EUR, CHF, CZK, DKK, HUF, ISK, NOK, PLN, RON, SEK) and six others (AUD, CAD, CNY, GBP, JPY, USD). EEA and G7 currencies qualify automatically. Any other currency must contribute at least 0.1% of total technical provisions, and at least three undertakings or groups must hold exposure to it of at least 1% of their own technical provisions, assessed separately for solo undertakings and groups (4.2.1, 4.2.2). The Colombian peso, Hong Kong dollar and New Taiwan dollar leave the list as of 30 January 2027.
Removal ends EIOPA’s publication of those currency curves and shifts curve derivation to undertakings. Article 77e(3) also provides that no volatility adjustment may be applied for a currency whose risk-corrected spread is not specified in the Commission’s implementing acts. For currencies without published technical information, paragraph 5.4.1 says the documentation’s methodology should be applied, and EIOPA has published recommended parameters in EIOPA_RFR_Parameters_COP_HKD_TWD_2027.xlsx. Where reliable market data is missing, the documentation expects a dialogue between the undertaking, its EEA supervisor and the currency country’s supervisor (5.4.2, 5.4.3).
Euro, krona and Australian dollar credit risk adjustments (CRAs) come from the spread between their IBOR and OIS rates; other EEA currencies take the euro CRA, the Norwegian krone the krona’s (6.4, 6.5). For the remaining currencies, fewer than four means a flat 35bp; four or more triggers a scaling factor that puts the 25th-percentile currency at 35bp (6.6.2 to 6.6.5). Every CRA sits in a 10 to 35bp corridor, and none applies to OIS rates (6.1.1, 6.7.1). The document does not name the remaining currencies, so confirm the applied CRA against EIOPA’s published figures before the first 2027 run.
Your annual QRTs feed the representative portfolios
EIOPA builds the VA reference portfolios from undertakings’ Solvency II annual reporting: S.01.02, S.02.01, the S.06.02 list of assets and the S.06.03 look-through template (E.3.1). An update in year N uses year N-1 data, so the 2027 portfolios rest on year-end 2025 submissions (E.1.3). Past updates applied from 31 March of the following year; this one applies from 30 January.
Annex E shows how S.06.02 fields are used, and what happens when they are blank:
- ‘Matching portfolio number’ identifies matching adjustment (MA) assets, which are excluded because the MA and VA cannot be combined (E.3.2).
- ‘Total Solvency II amount’ sets the weight, scaled by best estimate to technical provisions ratios, one for unit-linked and index-linked business and one for the rest (E.3.5, E.3.6).
- An asset without a ‘Duration’ is excluded from its portfolio’s weighted duration (E.3.5); in exceptional cases where the data allow a weight but not a duration, the exposure is assigned the duration of the portfolio of exposures of the same issuer type that have both (E.6.8).
- A missing ‘Currency’, ‘Issuer Country’ or ‘Issuer Sector’ removes the bond from that grouping (E.5.4).
- A missing ‘Credit quality step’ makes a corporate bond ‘Unrated’, and unrated bonds are spread across rated ones in proportion (E.5.4, E.6.3).
The financial split reads ‘Issuer Sector’ as NACE 2.0 section K or NACE 2.1 section L (E.5.4); UK insurers have their own NACE 2.1 move under a separate regime, covered in our PS18/26 Solvency UK reporting article. And government bond durations above 50 years or corporate durations above 15 years may be capped where a portfolio duration looks unrealistically high; EIOPA records that in most such cases observed historically, the reported durations proved incorrect (E.6.7).
The frozen cash flows sit in Annex F: each model bond’s cash flow is fixed from year N-1 weights, durations and yield proxies until the next portfolio update, and the reference portfolio yield is solved as an internal rate of return against them as yields move (F.3.1 to F.3.4). Replicating EIOPA’s risk-corrected spreads therefore needs EIOPA_RFR_2027_portfolios.xlsx.
The volatility adjustment you report is your own calculation
EIOPA publishes risk-corrected spreads (RCS) for each relevant currency and euro-area country monthly, and each euro-area country’s debt-investments-to-total-assets ratio (DITTAR) annually (9.5.2). The currency VA is 85% times the credit spread sensitivity ratio (CSSR) times the RCS, with the CSSR undertaking specific and between 0 and 1 under Article 51a of the Delegated Regulation (9.3.1). Under Article 77d(1c), an undertaking may apply an undertaking-specific adjustment to the published currency RCS only with prior supervisory approval. The published RCS must have exceeded the RCS calculated from the undertaking’s own debt-investment portfolio in each of the preceding four quarterly reporting periods, and the relevant asset data must support a robust and reliable calculation.
The adjustment factor is the lower of 105% and the ratio of the undertaking’s own-portfolio RCS to the published currency RCS. Article 77d(1c) also requires the undertaking to stop applying the adjustment immediately if it increases the currency RCS for two consecutive quarterly reporting periods. An undertaking using this adjustment cannot also apply the macro VA (9.3.2 to 9.3.4).
Euro-area undertakings without that adjustment add a macro VA, driven by the country RCS above 1.3 times the euro RCS (9.3.3 to 9.4.2). Where a country uses a peer country’s government curve the macro VA is zero; Table 1 shows Estonia, Latvia and Luxembourg using Belgium, Slovakia and the Netherlands respectively.
Article 77d generally subjects the volatility adjustment to prior supervisory approval (3.9.1). However, under Article 77d(1a), undertakings that applied the VA before 29 January 2026 may continue without obtaining fresh prior approval, provided that they meet the conditions for approval from 30 January 2027. There is no VA at group level; the group figure follows from the VA each component applies (9.1.5).
Year-end 2026 runs and the first 2027 month-end
On a reading of the dates: with the updated documentation applying from 30 January 2027 and the history table ending the current euro instrument set on 29 January 2027, 31 December 2026 valuations sit on the pre-review curves, 31 January 2027 is the first month-end on EIOPA-BoS-26-479, and 31 March 2027 the first quarter-end. EIOPA’s RFR page lists the 9 December 2025 documentation (EIOPA-BoS-25-599) beside the new one without labelling reference dates, so cite the 30 January application statement in model documentation.
Frequently Asked Questions
Does the 2027 DLT update change our Danish krone curve?
Only through the euro. As a currency pegged to the euro, the krone’s basic curve uses the euro instruments and DLT assessment, adjusted for currency risk (4.3.10(b), 7.1.1, Table 2 notes). That adjustment is 1bp, monitored annually and amended only where the formula result differs materially (7.2.2, 7.4.1).
Related Articles
- PS18/26 Solvency UK Reporting: The 31 December 2026 Changes: UK insurer reporting changes, including NACE 2.1 and MALIR in XBRL.
- EIOPA Private Equity Insurers: The Evidence Supervisors Should Request: what supervisors should test in private-equity-backed insurers.
- FICOD Reporting: What Financial Conglomerate Supplementary Supervision Means for Prudential Teams: supplementary supervision duties for financial conglomerates.
Key Takeaways
- Tag every curve run from 31 January 2027 with EIOPA-BoS-26-479 and the 2027 parameter workbook; keep year-end 2026 on the pre-review set, per the dating logic above.
- Inventory COP, HKD and TWD liabilities by entity before 30 January 2027; from then the curve build is in-house.
- Add S.06.02 ‘Duration’, ‘Issuer Sector’, ‘Credit quality step’ and ‘Matching portfolio number’ to the year-end 2026 data review: they feed the next portfolio update.
Sources and References
- EIOPA news release, 6 November 2026: EIOPA updates RFR Technical Documentation to apply from 30 January 2027
- EIOPA, RFR Technical Documentation, EIOPA-BoS-26-479: PDF
- EIOPA, RFR Technical Documentation, Solvency II Review, EIOPA-BoS-26-198: PDF
- EIOPA 2027 files: portfolios, parameters, COP, HKD and TWD parameters
- EIOPA, Report on the calculation of the UFR for 2027, EIOPA-BoS-26-137: PDF
- EIOPA, Risk-free interest rate term structures: publication page
- Directive 2009/138/EC (Solvency II): EUR-Lex
- Directive (EU) 2025/2 amending Directive 2009/138/EC: EUR-Lex
- Commission Delegated Regulation (EU) 2015/35: EUR-Lex
- Commission Delegated Regulation (EU) 2026/269 amending Delegated Regulation (EU) 2015/35: EUR-Lex
- PRA, PS18/26 Solvency UK: Post-implementation reporting and disclosure amendments and Own Funds permissions update, 29 July 2026: Bank of England
Before the 31 January 2027 curves arrive
The fixed points are EIOPA’s 3 December 2026 monthly publication, the year-end 2026 curves in early January and the switch to EIOPA-BoS-26-479 on 30 January 2027. The artifact to finish first is a map from each valuation model’s inputs to the 2027 parameter workbook, the portfolio file and, for any COP, HKD or TWD exposure, the separate parameter file.
Disclaimer: The information on RegReportingDesk.com is for educational and informational purposes only. It does not constitute legal, regulatory, tax, or compliance advice. Always consult your compliance officer, legal counsel, or the relevant supervisory authority for guidance specific to your institution.
