EIOPA Updates Risk-Free Rate Documentation
The updated technical documentation takes effect 30 January 2027 and removes three currencies from the list of relevant currencies.
Updated on Nov. 6, 2026 in Stock Markets
The European Insurance and Occupational Pensions Authority published an updated Risk-Free Rate Technical Documentation, applying from 30 January 2027. The update also removes the Colombian peso, Hong Kong dollar and New Taiwan dollar from the list of relevant currencies.
Why it matters
The revision incorporates stakeholder feedback and the results of the 2026 DLT assessment and representative portfolio update. Insurers and pension providers that rely on these risk-free rate term structures will need to apply the revised parameters.
The update, published 6 November 2026, is an official EIOPA regulatory document that removes three currencies from the relevant list compared with the May 2026 version. The extraction does not quantify the effect of the removals on affected insurers' valuations.
The players
European Insurance and Occupational Pensions Authority (EIOPA)
EIOPA is the European Union's supervisory authority for insurance and occupational pensions, responsible for issuing technical standards and guidance under the Solvency II framework.
The details
The revised documentation introduces frozen cash flows in the representative portfolios and sets the euro's applicable percentage as a reference for the residual volume criterion. A strengthened currency-relevance test led to the removals, and EIOPA published recommended parameters for constructing term structures in the three excluded currencies.
Timeline
May 2026: prior RFR Technical Documentation version was published.
6 November 2026: EIOPA published the updated documentation.
30 January 2027: updated documentation and currency removals take effect.
Market Dynamics
The update operates within the Solvency II Directive, which requires insurers to value liabilities using risk-free rate term structures. Revisions to the currency list directly affect which term structures European insurers must maintain.
Insurers and pension funds using EIOPA's risk-free rate term structures will need to switch to the revised parameters from 30 January 2027. Recommended parameters for all relevant currencies will be shared via the file EIOPA_RFR_Parameters_2027.xlsx.
The takeaway
Institutions that value liabilities in the removed currencies should plan their transition to the revised parameters ahead of the January 2027 effective date. Monitoring future annual updates will help keep term-structure assumptions current.
What happens next
The updated documentation and currency removals take effect 30 January 2027.
Further reading
For broader context on how interest rate benchmarks move financial markets, see Stock Markets.
Source note: This article includes information reported by European Insurance and Occupational Pensions Authority.
